Moody's lowers ratings of 323 Notes issued by 84 structured finance CDO transactions
New York, December 22, 2008 -- Moody's Investors Service announced today that it has downgraded its ratings
of 323 Notes issued by certain collateralized debt obligation transactions
backed by structured finance securities ("SF CDOs"), 320 of which
were originated in 2004, and 3 of which were originated in 2006.
Moody's explained that the rating actions taken today are the result of
the application of revised and updated key modelling parameter assumptions
that Moody's uses to rate and monitor ratings of SF CDOs. The revisions
affect the three key parameters in Moody's model for rating SF CDOs:
asset correlation, default probability and recovery rate.
Moody's announced the changes to these assumptions in a press release
titled "Moody's Updates its Key Assumptions for Rating Structured Finance
CDOs," published on December 11, 2008.
Moody's noted that most of the lowered ratings remain on review for possible
downgrade due to the continuing weakness in the performance of and outlook
for structured finance securities that back SF CDOs.
Moody's initially analyzed and continues to monitor these transactions
using primarily the methodology and its supplements for ABS CDOs as described
in Moody's Special Reports below :
Moody's Approach to Rating Multisector CDOs (9/15/2000)
Moody's Approach To Rating Synthetic Resecuritizations (10/29/2003)
Moody's Revisits its Assumptions Regarding Structured Finance Default
(and Asset) Correlations for CDOs (6/27/2005)
Moody's Modeling Approach to Rating Structured Finance Cash Flow CDO Transactions
(9/26/2005)
Moody's anticipates that in the coming days it will announce additional
rating actions applicable to SF CDOs of earlier vintages as the revised
assumptions are applied to those transactions.
For more information please see www.moodys.com
Today's rating actions are as follows:
Abacus 2004-1, Ltd.
Class A Notes, Downgraded to Baa3 Under Review for Possible Downgrade;
previously on 6/9/2008 A3 Placed Under
Review for Possible Downgrade
Class B Notes, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/9/2008 Ba3 Placed Under Review
for Possible Downgrade
Class C Notes, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 6/9/2008 Caa1 Placed Under
Review for Possible Downgrade
ACA ABS 2004-1, LIMITED
U.S.$13,000,000 Combination Securities
Due 2039, Downgraded to Baa2 Placed Under Review for Possible Downgrade;
previously on 5/28/2004 Assigned A2
U.S.$18,375,000 Class C-1 Mezzanine
Secured Floating Rate Notes Due 2039, Downgraded to Ba1 Placed Under
Review for
Possible Downgrade; previously on 12/19/2006 Upgraded to Baa1
U.S.$3,000,000 Class C-2 Mezzanine
Secured Fixed Rate Notes Due 2039, Downgraded to Ba1 Placed Under
Review for Possible Downgrade; previously on 12/19/2006 Upgraded to Baa1
U.S.$315,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2039, Downgraded to Aa2 Placed Under
Review for Possible Downgrade; previously on 5/28/2004 Assigned Aaa
U.S.$47,250,000 Class B Senior Secured
Floating Rate Notes Due 2039, Downgraded to A2 Placed Under Review
for
Possible Downgrade; previously on 5/28/2004 Assigned Aa2
U.S.$49,500,000 Class A-2 Senior
Secured Floating Rate Notes Due 2039, Downgraded to Aa3 Placed Under
Review for
Possible Downgrade; previously on 5/28/2004 Assigned Aaa
Alexander Park CDO I, Ltd.
Class A-1 Floating Rate Term Notes, Due 2039, Downgraded
to Ba3 Under Review for Possible Downgrade; previously on
11/20/2008 Baa3 Placed Under Review for Possible Downgrade
Class A-2 Floating Rate Term Notes, Due 2039, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on
11/20/2008 Caa2 Placed Under Review for Possible Downgrade
Belle Haven ABS CDO, Ltd.
Class A1SB-1, Downgraded to Baa1 Under Review for Possible
Downgrade; previously on 6/2/2008 A1 Placed Under
Review for Possible Downgrade
Class A1SB-2, Downgraded to Baa1 Under Review for Possible
Downgrade; previously on 6/2/2008 A1 Placed Under
Review for Possible Downgrade
U.S.$344,000,000 Class A1ST Senior Secured
Floating Rate Notes Due 2044-1, Downgraded to Baa1 Under
Review for
Possible Downgrade; previously on 6/2/2008 A1 Placed Under Review
for Possible Downgrade
U.S.$35,000,000 Class A2 Senior Secured
Floating Rate Notes Due 2044, Downgraded to Caa3 Under Review for
Possible
Downgrade; previously on 6/2/2008 B3 Placed Under Review for Possible
Downgrade
U.S.$48,000,000 Class A1J Senior Secured
Floating Rate Notes Due 2044, Downgraded to Caa1 Under Review for
Possible
Downgrade; previously on 6/2/2008 B1 Placed Under Review for Possible
Downgrade
Bluegrass ABS CDO II Ltd.
Cl. A-1, Downgraded to Ba1 Under Review for Possible
Downgrade; previously on 9/19/2008 Baa1 Placed Under Review for
Possible Downgrade
Bluegrass ABS CDO III, Ltd.
US $27,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 6/2/2008 B3 Placed Under Review
for Possible Downgrade
US $280,000,000 Class A-1 First Priority Senior
Secured Floating Rate Notes Due 2039, Downgraded to Ba1 Under Review
for Possible Downgrade; previously on 6/2/2008 Baa1 Placed Under
Review for Possible Downgrade
US$49,000,000 Class A-2 Second Priority Senior
Secured Floating Rate Notes Due 2039, Downgraded to Caa1 Under
Review for Possible Downgrade; previously on 6/2/2008 B1 Placed Under
Review for Possible Downgrade
Cascade Funding CDO I, Inc.
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes due March 2042, Downgraded to Baa3 Placed
Under Review for Possible Downgrade; previously on 7/30/2004 Assigned
Aaa
Class A-2 Second Priority Senior Secured Floating Rate Notes due
March 2042, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 6/9/2008 Ba3 Placed Under Review
for Possible Downgrade
Class B Third Priority Secured Floating Rate Notes due March 2042,
Downgraded to C ; previously on 6/9/2008 B3 Placed
Under Review for Possible Downgrade
C-BASS CBO IX Limited
U.S.$10,000,000 Class B Third Priority
Senior Secured Floating Rate Notes Due April 2039, Downgraded to
Aa3 Placed
Under Review for Possible Downgrade; previously on 5/16/2006 Upgraded
to Aaa
U.S.$12,000,000 Class C Fourth Priority
Secured Floating Rate Deferrable Interest Notes Due April 2039,
Downgraded to A1
Placed Under Review for Possible Downgrade; previously on 5/16/2006
Upgraded to Aa1
U.S.$14,000,000 Class D Fifth Priority
Secured Floating Rate Deferrable Interest Notes Due April 2039,
Downgraded to A3
Under Review for Possible Downgrade; previously on 11/10/2008 Aa3
Placed Under Review for Possible Downgrade
U.S.$20,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due April 2039, Downgraded
to Aa2 Placed
Under Review for Possible Downgrade; previously on 3/31/2004 Assigned
Aaa
U.S.$220,500,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due April 2039, Downgraded
to Aa1 Placed
Under Review for Possible Downgrade; previously on 3/31/2004 Assigned
Aaa
Cheyne High Grade ABS CDO, Ltd.
U.S. $23,000,000 Class A-2 Floating
Rate Notes Due 2039, Downgraded to Caa1 Under Review for Possible
Downgrade;
previously on 6/27/2008 B1 Placed Under Review for Possible Downgrade
U.S. 115,000,000 Class A-1 MTN-e,
Downgraded to A2 Placed Under Review for Possible Downgrade; previously
on
7/2/2008 Assigned Aa2
U.S.$0 Class A-1 LT Long Term Floating Rate
Notes Due 2039, Downgraded to A3 Under Review for Possible Downgrade;
previously on 6/27/2008 Aa3 Placed Under Review for Possible Downgrade
Cimarron CDO Ltd./Cimarron CDO Corp.
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Baa2 Under Review for Possible
Downgrade; previously on 7/2/2008 A2 Placed Under Review for Possible
Downgrade
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Ba1 Under Review for Possible
Downgrade; previously on 7/2/2008 Baa1 Placed Under Review for Possible
Downgrade
Class B Senior Secured Deferrable Fixed Rate Notes Due 2040, Downgraded
to Caa3 Under Review for Possible
Downgrade; previously on 7/2/2008 B3 Placed Under Review for Possible
Downgrade
Class C Junior Secured Deferrable Fixed Rate Notes Due 2040, Downgraded
to Caa3 Under Review for Possible
Downgrade; previously on 7/2/2008 Caa2 Placed Under Review for Possible
Downgrade
CORDS 2004-4
Class IV Floating Rate Units, Downgraded to Ba2 Placed Under Review
for Possible Downgrade; previously on 6/4/2008
Downgraded to Baa2
Crystal Cove CDO, Ltd.
U.S.$ 350,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2039, Downgraded
to B1 Under Review
for Possible Downgrade; previously on 6/9/2008 Ba1 Placed Under Review
for Possible Downgrade
U.S.$ 70,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2039, Downgraded
to Caa3 Under
Review for Possible Downgrade; previously on 6/9/2008 Caa2 Placed
Under Review for Possible Downgrade
Davis Square Funding II, Ltd.
Class A-1 Long Term Floating Rate Notes, Downgraded to Baa1
Under Review for Possible Downgrade; previously on
5/12/2008 A1 Placed Under Review for Possible Downgrade
U.S. $548,000,000 Class A-1 MT-e
Medium Term Floating Rate Notes Due 2039, Downgraded to A2 Placed
Under Review
for Possible Downgrade; previously on 5/9/2008 Assigned Aa2
U.S.$120,000,000 Class A-1 MT-b
Medium Term Floating Rate Notes Due 2039, Downgraded to A2 Placed
Under Review for
Possible Downgrade; previously on 6/2/2004 Assigned Aa2
U.S.$15,000,000 Class C Floating Rate
Notes Due 2039, Downgraded to B2 Under Review for Possible Downgrade;
previously on 7/17/2008 Ba2 Placed Under Review for Possible Downgrade
U.S.$25,000,000 Combination Notes Due
2039, Downgraded to Baa2 Placed Under Review for Possible Downgrade;
previously on 6/2/2004 Assigned A2
U.S.$250,000,000 Class A-1 MT-d
Medium Term Floating Rate Notes Due 2039, Downgraded to A2 Placed
Under Review for
Possible Downgrade; previously on 6/2/2004 Assigned Aa2
U.S.$57,000,000 Class A-2 Floating
Rate Notes Due 2039, Downgraded to B2 Under Review for Possible
Downgrade;
previously on 5/12/2008 Ba2 Placed Under Review for Possible Downgrade
U.S.$75,000,000 Class A-1 MT-a
Medium Term Floating Rate Notes Due 2039, Downgraded to A2 Placed
Under Review for
Possible Downgrade; previously on 6/2/2004 Assigned Aa2
U.S.$75,000,000 Class A-1 MT-c
Medium Term Floating Rate Notes Due 2039, Downgraded to A2 Placed
Under Review for
Possible Downgrade; previously on 6/2/2004 Assigned Aa2
Davis Square Funding III Ltd./Davis Square Funding III Corp.
Class A-1LT-a Floating Rate Notes, Downgraded to A2
Under Review for Possible Downgrade; previously on 5/23/2008 Aa2
Placed Under Review for Possible Downgrade
Class A-1LT-b Floating Rate Notes, Downgraded to A2
Under Review for Possible Downgrade; previously on 5/23/2008 Aa2
Placed Under Review for Possible Downgrade
Class A-2 Floating Rate Notes, Downgraded to Ba1 Under Review
for Possible Downgrade; previously on 5/23/2008 Baa1
Placed Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to Ba2 Under Review for
Possible Downgrade; previously on 5/23/2008 Baa2
Placed Under Review for Possible Downgrade
Class C Participating Notes, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/23/2008 Caa1
Placed Under Review for Possible Downgrade
Class D Participating Notes, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/23/2008 Caa2
Placed Under Review for Possible Downgrade
Duke Funding VI Ltd./Duke Funding VI, Corp.
Class A1J Senior Secured Floating Rate Notes Due 2039, Downgraded
to B2 Under Review for Possible Downgrade;
previously on 4/24/2008 Baa2 Placed Under Review for Possible Downgrade
Class A1S Senior Secured Floating Rate Notes Due 2039, Downgraded
to Ba2 Under Review for Possible Downgrade;
previously on 4/24/2008 A2 Placed Under Review for Possible Downgrade
Class A2 Senior Secured FLoating Rate Notes Due 2039, Downgraded
to Caa2 Under Review for Possible Downgrade;
previously on 4/24/2008 Ba2 Placed Under Review for Possible Downgrade
Composite 1 Securities due 2039, Downgraded to B2 Placed Under Review
for Possible Downgrade; previously on 3/31/2004
Assigned Baa2
Duke Funding VII, Ltd
U.S. $129,900,000 Class I-A2 Senior
Secured Floating Rate Notes Due 2034, Downgraded to Ba1 Under Review
for
Possible Downgrade; previously on 4/24/2008 A1 Placed Under Review
for Possible Downgrade
U.S. $10,000,000 Class X Combination
Notes Due 2039, Downgraded to Caa2 Under Review for Possible Downgrade;
previously on 4/24/2008 Ba2 Placed Under Review for Possible Downgrade
U.S. $100,000 Class I-A2v Senior Secured
Floating Rate Notes Due 2034, Downgraded to Ba1 Under Review for
Possible
Downgrade; previously on 4/24/2008 A1 Placed Under Review for Possible
Downgrade
U.S. $3,500,000 Class III-B Senior
Secured Fixed Rate Notes Due 2039, Downgraded to Caa3 Under Review
for Possible
Downgrade; previously on 4/24/2008 B2 Placed Under Review for Possible
Downgrade
U.S. $382,000,000 Class I-A1 Senior
Secured Floating Rate Notes Due 2034, Downgraded to Ba1 Under Review
for
Possible Downgrade; previously on 4/24/2008 A1 Placed Under Review
for Possible Downgrade
U.S. $4,000,000 Class Y Combination Notes
Due 2039, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 4/24/2008 B1 Placed Under Review for Possible Downgrade
U.S. $61,000,000 Class III-A Senior
Secured Floating Rate Notes Due 2039, Downgraded to Caa3 Under Review
for
Possible Downgrade; previously on 4/24/2008 B2 Placed Under Review
for Possible Downgrade
U.S. $7,000,000 Class Z Combination Notes
Due 2039, Downgraded to Ca ; previously on 4/24/2008 Caa2 Placed
Under
Review for Possible Downgrade
U.S. 98,500,000 Class II Senior Secured Floating
Rate Notes Due 2039, Downgraded to Caa1 Under Review for Possible
Downgrade; previously on 4/24/2008 Ba1 Placed Under Review for Possible
Downgrade
Dunhill ABS CDO, Ltd.
U.S.$20,000,000 Class A-1VB First
Priority Senior Secured Voting Floating Rate Notes Due 2041, Downgraded
to A1 Under
Review for Possible Downgrade; previously on 5/9/2008 Aa1 Placed
Under Review for Possible Downgrade
U.S.$250,000 Class A-1VA First Priority
Senior Secured Voting Floating Rate Notes Due 2041-1, Downgraded
to A1 Under
Review for Possible Downgrade; previously on 5/9/2008 Aa1 Placed
Under Review for Possible Downgrade
U.S.$327,250,000 Class A-1NV First
Priority Senior Secured Non-Voting Floating Rate Delayed Draw Notes
Due 2041,
Downgraded to A1 Under Review for Possible Downgrade; previously
on 5/9/2008 Aa1 Placed Under Review for Possible
Downgrade
U.S.$55,000,000 Class B Third Priority
Secured Floating Rate Notes Due 2041, Downgraded to B2 Under Review
for
Possible Downgrade; previously on 5/9/2008 Ba2 Placed Under Review
for Possible Downgrade
U.S.$57,500,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2041, Downgraded
to Baa1 Under
Review for Possible Downgrade; previously on 5/9/2008 A1 Placed Under
Review for Possible Downgrade
E*Trade ABS CDO III, Ltd.
U.S.$ 5,000,000 Series II Composite Securities
Due 2040, Downgraded to B2 Under Review for Possible Downgrade;
previously on 5/18/2008 Ba2 Placed Under Review for Possible Downgrade
U.S.$13,250,000 Class C Fourth Priority
Mezzanine Secured Floating Rate Notes Due 2040, Downgraded to B1
Under
Review for Possible Downgrade; previously on 5/18/2008 Ba1 Placed
Under Review for Possible Downgrade
U.S.$201,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2025, Downgraded
to Aa1 Placed Under
Review for Possible Downgrade; previously on 1/11/2005 Assigned Aaa
U.S.$37,750,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2040, Downgraded
to A1 Under Review
for Possible Downgrade; previously on 5/18/2008 Aa1 Placed Under
Review for Possible Downgrade
U.S.$37,900,000 Class B Third Priority
Senior Secured Floating Rate Notes Due, Downgraded to Baa1 Under
Review for
Possible Downgrade; previously on 5/18/2008 A1 Placed Under Review
for Possible Downgrade
FAB US 2006-1 PLC
U.S.$215,800,000 Class A1 Floating Rate
Notes Due 2047, Downgraded to Ba3 Under Review for Possible Downgrade;
previously on 5/19/2008 Baa3 Placed Under Review for Possible Downgrade
U.S.$59,000,000 Class A2 Floating Rate
Notes Due 2047, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 5/19/2008 Caa2 Placed Under Review for Possible Downgrade
U.S.$8,650,000 Class S Floating Rate
Notes Due 2015, Downgraded to B2 Under Review for Possible Downgrade;
previously on 5/19/2008 Ba2 Placed Under Review for Possible Downgrade
Fortress ABS Opportunities, Ltd
Class A Original Notes, Downgraded to A1 Placed Under Review for
Possible Downgrade;
previously on 11/3/2006 Assigned Aa1
Class B Original Notes, Downgraded to Ba2 Placed Under Review for
Possible Downgrade;
previously on 11/3/2006 Assigned Baa2
U.S.$206,000,000 Class A-1a Senior
Secured Floating Rate Term Notes Due 2038, Downgraded to A1 Placed
Under Review for
Possible Downgrade; previously on 11/3/2006 Assigned Aa1
U.S.$250,000,000 Class A-2 Senior
Secured Floating Rate Revolving Notes Due 2038, Downgraded to A1
Placed Under
Review for Possible Downgrade; previously on 11/3/2006 Assigned Aa1
U.S.$53,000,000 Class Ba Senior Secured
Deferrable Floating Rate Term Notes Due 2038, Downgraded to Ba2
Placed
Under Review for Possible Downgrade; previously on 11/3/2006 Assigned
Baa2
Gemstone CDO Ltd.
Class A-1 Floating Rate Notes Due December 2034, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned Aaa
Class A-2 Floating Rate Notes Due December 2034, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned Aaa
Class A-3 Floating Rate Notes Due December 2034, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 12/23/2004 Assigned Aaa
Class B Floating Rate Notes Due December 2034, Downgraded to A2
Under Review for Possible Downgrade; previously on
12/23/2007 Aa2 Placed Under Review for Possible Downgrade
Class C Floating Rate Deferrable Interest Notes Due December 2034,
Downgraded to Baa2 Under Review for Possible
Downgrade; previously on 12/23/2007 A2 Placed Under Review for Possible
Downgrade
Class D-1 Floating Rate Deferrable Interest Notes Due December
2034, Downgraded to Caa1 Under Review for Possible
Downgrade; previously on 11/19/2008 B1 Placed Under Review for Possible
Downgrade
Class D-2 Fixed Rate Deferrable Interest Notes Due December 2034,
Downgraded to Caa1 Under Review for Possible
Downgrade; previously on 11/19/2008 B1 Placed Under Review for Possible
Downgrade
Glacier Funding CDO I Limited
U.S.$190,000,000 Class A-1 First
Priority Senior Floating Rate Notes Due 2039, Downgraded to Aa1
Placed Under Review
for Possible Downgrade; previously on 3/31/2004 Assigned Aaa
U.S.$43,500,000 Class B Third Priority
Senior Floating Rate Notes Due 2039, Downgraded to Ba2 Under Review
for
Possible Downgrade; previously on 11/14/2008 Baa2 Placed Under Review
for Possible Downgrade
U.S.$44,000,000 Class A-2 Second
Priority Senior Floating Rate Notes Due 2039, Downgraded to A2 Under
Review for
Possible Downgrade; previously on 11/14/2008 Aa2 Placed Under Review
for Possible Downgrade
Glacier Funding CDO II, Ltd.
Class A-1NV Notes, Downgraded to B1 Under Review for Possible
Downgrade; previously on 4/30/2008 Ba1 Placed Under
Review for Possible Downgrade
Class A-1V Notes, Downgraded to B1 Under Review for Possible
Downgrade; previously on 4/30/2008 Ba1 Placed Under
Review for Possible Downgrade
Class A-2 Notes, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 4/30/2008 B3 Placed Under
Review for Possible Downgrade
Heather Finance Limited Series 2004-13 CoRDS1
Equity, Downgraded to Baa3 Placed Under Review for Possible Downgrade;
previously on 10/7/2004 Assigned A3
High Grade Structured Credit CDO 2004-1 LTD.
Class C Floating Rate Notes, Downgraded to A1 Under Review for Possible
Downgrade; previously on 6/9/2008 Aa1 Placed
Under Review for Possible Downgrade
Class D Floating Rate Notes, Downgraded to Baa2 Under Review for
Possible Downgrade; previously on 6/9/2008 A2
Placed Under Review for Possible Downgrade
Class E Floating Rate Notes, Downgraded to Ba3 Under Review for
Possible Downgrade; previously on 6/9/2008 Baa3
Placed Under Review for Possible Downgrade
Class F Floating Rate Notes, Downgraded to B2 Under Review for Possible
Downgrade; previously on 6/9/2008 Ba2 Placed
Under Review for Possible Downgrade
Hillcrest CDO I Ltd
Class 2 Composite Notes, Downgraded to Caa2 Under Review for Possible
Downgrade; previously on 10/22/2008 B2 Placed
Under Review for Possible Downgrade
Class 3 Composite Notes, Downgraded to Baa2 Under Review for Possible
Downgrade; previously on 10/22/2008 A2 Placed
Under Review for Possible Downgrade
Class A-1a Floating Rate Senior Secured Notes Due 2039, Downgraded
to B2 Under Review for Possible Downgrade;
previously on 10/22/2008 Ba2 Placed Under Review for Possible Downgrade
Class A-1b Fixed Rate Senior Secured Notes Due 2039, Downgraded
to B3 Under Review for Possible Downgrade;
previously on 10/22/2008 Ba3 Placed Under Review for Possible Downgrade
House of Europe Funding II PLC
Class A House of Europe Funding II Floating Rate Notes due 2044,
Downgraded to Ba1 Under Review for Possible
Downgrade; previously on 11/21/2008 Baa1 Placed Under Review for
Possible Downgrade
Class B House of Europe Funding II Floating Raste Notes due 2044,
Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 11/21/2008 Caa1 Placed Under Review for
Possible Downgrade
House of Europe III PLC
EUR 57,500,000 Class C House of Europe Funding III Floating
Rate Notes due 2090, Downgraded to Ca ; previously on
6/9/2008 Downgraded to B2
EUR 60,000,000 Class B House of Europe Funding III Floating
Rate Notes due 2090, Downgraded to B1 Placed Under
Review for Possible Downgrade; previously on 6/9/2008 Downgraded
to Aa1
EUR 7,500,000 Class D House of Europe Funding III Floating
Rate Notes due 2090, Downgraded to C ; previously on
6/9/2008 Downgraded to Ca
EUR 870,000,000 Class A House of Europe Funding III Floating
Rate Notes due 2090, Downgraded to A3 Placed Under
Review for Possible Downgrade; previously on 11/1/2004 Assigned Aaa
Independence V CDO, LTD
Class A-1 Senior Floating RateNotes Due 2039, Downgraded
to Ba3 Under Review for Possible Downgrade; previously on
2/28/2008 A3 Placed Under Review for Possible Downgrade
Inman Square Funding I, Ltd
U.S. $11,648,903 Class D Combination
Notes Due 2039, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/2/2008 Ba3 Placed Under Review for Possible Downgrade
U.S. $15,000,000 Class IV Mezzanine Secured
Floating Rate Notes Due 2039, Downgraded to B1 Under Review for
Possible
Downgrade; previously on 6/2/2008 Ba1 Placed Under Review for Possible
Downgrade
U.S. $165,000,000 Class I Senior Secured
Floating Rate Notes Due 2034, Aaa Placed Under Review for Possible
Downgrade; previously on 11/1/2004 Assigned Aaa
U.S. $18,000,000 Class III Mezzanine
Secured Fixed Rate Notes Due 2039, Downgraded to Baa3 Placed Under
Review for
Possible Downgrade; previously on 11/1/2004 Assigned A3
U.S. $22,000,000 Class A Combination
Notes Due 2039, Downgraded to Baa2 Placed Under Review for Possible
Downgrade; previously on 11/1/2004 Assigned A2
U.S. $30,000,000 Class II Senior Secured
Floating Rate Notes Due 2039, Downgraded to A2 Placed Under Review
for
Possible Downgrade; previously on 11/1/2004 Assigned Aa2
U.S. $30,078,370 Class B Combination
Notes Due 2039, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/2/2008 Ba3 Placed Under Review for Possible Downgrade
U.S. $4,000,000 Class IV Mezzanine Secured
Fixed Rate Notes Due 2039, Downgraded to B1 Under Review for Possible
Downgrade; previously on 6/2/2008 Ba1 Placed Under Review for Possible
Downgrade
U.S. $5,824,451 Class C Combination Notes
Due 2039, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/2/2008 Ba3 Placed Under Review for Possible Downgrade
U.S. $6,500,000 Class E Combination Notes
Due 2039, Downgraded to Caa2 Under Review for Possible Downgrade;
previously on 6/2/2008 B2 Placed Under Review for Possible Downgrade
U.S. $7,000,000 Class II Senior Secured
Fixed Rate Notes Due 2039, Downgraded to A2 Placed Under Review
for Possible
Downgrade; previously on 11/1/2004 Assigned Aa2
Ischus CDO I Ltd.
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2040-1, Downgraded to Aa2 Placed Under Review for
Possible Downgrade; previously on 1/10/2005 Assigned Aaa
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Aa3 Under Review for Possible
Downgrade; previously on 11/25/2008 Aaa Placed Under Review for Possible
Downgrade
Class B Third Priority Senior Secured Floating Rate Notes Due 2040,
Downgraded to Baa2 Under Review for Possible
Downgrade; previously on 11/25/2008 A2 Placed Under Review for Possible
Downgrade
Class C-1 Mezzanine Secured Floating Rate Notes Due 2040,
Downgraded to B3 Under Review for Possible Downgrade;
previously on 11/25/2008 Ba3 Placed Under Review for Possible Downgrade
Class C-2 Mezzanine Secured Fixed Rate Notes Due 2040, Downgraded
to B3 Under Review for Possible Downgrade;
previously on 11/25/2008 Ba3 Placed Under Review for Possible Downgrade
Jupiter High-Grade CDO Ltd
Class A-1A Notes, Downgraded to Aa3 Placed Under Review for
Possible Downgrade; previously on 2/4/2005 Assigned Aaa
Class A-1B Notes, Downgraded to Aa3 Placed Under Review for
Possible Downgrade; previously on 2/4/2005 Assigned Aaa
Class A-2 Notes, Downgraded to Baa1 Under Review for Possible
Downgrade; previously on 11/14/2008 A1 Placed Under
Review for Possible Downgrade
Class B Notes, Downgraded to Ba1 Under Review for Possible Downgrade;
previously on 11/14/2008 Baa1 Placed Under
Review for Possible Downgrade
Kirkwood CDO 2004-1 Ltd.
Class A Floating Rate Notes Due December 30, 2044, Downgraded
to Aa3 Under Review for Possible Downgrade;
previously on 6/18/2008 Aaa Placed Under Review for Possible Downgrade
Class B Floating Rate Deferrable Notes Due December 30, 2044,
Downgraded to Aa3 Under Review for Possible
Downgrade; previously on 6/18/2008 Aaa Placed Under Review for Possible
Downgrade
Class C Floating Rate Deferrable Notes Due December 30, 2044,
Downgraded to A1 Placed Under Review for Possible
Downgrade; previously on 1/5/2005 Assigned Aa1
Class D Floating Rate Deferrable Notes Due December 30, 2044,
Downgraded to Baa2 Placed Under Review for Possible
Downgrade; previously on 1/5/2005 Assigned A2
Class X Notes Due December 30, 2009, Downgraded to Aa3 Under
Review for Possible Downgrade; previously on
6/18/2008 Aaa Placed Under Review for Possible Downgrade
KLIO Funding, Ltd/KLIO Funding Corp.
Cl. A-1, Downgraded to Aa3 Placed Under Review for
Possible Downgrade; previously on 4/30/2004 Assigned Aaa
Cl. A-2, Downgraded to Baa1 Under Review for Possible
Downgrade; previously on 6/9/2008 A1 Placed Under Review for
Possible Downgrade
Cl. B, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/9/2008 Ba3 Placed Under Review for
Possible Downgrade
Funding Notes, Downgraded to Aa3 Placed Under Review for Possible
Downgrade; previously on 6/24/2008 Assigned Aaa
Klio II Funding, Ltd.
Refunding Notes Cl. F, Downgraded to Baa1 Under Review for
Possible Downgrade; previously on 11/10/2008 A1 Placed
Under Review for Possible Downgrade
U.S.$292,500,000 Class A-1 Floating
Rate Notes Due 2039, Downgraded to Caa3 Under Review for Possible
Downgrade;
previously on 11/10/2008 Caa2 Placed Under Review for Possible Downgrade
Knollwood CDO Ltd.
Class A-1 First Priority Senior Secured Floating Rate Notes due
January 8, 2039, Downgraded to Ba3 Under Review for
Possible Downgrade; previously on 5/30/2008 Baa3 Placed Under Review
for Possible Downgrade
Class A-2 Second Priority Senior Secured Floating Rate Notes due
January 8, 2039, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/30/2008 B3 Placed Under Review
for Possible Downgrade
Class B Third Priority Senior Secured Floating Rate Notes due January
8, 2039, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/30/2008 Caa1 Placed Under Review
for Possible Downgrade
Laguna ABS CDO, Ltd.
Class A1J Senior Secured Floating Rate Notes, Downgraded to A2 Under
Review for Possible Downgrade; previously on
11/10/2008 Aa2 Placed Under Review for Possible Downgrade
Class A1SB-1 Notes, Downgraded to Aa3 Placed Under Review
for Possible Downgrade; previously on 11/5/2004 AssignedAaa
Class A1SB-2 Notes, Downgraded to Aa3 Placed Under Review
for Possible Downgrade; previously on 11/5/2004 AssignedAaa
Class A1ST Notes, Downgraded to Aa3 Placed Under Review for Possible
Downgrade; previously on 11/5/2004 AssignedAaa
Class A2 Senior Secured Floating Rate Notes, Downgraded to Baa3
Under Review for Possible Downgrade; previously on
11/10/2008 A3 Placed Under Review for Possible Downgrade
Lakeside CDO II, Ltd
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes Due 2040, Downgraded to Aa3 Placed Under
Review for Possible Downgrade; previously on 4/28/2004 Assigned Aaa
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to A1 Under Review for Possible
Downgrade; previously on 5/30/2008 Aa1 Placed Under Review for Possible
Downgrade
Class B Third Priority Secured Floating Rate Notes Due 2040, Downgraded
to B1 Under Review for Possible Downgrade;
previously on 5/30/2008 Ba1 Placed Under Review for Possible Downgrade
Class C Mezzanine Secured Floating Rate Notes Due 2040, Downgraded
to Caa3 Under Review for Possible Downgrade;
previously on 5/30/2008 Caa2 Placed Under Review for Possible Downgrade
Margate Funding I, LTD.
U.S.$ 100,000,000 Class A1J Senior Secured
Floating Rate Notes, Downgraded to Ba3 Under Review for Possible
Downgrade; previously on 11/25/2008 Baa3 Placed Under Review for
Possible Downgrade
U.S.$ 805,000,000 Class A1S Senior Secured
Floating Rate Notes, Downgraded to A1 Under Review for Possible
Downgrade; previously on 11/25/2008 Aa1 Placed Under Review for Possible
Downgrade
MCKINLEY FUNDING, LTD.
ABCP Notes/Funding Notes, Downgraded to A1 Under Review for Possible
Downgrade; previously on 7/10/2008 Aa1 Placed
Under Review for Possible Downgrade
Clas A-3 Notes, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 6/9/2008 B3 Placed Under
Review for Possible Downgrade
Class A-1 Notes, Downgraded to Ba2 Under Review for Possible
Downgrade; previously on 6/9/2008 Baa2 Placed Under
Review for Possible Downgrade
Class A-2 Notes, Downgraded to B3 Under Review for Possible
Downgrade; previously on 6/9/2008 Ba3 Placed Under
Review for Possible Downgrade
Mercury CDO 2004-1, Ltd.
U.S.$100,000 Class A-1VA First Priority
Senior Secured Voting Floating Rate Notes, Downgraded to Aa2 Placed
Under
Review for Possible Downgrade; previously on 12/2/2004 Assigned Aaa
U.S.$17,000,000 Class C Fourth Priority
Mezzanine Secured Floating Rate Notes, Downgraded to B2 Placed Under
Review
for Possible Downgrade; previously on 12/23/2007 Downgraded to Ba2
U.S.$25,000,000 Class A-2A Second
Priority Senior Secured Floating Rate Notes, Downgraded to Aa3 Placed
Under Review
for Possible Downgrade; previously on 12/2/2004 Assigned Aaa
U.S.$299,900,000 Class A-1NV First
Priority Senior Secured Non-Voting Floating Rate Notes, Downgraded
to Aa2 Placed
Under Review for Possible Downgrade; previously on 12/2/2004 Assigned
Aaa
U.S.$31,050,000 Class A-2B Second
Priority Senior Secured Floating Rate Notes, Downgraded to Aa3 Placed
Under Review
for Possible Downgrade; previously on 12/2/2004 Assigned Aaa
U.S.$330,000,000 Class A-1VB First
Priority Senior Secured Voting Floating Rate Notes, Downgraded to
Aa2 Placed Under
Review for Possible Downgrade; previously on 12/2/2004 Assigned Aaa
U.S.$38,880,000 Class B Third Priority
Senior Secured Floating Rate Notes, Downgraded to A2 Placed Under
Review for
Possible Downgrade; previously on 12/2/2004 Assigned Aa2
Millerton ABS CDO, Ltd.
U.S.$210,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2039, Downgraded to Aa3 Placed Under
Review for
Possible Downgrade; previously on 11/25/2004 Assigned Aaa
U.S.$24,750,000 Class B Senior Secured
Floating Rate Notes Due 2039, Downgraded to B3 Under Review for
Possible
Downgrade; previously on 11/21/2008 Ba3 Placed Under Review for Possible
Downgrade
U.S.$36,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2039, Downgraded to Baa2 Under Review
for Possible
Downgrade; previously on 11/21/2008 A2 Placed Under Review for Possible
Downgrade
Millstone Funding, Ltd./Millstone Funding Corp.
Cl. A-1, Downgraded to Caa2 Under Review for Possible
Downgrade; previously on 4/22/2008 Baa2 Placed Under Review
for Possible Downgrade
Cl. A-2, Downgraded to Ca ; previously on 4/22/2008
Ba3 Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C ; previously on 4/22/2008 Caa3
Placed Under Review for Possible Downgrade
MKP CBO III Ltd
Class A-2 Second Priority Senior Secured Floating Rate Notes,
Due 2039, Downgraded to Aa3 Placed Under Review for
Possible Downgrade; previously on 4/28/2004 Assigned Aaa
Class B Third Priority Senior Secured Floating Rate Notes, Due 2039,
Downgraded to A2 Placed Under Review for Possible
Downgrade; previously on 4/28/2004 Assigned Aa2
Class C Mezzanine Secured Floating Rate Notes, Due 2039, Downgraded
to B1 Under Review for Possible Downgrade;
previously on 11/19/2008 Ba1 Placed Under Review for Possible Downgrade
Newcastle CDO IV, Limited
Class II-FL Deferrable Floating Rate Notes, Downgraded to
A2 Placed Under Review for Possible Downgrade; previously on
3/31/2004 Assigned Aa2
Class II-FX Deferrable Fixed Rate Notes, Downgraded to A2
Placed Under Review for Possible Downgrade; previously on
3/31/2004 Assigned Aa2
Class III-FL Deferrable Floating Rate Notes, Downgraded to
Baa2 Placed Under Review for Possible Downgrade; previously
on 3/31/2004 Assigned A2
Class III-FX Deferrable Fixed Rate Notes, Downgraded to Baa2
Placed Under Review for Possible Downgrade; previously
on 3/31/2004 Assigned A2
Class I-MM Floating Rate Notes, Downgraded to Aa3 Placed
Under Review for Possible Downgrade; previously on
3/31/2004 Assigned Aaa
Class IV-FL Deferrable Floating Rate Notes, Downgraded to
Ba2 Placed Under Review for Possible Downgrade; previously
on 3/31/2004 Assigned Baa2
Class IV-FX Deferrable Fixed Rate Notes, Downgraded to Ba2
Placed Under Review for Possible Downgrade; previously on
3/31/2004 Assigned Baa2
Class V Deferrable Fixed Rate Notes, Downgraded to B2 Placed Under
Review for Possible Downgrade; previously on
3/31/2004 Assigned Ba2
Newcastle CDO V, Limited
Class I Floating Rate Notes, Downgraded to Aa3 Placed Under Review
for Possible Downgrade; previously on 10/4/2004
Assigned Aaa
Class II Deferrable Floating Rate Notes, Downgraded to A2 Placed
Under Review for Possible Downgrade; previously on
10/4/2004 Assigned Aa2
Class III Deferrable Floating Rate Notes, Downgraded to Baa2 Placed
Under Review for Possible Downgrade; previously on
10/4/2004 Assigned A2
Class IV-FL Deferrable Floating Rate Notes, Downgraded to
Ba2 Placed Under Review for Possible Downgrade; previously
on 10/4/2004 Assigned Baa2
Class IV-FX Deferrable Fixed Rate Notes, Downgraded to Ba2
Placed Under Review for Possible Downgrade; previously on
10/4/2004 Assigned Baa2
Class V Deferrable Fixed Rate Notes, Downgraded to B2 Placed Under
Review for Possible Downgrade; previously on
10/4/2004 Assigned Ba2
North Street Referenced Linked Notes, 2004-6 Limited
Class A Floating Rate Notes, Downgraded to B1 Under Review for Possible
Downgrade; previously on 10/30/2008 Ba1
Placed Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 10/30/2008 Caa2
Placed Under Review for Possible Downgrade
N-Star Real Estate CDO II Ltd.
Class A-1 Floating Rate Senior Notes due 2039, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 8/11/2004 Assigned Aaa
Class B-1 Floating Rate Senior Subordinate Notes due 2039,
Downgraded to Baa2 Placed Under Review for Possible
Downgrade; previously on 4/27/2007 A2 Placed Under Review for Possible
Upgrade
Class B-2 Floating Rate Senior Subordinate Notes due 2039,
Downgraded to Baa3 Placed Under Review for Possible
Downgrade; previously on 4/27/2007 A3 Placed Under Review for Possible
Upgrade
Class C-1 Floating Rate Subordinate Notes due 2039, Downgraded
to Ba3 Placed Under Review for Possible Downgrade;
previously on 4/27/2007 Baa3 Placed Under Review for Possible Upgrade
Palisades CDO Ltd.
U.S. $15,000,000 TYPE III COMPOSITE NOTES
DUE JULY 2039, Downgraded to Ba2 Under Review for Possible
Downgrade; previously on 4/9/2008 Baa2 Placed Under Review for Possible
Downgrade
U.S. $15,200,000 CLASS C-1 FLOATING
RATE NOTES DUE JULY 2039, Downgraded to B2 Under Review for Possible
Downgrade; previously on 4/29/2008 Ba2 Placed Under Review for Possible
Downgrade
U.S. $15,700,000 CLASS C-2 7.88%
NOTES DUE [July]JULY 2039, Downgraded to B2 Under Review for
Possible
Downgrade; previously on 4/29/2008 Ba2 Placed Under Review for Possible
Downgrade
U.S. $366,000,000 CLASS A-1A FLOATING
RATE NOTES DUE JULY 2039, Downgraded to Aa3 Placed Under Review
for
Possible Downgrade; previously on 8/11/2004 Assigned Aaa
U.S. $4,800,000 TYPE IV COMPOSITE NOTES
DUE JULY 2039, Downgraded to Ba3 Under Review for Possible
Downgrade; previously on 4/9/2008 Baa3 Placed Under Review for Possible
Downgrade
U.S. $6,000,000 CLASS A-1B 4.69%
NOTES DUE JULY 2039, Downgraded to Aa3 Placed Under Review for Possible
Downgrade; previously on 8/11/2004 Assigned Aaa
U.S. $6,000,000 CLASS B-2 5.65%
NOTES DUE JULY 2039, Downgraded to Baa1 Under Review for Possible
Downgrade;
previously on 4/29/2008 A1 Placed Under Review for Possible Downgrade
U.S. $78,000,000 CLASS B-1 FLOATING
RATE NOTES DUE JULY 2039, Downgraded to Baa1 Under Review for Possible
Downgrade; previously on 4/29/2008 A1 Placed Under Review for Possible
Downgrade
U.S. $88,500,000 CLASS A-2 FLOATING
RATE NOTES DUE JULY 2039, Downgraded to A1 Under Review for Possible
Downgrade; previously on 4/29/2008 Aa1 Placed Under Review for Possible
Downgrade
Paragon CDO, Limited
U.S $75,000,000 Class A Floating Rate Notes
Due 2044, Downgraded to A1 Under Review for Possible Downgrade;
previously on 5/30/2008 Aa1 Placed Under Review for Possible Downgrade
U.S.$10,000,000 Class C Floating Rate
Deferrable Notes Due 2044, Downgraded to B1 Under Review for Possible
Downgrade; previously on 5/30/2008 Ba1 Placed Under Review for Possible
Downgrade
U.S.$25,000,000 Class B Floating Rate
Notes Due 2044, Downgraded to Ba1 Under Review for Possible Downgrade;
previously on 5/30/2008 Baa1 Placed Under Review for Possible Downgrade
Pillars CDO I Transaction
Class A Tranche, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 11/25/2008 Caa1 Placed Under
Review for Possible Downgrade
Pinnacle Point Funding Ltd.
Class A-1 Notes, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 4/29/2008 Caa1 Placed Under
Review for Possible Downgrade
Class A-2 Notes, Downgraded to Ca ; previously on 4/29/2008
Caa2 Placed Under Review for Possible Downgrade
Porter Square CDO II, Ltd.
Class A-2 Senior Secured Floating Rate Notes, Downgraded
to A1 Under Review for Possible Downgrade; previously on
11/25/2008 Aa1 Placed Under Review for Possible Downgrade
Class B Senior Secured Floating Rate Notes, Downgraded to Baa2 Under
Review for Possible Downgrade; previously on
11/25/2008 A2 Placed Under Review for Possible Downgrade
Class C Mezzanine Secured Deferrable Floating Rate Notes, Downgraded
to Caa3 Placed Under Review for Possible
Downgrade; previously on 4/1/2008 Downgraded to Caa1
REPACS Trust Series Bayshore I
Class A Debt Unit, Downgraded to Baa3 Placed Under Review for Possible
Downgrade; previously on 7/3/2008 Downgraded
to A3
Class B Debt Unit, Downgraded to Baa3 Placed Under Review for Possible
Downgrade; previously on 7/3/2008 Downgraded
to A3
REPACS TRUST SERIES: Bayshore II
Debt Unit, Downgraded to Baa2 Placed Under Review for Possible Downgrade;
previously on 7/1/2008 Downgraded to A2
Reservoir Funding Ltd.
U.S. $374,900,000 Class A-1-NV
First Priority Senior Non-Voting Floating Rate Notes Due 2040,
Downgraded to Baa2 Under
Review for Possible Downgrade; previously on 11/20/2008 A2 Placed
Under Review for Possible Downgrade
U.S. $75,000,000 Class A-2 Second
Priority Senior Floating Rate Notes Due 2040, Downgraded to Caa3
Under Review for
Possible Downgrade; previously on 11/20/2008 B3 Placed Under Review
for Possible Downgrade
U.S.$100,000 Class A-1-V First
Priority Senior Floating Rate Notes Due 2040, Downgraded to Baa2
Under Review for
Possible Downgrade; previously on 11/20/2008 A2 Placed Under Review
for Possible Downgrade
Sandstone CDO Ltd.
U.S. $30,000,000 Composite Notes,
Downgraded to Aa2 Placed Under Review for Possible Downgrade; previously
on
7/8/2004 Assigned Aa1
US $18,700,000 Class D Fourth Priority Secured Floating
Rate Deferrable Interest Notes Due 2039, Downgraded to Ba1
Placed Under Review for Possible Downgrade; previously on 2/16/2007
Upgraded to Baa1
US $41,200,000 Class B Second Priority Senior Secured
Floating Rate Notes Due 2039, Downgraded to Aa2 Placed Under
Review for Possible Downgrade; previously on 2/16/2007 Upgraded to
Aa1
US $9,400,000 Class C Third Priority Secured Floating
Rate Deferrable Interest Notes Due 2039, Downgraded to Baa1
Placed Under Review for Possible Downgrade; previously on 2/16/2007
Upgraded to A1
Saturn Ventures 2004 - Fund America Investors III, Limited
$10,000,000 Class B Floating Rate Senior Subordinate
Notes, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 6/2/2008 B3 Placed Under Review for Possible Downgrade
$22,000,000 Class A-3 Floating Rate Senior Notes,
Downgraded to Ba2 Under Review for Possible Downgrade; previously
on 6/2/2008 Baa2 Placed Under Review for Possible Downgrade
$280,000,000 Class A-1 Floating Rate Senior
Notes, Downgraded to Aa3 Placed Under Review for Possible Downgrade;
previously on 5/17/2004 Assigned Aaa
$60,000,000 Class A-2 Floating Rate Senior Notes,
Downgraded to A3 Under Review for Possible Downgrade; previously
on
6/2/2008 Aa3 Placed Under Review for Possible Downgrade
Saturn Ventures II, Limited
$20,000,000 Class B Floating Rate Subordinate Notes,
Downgraded to B2 Under Review for Possible Downgrade; previously
on 5/9/2008 Ba2 Placed Under Review for Possible Downgrade
$25,000,000 Class A-3 Floating Rate Senior Notes,
Downgraded to Ba3 Under Review for Possible Downgrade; previously
on 5/9/2008 Baa3 Placed Under Review for Possible Downgrade
$289,000,000 Class A-1 Short Term Notes,
Downgraded to A1 Placed Under Review for Possible Downgrade; previously
on
7/2/2008 Assigned Aa1
$50,000,000 Class A-2 Floating Rate Senior Notes,
Downgraded to Baa3 Under Review for Possible Downgrade; previously
on 5/9/2008 A3 Placed Under Review for Possible Downgrade
Sherwood Funding CDO, Ltd
U.S. $3,500,000 B-2 Senior Secured
Fixed Rate Notes Due 2039-4, Downgraded to Caa1 Under Review
for Possible
Downgrade; previously on 5/18/2008 B1 Placed Under Review for Possible
Downgrade
U.S. $357,500,000 A-1 Senior Secured
Floating Rate Notes Due 2039-1, Downgraded to A1 Under Review
for Possible
Downgrade; previously on 5/18/2008 Aa1 Placed Under Review for Possible
Downgrade
U.S. $40,500,000 B-1 Senior Secured
Floating Rate Notes Due 2039-3, Downgraded to Caa1 Under
Review for Possible
Downgrade; previously on 5/18/2008 B1 Placed Under Review for Possible
Downgrade
U.S. $82,500,000 A-2 Senior Secured
Floating Rate Notes Due 2039-2, Downgraded to Ba3 Under Review
for Possible
Downgrade; previously on 5/18/2008 Baa3 Placed Under Review for Possible
Downgrade
U.S. 8,000,000 Class 1 Combination Notes Due
2039, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 5/18/2008 B1 Placed Under Review for Possible Downgrade
Sierra Madre Funding, Ltd./ Sierra Madre Funding (Delaware)
Corp. - Floating Rate Notes
Cl. A-2, Downgraded to A2 Under Review for Possible
Downgrade; previously on 7/30/2008 Aa2 Placed Under Review for
Possible Downgrade
Cl. A-lLT-a, Downgraded to Aa3 Under Review
for Possible Downgrade; previously on 7/30/2008 Aaa Placed Under
Review
for Possible Downgrade
Cl. A-lLT-b, Downgraded to Aa3 Under Review
for Possible Downgrade; previously on 7/30/2008 Aaa Placed Under
Review
for Possible Downgrade
Cl. B, Downgraded to A3 Under Review for Possible Downgrade;
previously on 7/30/2008 Aa3 Placed Under Review for
Possible Downgrade
Cl. C, Downgraded to Ba3 Under Review for Possible Downgrade;
previously on 7/30/2008 Baa3 Placed Under Review for
Possible Downgrade
Cl. D, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 7/30/2008 B1 Placed Under Review for
Possible Downgrade
Cl. E, Downgraded to B2 Under Review for Possible Downgrade;
previously on 7/30/2008 Ba2 Placed Under Review for
Possible Downgrade
SOUTH COAST FUNDING V LTD
U.S.$10,000,000 Class A-1 Combination
Securities due 2039, Downgraded to Caa3 Under Review for Possible
Downgrade;
previously on 11/20/2008 B3 Placed Under Review for Possible Downgrade
U.S.$10,000,000 Class A-3 Combination
Securities due 2039, Downgraded to B1 Under Review for Possible
Downgrade;
previously on 11/20/2008 Ba1 Placed Under Review for Possible Downgrade
U.S.$115,500,000 Class B Third Priority
Senior Secured Floating Rate Notes Due 2039, Downgraded to Baa2
Under Review
for Possible Downgrade; previously on 11/20/2008 A2 Placed Under
Review for Possible Downgrade
U.S.$4,000,000 Class A-2 Combination
Securities due 2039, Downgraded to Caa2 Under Review for Possible
Downgrade;
previously on 11/20/2008 B2 Placed Under Review for Possible Downgrade
U.S.$47,050,000 Class C-1 Mezzanine
Secured Floating Rate Notes Due 2039, Downgraded to Caa3 Under Review
for
Possible Downgrade; previously on 11/20/2008 Caa2 Placed Under Review
for Possible Downgrade
U.S.$5,200,000 Class C-2 Mezzanine
Secured Fixed Rate Notes Due 2039, Downgraded to Caa3 Under Review
for Possible
Downgrade; previously on 11/20/2008 Caa2 Placed Under Review for
Possible Downgrade
U.S.$53,000,000 Class A-3 Second
Priority Senior Secured Floating Rate Notes Due 2039, Downgraded
to Aa3 Placed
Under Review for Possible Downgrade; previously on 7/20/2004 Assigned
Aaa
U.S.$748,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2039, Downgraded
to Aa2 Placed Under
Review for Possible Downgrade; previously on 7/20/2004 Assigned Aaa
U.S.$92,750,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2039, Downgraded
to Aa3 Placed
Under Review for Possible Downgrade; previously on 7/20/2004 Assigned
Aaa
STEERS CREDIT-LINKED TRUST, MAST TRANCHE, Series 2004-1
Senior Tranche terminated on 9/20/2009, Downgraded to Aa3 Placed
Under Review for Possible Downgrade; previously on
9/14/2004 Assigned Aaa
STEERS Series 2004-1
STEERS Credit-Linked Trust, ML Tranche Series 2004-1
U.S. $19,000,000 Certificates,
Downgraded to Ba3 Placed Under
Review for Possible Downgrade; previously on 6/23/2004 Assigned Baa3
Stockbridge CDO Ltd.
Class A-1 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to Aa3 Placed Under Review for Possible
Downgrade; previously on 11/25/2004 Assigned Aaa
Class A-2 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to Ba3 Under Review for Possible Downgrade;
previously on 6/9/2008 Baa3 Placed Under Review for Possible Downgrade
Class A-3 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 6/9/2008 B3 Placed Under Review for Possible
Downgrade
Straits Global ABS CDO I, Ltd.
U.S.$ 41,000,000 Class B-1 Senior
Secured Floating Rate Notes Due 2040, Downgraded to Caa3 Under Review
for Possible
Downgrade; previously on 7/17/2008 Caa1 Placed Under Review for Possible
Downgrade
U.S.$ 7,000,000 Class B-2 Senior
Secured Fixed Rate Notes Due 2040, Downgraded to Caa3 Under Review
for Possible
Downgrade; previously on 7/17/2008 Caa1 Placed Under Review for Possible
Downgrade
U.S.$248,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2040, Downgraded
to A3 Under Review
for Possible Downgrade; previously on 7/17/2008 Aaa Placed Under
Review for Possible Downgrade
U.S.$72,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2040, Downgraded
to Ba3 Under
Review for Possible Downgrade; previously on 7/17/2008 A3 Placed
Under Review for Possible Downgrade
Strata Trust, Series 2004-4
US $20,000,000 Floating Rate Credit-Linked Notes,
Downgraded to Baa3 Placed Under Review for Possible Downgrade;
previously on 9/9/2008 Downgraded to A3
Streeterville ABS CDO, Ltd.
U.S.$10,000,000 Class C-2 Mezzanine
Secured Fixed Rate Notes Due 2040, Downgraded to B1 Under Review
for Possible
Downgrade; previously on 5/23/2008 Ba1 Placed Under Review for Possible
Downgrade
U.S.$30,000,000 Class B-1 Third
Priority Secured Floating Rate Notes Due 2040, Downgraded to A3
Under Review for
Possible Downgrade; previously on 5/23/2008 Aa3 Placed Under Review
for Possible Downgrade
U.S.$37,000,000 Class B-2 Third
Priority Secured Fixed Rate Notes Due 2040, Downgraded to A3 Under
Review for
Possible Downgrade; previously on 5/23/2008 Aa3 Placed Under Review
for Possible Downgrade
U.S.$50,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2040, Downgraded
to A1 Under Review
for Possible Downgrade; previously on 5/23/2008 Aa1 Placed Under
Review for Possible Downgrade
U.S.$6,000,000 Class C-1 Mezzanine
Secured Floating Rate Notes Due 2040, Downgraded to B1 Under Review
for Possible
Downgrade; previously on 5/23/2008 Ba1 Placed Under Review for Possible
Downgrade
U.S.$850,000,000 Class A-1 First
Priority Senior Secured Floating Rate Delayed Draw Notes Due 2040,
Downgraded to Aa3
Placed Under Review for Possible Downgrade; previously on 10/8/2004
Assigned Aaa
Summer Street 2004-1, Ltd.
Class A-1 Flt. Rt. Senior Secured Notes, Downgraded
to Aa3 Placed Under Review for Possible Downgrade; previously on
12/13/2004 Assigned Aaa
Class A-2 Flt. Rt. Senior Secured Notes, Downgraded
to A2 Under Review for Possible Downgrade; previously on 5/23/2008
Aa2 Placed Under Review for Possible Downgrade
Class A-3 Flt. Rt. Senior Secured Notes, Downgraded
to Ba2 Under Review for Possible Downgrade; previously on
5/23/2008 Baa2 Placed Under Review for Possible Downgrade
Class B Flt. Rt. Subordinate Secured Deferrable Notes,
Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 5/23/2008 B1 Placed Under Review for Possible Downgrade
TABS 2004-1, Ltd.
Class A-1 Notes, Downgraded to Aa3 Placed Under Review for
Possible Downgrade; previously on 1/7/2005 Assigned Aaa
Class A-2 Notes, Downgraded to Ba2 Under Review for Possible
Downgrade; previously on 5/30/2008 Baa2 Placed Under
Review for Possible Downgrade
Class B Notes, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 5/30/2008 B3 Placed Under
Review for Possible Downgrade
Trainer Wortham First Republic CBO IV, Limited
$12,000,000 Class C Secured Floating Rate Notes due
2038, Downgraded to Ba1 Placed Under Review for Possible
Downgrade; previously on 1/26/2004 Assigned Baa1
$220,000,000 Class A Senior Secured Floating Rate Notes
due 2034, Downgraded to Aa3 Placed Under Review for Possible
Downgrade; previously on 1/26/2004 Assigned Aaa
32,000,000 Class B Senior Secured Notes due 2038, Downgraded
to A1 Placed Under Review for Possible Downgrade;
previously on 1/26/2004 Assigned Aa1
TRAINER WORTHAM FIRST REPUBLIC CBO V LTD.
U.S.$10,000,000 Class C Mezzanine Secured
Floating Rate Notes Due 2040, Downgraded to Baa2 Placed Under Review
for
Possible Downgrade; previously on 12/1/2004 Assigned A2
U.S.$11,000,000 Class D Mezzanine Secured
Floating Rate Notes Due 2040-1, Downgraded to B1 Under Review
for
Possible Downgrade; previously on 5/30/2008 Ba1 Placed Under Review
for Possible Downgrade
U.S.$255,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2040, Downgraded
to Aa2 Placed Under
Review for Possible Downgrade; previously on 12/1/2004 Assigned Aaa
U.S.$28,000,000 Class B Third Priority
Senior Secured Floating Rate Notes Due 2040, Downgraded to A2 Placed
Under
Review for Possible Downgrade; previously on 12/1/2004 Assigned Aa2
U.S.$34,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2040-1, Downgraded
to Aa3 Placed
Under Review for Possible Downgrade; previously on 12/1/2004 Assigned
Aaa
Tricadia CDO 2003-1, Ltd.
Class A-1LA Floating Rate Notes Due February 2016, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned Aaa
Class A-1LB Floating Rate Notes Due February 2016, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned Aaa
Class A-2L Floating Rate Notes Due February 2016, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned Aaa
Class A-3L Floating Rate Notes Due February 2016, Downgraded
to A2 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned Aa2
Class A-4L Floating Rate Notes Due February 2016, Downgraded
to Baa2 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned A2
Class B-1L Floating Rate Notes Due February 2016, Downgraded
to Ba1 Placed Under Review for Possible Downgrade;
previously on 1/21/2004 Assigned Baa1
Tricadia CDO 2004-2, Ltd.
Class A Senior Secured Floating Rate Notes Due 2019, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 11/25/2004 Assigned Aaa
Class B Second Priority Deferrable Floating Rate Notes Due 2019,
Downgraded to Baa2 Placed Under Review for Possible
Downgrade; previously on 11/25/2004 Assigned A2
Class C Third Priority Deferrable Floating Rate Notes Due 2019,
Downgraded to Ba1 Placed Under Review for Possible
Downgrade; previously on 11/25/2004 Assigned Baa1
Vermeer Funding, Ltd
Class A-1 Senior Secured Floating Rate Notes due 2039, Downgraded
to Aa2 Placed Under Review for Possible Downgrade;
previously on 4/22/2004 Assigned Aaa
Class A-2 Senior Secured Floating Rate Notes due 2039, Downgraded
to Aa3 Placed Under Review for Possible Downgrade;
previously on 4/22/2004 Assigned Aaa
Class B Senior Secured Floating Rate Notes due 2039, Downgraded
to A2 Placed Under Review for Possible Downgrade;
previously on 4/22/2004 Assigned Aa2
Class C Mezzanine Secured Floating Rate Notes due 2039, Downgraded
to B1 Under Review for Possible Downgrade;
previously on 5/9/2008 Ba1 Placed Under Review for Possible Downgrade
Combination Securities due June 3, 2039, Downgraded to Caa1
Under Review for Possible Downgrade; previously on
5/9/2008 B1 Placed Under Review for Possible Downgrade
Vertical CDO 2004-1 Ltd.
Class A Floating Rate Notes, Downgraded to Baa2 Under Review for
Possible Downgrade; previously on 6/2/2008 A2
Placed Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to B2 Under Review for Possible
Downgrade; previously on 6/2/2008 Ba2 Placed
Under Review for Possible Downgrade
Class C Floating Rate Notes, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 6/2/2008 B3
Placed Under Review for Possible Downgrade
Combination Security I, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 6/2/2008 Caa1 Placed
Under Review for Possible Downgrade
Preference Shares, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 6/2/2008 Caa1 Placed Under
Review for Possible Downgrade
Whately CDO I, Ltd.
U.S. $15,000,000 Combination B Notes
Due June 2044, Downgraded to Caa2 Under Review for Possible Downgrade;
previously on 4/2/2008 B2 Placed Under Review for Possible Downgrade
U.S. $261,000,000 Class A-1A Floating
Rate Notes Due June 2044 (the "Class A-1A Notes"), Downgraded
to Aa3 Placed
Under Review for Possible Downgrade; previously on 6/18/2004 Assigned
Aaa
U.S. $27,000,000 Class A-2 Floating
Rate Notes Due June 2044, Downgraded to B2 Under Review for Possible
Downgrade;
previously on 4/23/2008 Ba2 Placed Under Review for Possible Downgrade
U.S. $6,000,000 Class A-1BF Fixed
Rate Notes Due June 2044, Downgraded to Baa3 Under Review for Possible
Downgrade; previously on 4/23/2008 A3 Placed Under Review for Possible
Downgrade
U.S. $63,000,000 Class A-1BV Floating
Rate Notes Due June 2044 (the "Class A-1BV Notes"), Downgraded
to Baa3 Under
Review for Possible Downgrade; previously on 4/23/2008 A3 Placed
Under Review for Possible Downgrade
Whitehawk CDO Funding, LTD.
Class A-2 Floating Rate Notes, Downgraded to A1 Under Review
for Possible Downgrade; previously on 7/10/2008 Aa1
Placed Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to Baa3 Under Review for
Possible Downgrade; previously on 7/10/2008 A3
Placed Under Review for Possible Downgrade
Class C Floating Rate Deferrable Interest Notes, Downgraded to Caa3
Under Review for Possible Downgrade; previously
on 7/10/2008 Caa2 Placed Under Review for Possible Downgrade
Up to U.S.$870,000,000 Class A-1
MM Money Market Floating Rate Notes, Downgraded to Aa3 Placed Under
Review for
Possible Downgrade; previously on 6/25/2008 Assigned Aaa
Up to U.S.$870,000,000 Class A-1
MT Medium Term Floating Rate Notes, Downgraded to A2 Placed Under
Review for
Possible Downgrade; previously on 6/25/2008 Assigned Aa2
Witherspoon CDO Funding, Ltd.
U.S. 602,001,000 Class A-1 LT-b
Floating Rate Notes Due 2039-1, Downgraded to Aa3 Placed
Under Review for Possible
Downgrade; previously on 1/11/2005 Assigned Aaa
U.S.$23,000,000 Class C Floating Rate
Deferrable Interest Notes Due 2039-1, Downgraded to B1 Under
Review for
Possible Downgrade; previously on 5/23/2008 Ba1 Placed Under Review
for Possible Downgrade
U.S.$258,000,000 Class A-1 LT-a
Floating Rate Notes Due 2039, Downgraded to Aa3 Placed Under Review
for Possible
Downgrade; previously on 1/11/2005 Assigned Aaa
U.S.$40,000,000 Class B Floating Rate
Notes Due 2039-1, Downgraded to A3 Under Review for Possible
Downgrade;
previously on 5/23/2008 Aa3 Placed Under Review for Possible Downgrade
U.S.$5,000,000 Combination Securities
Due 2039, Downgraded to Caa3 Under Review for Possible Downgrade;
previously
on 5/23/2008 B3 Placed Under Review for Possible Downgrade
U.S.$50,000,000 Class A-2 Floating
Rate Notes Due 2039-1, Downgraded to A1 Under Review for
Possible Downgrade;
previously on 5/23/2008 Aa1 Placed Under Review for Possible Downgrade
U.S.$9,000,000 Class D Floating Rate
Deferrable Interest Notes Due 2039-1, Downgraded to Caa3
Under Review for
Possible Downgrade; previously on 5/23/2008 Caa2 Placed Under Review
for Possible Downgrade
Zenith Funding, Ltd.
A-1, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 6/17/2008 B1 Placed Under Review for
Possible Downgrade
For more information please see www.moodys.com.
New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Stephen Lioce
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
