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Rating Action:

Moody's lowers ratings of 348 Notes issued by 166 structured finance CDO transactions issued in 2006

16 Dec 2008
Moody's lowers ratings of 348 Notes issued by 166 structured finance CDO transactions issued in 2006

New York, December 16, 2008 -- Moody's Investors Service announced today that it has downgraded its ratings of 348 Notes issued by certain collateralized debt obligation transactions backed by structured finance securities ("SF CDOs"), each of which 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:

Silver Elms CDO plc

Class Description: $490,000,000 Class A-1a Floating Rate Notes, Due 2051

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/29/2008

Class Description: $133,000,000 Class A-1b Delayed Draw Floating Rate Notes, Due 2051

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/29/2008

Caldecott CDO 1, Ltd.

Class Description: U.S.$200,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2048

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 6/2/2008

Ischus Synthetic ABS CDO 2006-2 Ltd.

Class Description: U.S. $575,000,000 Class A-1LA Investor Swap

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/30/2008

Pacific Pinnacle CDO Ltd

Class Description: U.S.$800,000,000 Class A-1LA Floating Rate Notes Due January 2052

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 8/26/2008

Class Description: Class X Interest Only Notes Due January 2019

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 8/26/2008

Lunar Funding V Plc

Class Description: Series 2006-27 Secured Floating Rate Credit-linked Notes due 2052-1

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/29/2008

Sheffield CDO II, Ltd.

Class Description: U.S.$ 9,000,000 Class S Senior Secured Floating Rate Notes due 2051

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$169,300,000 Class A-1 Variable Funding Notes due 2051

Current Rating: A1, under review for possible downgrade

Prior Rating: Aa1, under review for possible downgrade

Prior Rating Date: 10/6/2008

Class Description: U.S.$32,500,000 Class A-2 Senior Secured Floating Rate Notes due 2051

Current Rating: A3, under review for possible downgrade

Prior Rating: Aa3, under review for possible downgrade

Prior Rating Date: 10/6/2008

Class Description: U.S.$32,500,000 Class A-3 Senior Secured Floating Rate Notes due 2051

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 10/6/2008

Class Description: U.S.$31,600,000 Class B Senior Secured Floating Rate Notes due 2051

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 10/6/2008

Triaxx Prime CDO 2006-2, Ltd.

Class Description: U.S.$1,500,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: Aa1, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$1,499,950,000 Class A-1B1 First Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$1,499,950,000 Class A-1B2 First Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$100,000 Class A-1BV First Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$400,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 12/21/2006

Class Description: U.S.$60,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due October 2039

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2

Prior Rating Date: 12/21/2006

Class Description: U.S.$20,000,000 Class X Fourth Priority Junior Secured Amortizing Deferrable Floating Rate Notes Due October 2039

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 10/20/2008

Class Description: U.S.$20,000,000 Class C Fifth Priority Junior Secured Deferrable Floating Rate Notes Due October 2039

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 10/20/2008

Barramundi CDO I Ltd.

Class Description: Up to U.S.$540,400,000 Class A-1 Senior Secured Floating Rate Notes Due December 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$56,000,000 Class A-2 Senior Secured Floating Rate Notes Due December 2051

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$76,000,000 Class B Senior Secured Floating Rate Notes Due December 2051

Current Rating: Ca

Prior Rating: Caa3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Calculus ABS Resecuritization Trust, Series 2006-5

Class Description: US $15,000,000 Calculus ABS Resecuritization Trust, Series 2006-5 Units

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 9/25/2008

Calculus ABS Resecuritization Trust, Series 2006-6

Class Description: US $6,670,000 Calculus Resecuritization Trust Series 2006-6 Units

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 9/25/2008

HSPI Diversified CDO Fund I, Ltd.

Class Description: U.S. $22,900,000 Class S Senior Secured Floating Rate Notes due 2014

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 9/2/2008

Blue Edge ABS CDO Ltd.

Class Description: Up to U.S.$1,076,250,000 Class A-1 Floating Rate Notes Due 2050

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/2/2008

Fortius II Funding, Ltd.

Class Description: U.S.$ 12,700,000 Class S Floating Rate Notes Due 2010

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 10/15/2008

Mantoloking CDO 2006-1, Ltd.

Class Description: U.S.$375,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due 2046

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 10/6/2008

Orion 2006-2, Ltd.

Class Description: U.S.$34,000,000 Class S Senior Secured Floating Rate Notes Due 2014

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 8/26/2008

Strata Trust, Series 2006-24

Class Description: U.S. $55,000,000 Floating Rate Notes due December 21, 2016

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2, under review for possible downgrade

Prior Rating Date: 9/29/2008

West Trade Funding CDO II Ltd.

Class Description: U.S.$900,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/29/2008

Davis Square Funding VII, Ltd.

Class Description: U.S. $ 20,000,000 Class S Floating Rate Notes Due 2015

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 1/16/2007

Nassau CDO I, Ltd.

Class Description: U.S.$600,000,000 Class A-1A First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/5/2008

Class Description: U.S.$600,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/5/2008

Citius II Funding, Ltd.

Class Description: Up to U.S.$1,800,000,000 aggregate Principal Component of commercial paper notes/Class A ST Notes Due 2047

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Abacus 2006-HGS1, Ltd. Class A-1

Class Description: U.S.$99,000,000 Class A-1 Variable Rate Notes, Due 2039

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/9/2008

Centre Square CDO, Ltd.

Class Description: U.S.$150,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2051

Current Rating: C

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 6/3/2008

Class Description: U.S.$97,500,000 Class A-2A Second Priority Senior Secured Floating Rate Notes due 2051

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 6/3/2008

Class Description: U.S.$97,500,000 Class A-2B Second Priority Senior Secured Floating Rate Notes due 2051

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 6/3/2008

Class Description: U.S.$25,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes due 2051

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 6/3/2008

Class Description: U.S.$50,000,000 Class B Fourth Priority Senior Secured Floating Rate Notes due 2051

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 4/3/2008

Class Description: U.S.$22,000,000 Class C Fifth Priority Senior Secured Floating Rate Notes due 2051

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 4/3/2008

BFC Ajax CDO Ltd.

Class Description: U.S.$275,000,000 Class A Senior Floating Rate Notes Due 2046

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/25/2008

Class Description: U.S.$15,000,000 Class B Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Pine Mountain CDO II Ltd.

Class Description: $392,750,000 Class A Floating Rate Notes Due November 30, 2046

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/18/2008

Buchanan 2006-I Segregated Portfolio

Class Description: U.S.$115,000,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Buchanan 2006-II Segregated Portfolio

Class Description: U.S.$72,000,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Buchanan 2006-III Segregated Portfolio

Class Description: U.S.$10,000,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Buchanan 2006-IV Segregated Portfolio

Class Description: U.S.$4,000,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Orient Point CDO II, Ltd.

Class Description: U.S.$1,350,000,000 Class A First Priority Senior Secured Floating Rate Notes due 2051

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/4/2008

AMP ABX 2006-1, Ltd.

Class Description: U.S.$65,000,000 Notes Due 2036

Current Rating: A3, under review for possible downgrade

Prior Rating: Aa3, under review for possible downgrade

Prior Rating Date: 9/25/2008

IXIS ABS CDO 3 Ltd.

Class Description: U.S.$16,000,000 Class X Notes Due December 2013

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S.$76,000,000 Class A-1LB Floating Rate Notes Due December 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: Class A-1LA Investor Swap

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/30/2008

IMAC CDO 2006-1, Ltd.

Class Description: U.S.$75,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/30/2008

Istana High Grade ABS CDO I, Ltd.

Class Description: U.S.$600,000,000 Class A-1 First Priority Delayed Draw Floating Rate Notes Due 2048

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/27/2008

House of Europe Funding V PLC

Class Description: EUR 200,000,000 Class A1 House of Europe Funding V PLC Delayed Draw Note due 2090

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 11/3/2006

Class Description: EUR 580,000,000 Class A1 House of Europe Funding V PLC Floating Rate Notes due 2090

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 11/3/2006

Class Description: EUR 70,000,000 Class A2 House of Europe Funding V PLC Floating Rate Notes due 2090

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2, under review for possible downgrade

Prior Rating Date: 10/9/2008

Class Description: EUR 70,000,000 Class A3-a House of Europe Funding V PLC Floating Rate Notes due 2090

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 10/9/2008

Class Description: EUR 15,000,000 Class A3-b House of Europe Funding V PLC Fixed Rate Notes due 2090

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 10/9/2008

Class Description: EUR 21,000,000 Class B House of Europe Funding V PLC Floating Rate Notes due 2090

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/9/2008

Fort Duquesne CDO 2006-1 Ltd.

Class Description: U.S.$11,000,000 Class X Senior Secured Notes Due 2046

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 10/27/2008

Class Description: U.S.$450,000,000 Class A-1A Senior Secured Floating Rate Notes Due 2046

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 10/27/2008

Grand Avenue CDO II, Ltd.

Class Description: U.S.$1,128,000,000 Class A-1A Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/2/2008

Kent Funding III, Ltd.

Class Description: U.S.$780,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due 2047

Current Rating: Ba1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S.$325,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due 2047

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Halcyon Securitized Products Investors ABS CDO I Ltd.

Class Description: Class A-1 Senior Secured Floating Rate Notes, due 2050

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/18/2008

Class Description: Class A-2 Senior Secured Floating Rate Notes, due 2050

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/18/2008

Ixion PLC HELD 2006-1

Class Description: Series 1 HELD 2006 - 1 USD 242,000,000 Floating Rate Credit Linked Secured Notes due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 4/23/2008

Calculus ABS Resecuritization Trust, Series 4

Class Description: US $15,000,000 Calculus ABS Resecuritization Trust, Series 2006-4 Units

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 9/26/2008

ABACUS 2006-15, Ltd. (Class A-2)

Class Description: U.S.$70,000,000 Class A-2 Variable Rate Notes, Due 2045

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 4/29/2008

Parapet 2006 Ltd.

Class Description: U.S.$137,500,000 Class A Floating Rate Notes Due 2045

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/30/2008

LOCHSONG, LTD.

Class Description: U.S.$ 12,100,000 Class S Floating Rate Notes Due 2010

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 9/3/2008

Pyxis ABS CDO 2006-1 Ltd.

Class Description: Senior Swap

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/18/2008

Altius III Funding, Ltd.

Class Description: U.S.$ 17,500,000 Class S Floating Rate Notes Due 2014

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 9/29/2006

Class Description: U.S.$ 220,000,000 Class A-1a Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$ 499,950,000 Class A-1b-1F Floating Rate Notes Due 2041

Current Rating: Ba1, under review for possible downgrade

Prior Rating: Baa1, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$ 300,000,000 Class A-1b-2 Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$ 250,000,000 Class A-1b-3 Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$ 100,000 Class A-1b-v Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/23/2008

Wadsworth CDO, Ltd.

Class Description: U.S.$800,000,000 Class A-1A Senior Secured Floating Rate Notes due 2046

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 6/25/2008

Class Description: U.S.$256,000,000 Class A-1B Senior Secured Floating Rate Notes due 2046

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 6/25/2008

Commodore CDO V, Ltd.

Class Description: U.S.$75,000,000 Class A-1A First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2047

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/2/2008

Class Description: U.S.$225,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2047

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/2/2008

Rutland Rated Investments Series 31 (Millbrook 2006-4)

Class Description: Series 31 (Millbrook 2006-4) USD 15,500,000 Asset Backed Securities Class A Variable Rate Credit-Linked Notes due May 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Rutland Rated Investments Series 32 (Millbrook 2006-4)

Class Description: Series 32 (Millbrook 2006-4) USD 42,000,000 Asset Backed Securities Class B Variable Rate Credit-Linked Notes due May 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Abacus 2006-11, Ltd.

Class Description: U.S.$45,937,500 Class A-2 Variable Rate Notes, Due 2045, Series 1

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: U.S.$45,937,500 Class A-2 Variable Rate Notes, Due 2045, Series 2

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: U.S.$82,500,000 Class A-1 Variable Rate Notes, Due 2045

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: U.S.$19,375,000 Class B Variable Rate Notes, Due 2045

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: U.S.$18,750,000 Class C Variable Rate Notes, Due 2045

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: U.S. $12,500,000 Class B Series 2 Variable Rate Notes Due 2045

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/29/2008

Calculus ABS Resecuritization Trust, Series 2006-3

Class Description: U.S. $5,500,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-3 UNITS

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 9/25/2008

Calculus ABS Resecuritization Trust, Series 2006-1

Class Description: US $71,500,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-1 UNITS

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 9/25/2008

Calculus ABS Resecuritization Trust, Series 2006-2

Class Description: US $10,000,000 CALCULUS ABS RESECURITIZATION TRUST, SERIES 2006-2 UNITS

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 9/25/2008

ESP Funding I, Ltd.

Class Description: U.S.$225,000,000 Advance Swap between IXIS Financial Products ("Party A") and ESP Funding I, Ltd. ("Party B")

Current Rating: Ba1, under review for possible downgrade

Prior Rating: Baa1, under review for possible downgrade

Prior Rating Date: 9/26/2008

Triaxx Prime CDO 2006-1, Ltd.

Class Description: U.S.$2,400,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due March 2039

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 9/22/2006

Class Description: U.S.$213,600,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due March 2039

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 9/22/2006

Class Description: U.S.$32,000,000 Class B Third Priority Senior Secured Floating Rate Notes due March 2039

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2, under review for possible downgrade

Prior Rating Date: 11/5/2008

Class Description: U.S.$10,700,000 Class X Fourth Priority Junior Secured Amortizing Deferrable Floating Rate Notes due March 2039

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 11/5/2008

Class Description: U.S.$10,700,000 Class C Fifth Priority Junior Secured Deferrable Floating Rate Notes due March 2039

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 11/5/2008

E*TRADE ABS CDO V, Ltd.

Class Description: U.S.$201,000,000 Class A-1S Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/18/2008

Buckingham CDO III Ltd.

Class Description: Up to U.S. $1,350,000,000 Class A ST Notes Due 2051

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: Up to U.S. $1,350,000,000 Class A LT Notes Due 2051

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Mayflower CDO I Ltd.

Class Description: U.S.$20,000,000 Class X Notes Due September 2012

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S.$157,000,000 Class A-1LB Floating Rate Notes Due June 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S.$609,000,000 Class A-1LA Investor Swap

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/9/2008

Strata Trust, Series 2006-20

Class Description: U.S. $43,000,000 Floating Rate Notes due September 21, 2013

Current Rating: A3, under review for possible downgrade

Prior Rating: Aa3, under review for possible downgrade

Prior Rating Date: 8/5/2008

Coldwater CDO, Ltd.

Class Description: U.S. $290,000,000 Class A-1 Floating Rate Senior Secured Notes due 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Stillwater ABS CDO 2006-1, Ltd.

Class Description: Class A-1 First Priority Senior Secured Floating Rate Term Notes Due 2046

Current Rating: Ba2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 7/30/2008

Tower Hill CDO, Ltd.

Class Description: U.S.$100,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2016

Current Rating: A3, under review for possible downgrade

Prior Rating: Aa3

Prior Rating Date: 10/15/2008

Class Description: U.S.$112,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2016

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2

Prior Rating Date: 10/15/2008

Class Description: U.S.$72,000,000 Class B Senior Secured Deferrable Interest Floating Rate Notes Due 2016

Current Rating: Ba1, under review for possible downgrade

Prior Rating: Baa1

Prior Rating Date: 10/15/2008

Class Description: U.S.$24,000,000 Class C Senior Secured Deferrable Interest Floating Rate Notes Due 2016

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3

Prior Rating Date: 10/15/2008

Class Description: U.S.$60,000,000 Class D Senior Secured Deferrable Interest Floating Rate Notes Due 2016

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1

Prior Rating Date: 10/15/2008

Jupiter International 2006-1

Class Description: Jupiter 2006-1

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3

Prior Rating Date: 8/24/2008

NORTH COVE CDO III, LTD.

Class Description: Unfunded supersenior tranche

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/28/2008

ABACUS 2006-9, Ltd.

Class Description: U.S. $40,625,000 Class A-2 Variable Rate Notes, Due 2041

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $35,937,500 Class B Variable Rate Notes, Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $25,000,000 Class A-1 Variable Rate Notes Due 2041

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/30/2008

ART CDO 2006-1, Ltd.

Class Description: U.S.$865,000,000 Class A1S Senior Floating Rate Notes Due August 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 9/23/2008

Duke Funding XI, Ltd.

Class Description: €33,000,000 Class X Floating Rate Notes Due 2013

Current Rating: Caa2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: €132,000,000 Class A-1E Floating Rate Notes Due 2046

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: €88,000,000 Class A-2E Floating Rate Notes Due 2046

Current Rating: Ca

Prior Rating: Caa3, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: €704,000,000 Senior Swap

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/1/2008

Eolo Investments B.V. in respect of the Series 2006-1

Class Description: Series 2006-1

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 10/1/2008

Ridgeway Court Funding I, Ltd.

Class Description: Class A1M Notes

Current Rating: B2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class A1Q Notes

Current Rating: B2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class A2 Notes

Current Rating: Ca

Prior Rating: Caa3, under review for possible downgrade

Prior Rating Date: 5/23/2008

ARLO VI Limited 2006-4 (SABS)

Class Description: U.S. $15,000,000 Variable Secured Limited Recourse Credit-Linked Notes due 2040

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Marathon Structured Finance CDO I, Ltd.

Class Description: U.S. $30,000,000 Class A-1 Floating Rate Delayed Draw Notes Due 2046

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 11/29/2006

Class Description: U.S. $128,000,000 Class A-1 Floating Rate Term Notes Due 2046

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 11/29/2006

Class Description: U.S. $18,000,000 A-2 Floating Rate Notes Due 2046

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 11/29/2006

Class Description: U.S. $63,000,000 Class B Floating Rate Notes Due 2046

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2

Prior Rating Date: 11/29/2006

Class Description: U.S. $15,000,000 Class C Deferrable Floating Rate Notes Due 2046

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $22,900,000 Class D Deferrable Floating Rate Notes Due 2046

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 5/30/2008

West Coast Funding I, Ltd.

Class Description: U.S.$ 1,187,950,000 Class A-1a Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$ 1,187,950,000 Class A-1b Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$100,000 Class A-1v Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$81,000,000 Class A-2 Floating Rate Notes Due 2041

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$81,000,000 Class A-3 Floating Rate Notes Due 2041

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$54,000,000 Class B Floating Rate Notes Due 2041

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$60,750,000 Class C Deferrable Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$10,000,000 Combination Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/8/2008

Baldwin 2006-VII Segregated Portfolio

Class Description: Class A-1 Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 7/29/2008

Knollwood CDO II Ltd.

Class Description: Class A-1VF First Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: Class A-2S Second Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: Class A-2J Third Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: Class B Fourth Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 4/23/2008

ARLO VI Limited 2006-3 (SABS)

Class Description: U.S. $ 10,000,000 Initial Tranche Notional Amount Credit Default Swap with Barclays Bank plc

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 4/24/2008

RFC CDO IV Ltd.

Class Description: Class A-2 Senior Secured Floating Rate Notes Due July 15, 2051

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/3/2008

Class Description: Class A-3 Senior Secured Floating Rate Notes Due July 15, 2051

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/3/2008

Class Description: Class B Senior Secured Floating Rate Notes Due July 15, 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/3/2008

Class Description: Super Senior Facility

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 6/3/2008

Baldwin 2006-I Segregated Portfolio

Class Description: U.S.$35,000,000 Variable Floating Rate Notes Due 2046

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 7/29/2008

Baldwin 2006-II Segregated Portfolio

Class Description: U.S.$25,500,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 7/29/2008

Baldwin 2006-III Segregated Portfolio

Class Description: U.S.$18,000,000 Variable Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 7/29/2008

Baldwin 2006-IV Segregated Portfolio

Class Description: U.S.$51,000,000 Variable Floating Rate Notes Due 2038

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 7/29/2008

Credit Derivative Transaction Ref. No. NWGOC

Class Description: Credit Default Swap

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Lincoln Avenue ABS CDO, Ltd.

Class Description: Class A-1

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: Class A-2

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 5/30/2008

Class Description: Class B

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 5/30/2008

Millstone III CDO, Ltd.

Class Description: U.S.$2,000,000,000 Class A-1A Floating Rate Term Notes Due 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S.$71,500,000 Class A-1B Floating Rate Delayed Draw Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S.$70,000,000 Class A-2 Floating Rate Notes Due 2046

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Jupiter High-Grade CDO IV, Ltd.

Class Description: A-1A

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/2/2008

Class Description: A-1B

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/2/2008

Lexington Capital Funding II, Ltd.

Class Description: U.S.$385,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2046

Current Rating: B3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Class Description: U.S.$17,050,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/8/2008

Tricadia CDO 2006-6, Ltd.

Class Description: Class A-1LA

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 6/29/2006

Class Description: Class X

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 6/29/2006

Class Description: Class A-1LB

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 6/29/2006

Class Description: Class A-2L

Current Rating: A1, under review for possible downgrade

Prior Rating: Aa1

Prior Rating Date: 6/29/2006

Class Description: Class A-3L

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1

Prior Rating Date: 6/29/2006

Class Description: Class B-1L

Current Rating: Ba1, under review for possible downgrade

Prior Rating: Baa1

Prior Rating Date: 6/29/2006

Class Description: Class B-2L

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 11/5/2007

Ipswich Street CDO, Ltd.

Class Description: U.S. $1,530,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: U.S. $60,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: U.S. $62,000,000 Class B Third Priority Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 4/24/2008

Harp High Grade CDO I, Ltd.

Class Description: Class A-1 Notes

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 8/14/2008

UBS CDS Ref. #37395430

Class Description: First Loss Tranche

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 9/29/2008

AVANTI Funding 2006-1, Ltd.

Class Description: U.S.$279,000,000 Class A-1 Floating Rate Senior Secured Notes due 2046

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/29/2008

STRATA TRUST, SERIES 2006-13

Class Description: $79,000,000 Floating Rate Notes Due June 21, 2011

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2

Prior Rating Date: 7/1/2008

Vertical ABS CDO 2006-2, Ltd.

Class Description: Class A-S1VF

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: Class A1

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: Class A2

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/9/2008

Parkridge Lane Structured Finance Special Opportunities CDO I, Ltd.

Class Description: A1

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 10/8/2008

Class Description: A2

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/8/2008

Tricadia CDO 2006-5, Ltd.

Class Description: Class B

Current Rating: A3, under review for possible downgrade

Prior Rating: Aa3, under review for possible downgrade

Prior Rating Date: 10/1/2008

Class Description: Class C

Current Rating: Baa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 10/1/2008

Class Description: Class D

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/1/2008

Montauk Point CDO II, Ltd.

Class Description: Class A-1S

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class A-1J

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/24/2008

C-BASS CBO XVI Ltd.

Class Description: Class A

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Diversey Harbor ABS CDO, Ltd.

Class Description: U.S.$1,250,000,000 Class A-1M Floating Rate Senior Secured Notes due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$675,000,000 Class A-1Q Floating Rate Senior Secured Notes due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/23/2008

Orion 2006-1 Ltd.

Class Description: Senior Swap

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Libertas Preferred Funding I, Ltd.

Class Description: Class A-1

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/9/2008

Class Description: Class A-2

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 6/9/2008

Mercury CDO III, Ltd.

Class Description: U.S.$900,000,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2048

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/9/2008

Vertical ABS CDO 2006-1

Class Description: A-S1VF

Current Rating: B2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 4/22/2008

Class Description: A1

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/22/2008

Class Description: A2

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 4/22/2008

Belle Haven ABS CDO 2006-1, Ltd.

Class Description: Class A-1

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 9/23/2008

Mount Skylight CDO Ltd.

Class Description: $890,000,000 Class A-1 Floating Rate Notes Due November 3, 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 7/7/2008

Class Description: $51,500,000 Class A-2 Floating Rate Notes Due November 3, 2046

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 7/7/2008

Class Description: $30,000,000 Class B Floating Rate Notes Due November 3, 2046

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 7/7/2008

Class Description: $14,000,000 Class C Deferrable Interest Floating Rate Notes Due November 3, 2046

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 7/7/2008

Class V Funding II, Ltd.

Class Description: Class A-1

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/29/2008

Gemstone CDO V Ltd.

Class Description: U.S.$243,800,000 Class A-1 Floating Rate Notes Due September 2046

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: U.S.$152,200,000 Class A-2 Floating Rate Notes Due September 2046

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: U.S. $61,000,000 Class A-3 Floating Rate Notes Due September 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: U.S. $50,000,000 Class A-4 Floating Rate Notes Due September 2046

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Eirles Two Limited Series 242

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/18/2008

Eirles Two Limited Series 243

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/20/2008

Eirles Two Limited Series 244

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/20/2008

Eirles Two Limited Series 245

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/18/2008

Eirles Two Limited Series 247

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/20/2008

Broadwick Funding, Ltd.

Class Description: Class S

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/23/2008

Madaket Funding I, Ltd.

Class Description: US$500,000,000 Class A1M Floating Rate Notes Due 2046

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 10/17/2008

Class Description: US$300,000,000 Class A1Q Floating Rate Notes Due 2046

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 10/17/2008

Magnolia II 2006-6

Class Description: Series 2006-6B ABS Portfolio Variable Rate Notes

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/1/2008

Class Description: Series 2006-6C ABS Portfolio Variable Rate Notes

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 10/1/2008

Class Description: Series 2006-6D ABS Portfolio Variable Rate Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/1/2008

Class Description: Series 2006-6E ABS Portfolio Variable Rate Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/1/2008

SLSpoke 2006-1

Class Description: U.S.$30,000,000 Variable Floating Rate Notes Due 2041

Current Rating: Baa1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 8/4/2008

ABSpoke 2006-III C

Class Description: U.S.$30,000,000 Variable Floating Rate Notes Due 2045

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/24/2008

ABSpoke 2006-IIIA

Class Description: U.S.$20,000,000 Variable Floating Rate Notes Due 2045

Current Rating: Caa3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 4/24/2008

ABSpoke 2006-IIIB

Class Description: U.S.$30,000,000 Variable Floating Rate Notes Due 2045

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Kent Funding II, Ltd.

Class Description: Class A-1A

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 9/2/2008

ARLO VI Limited Series 2006 (Zander I)

Class Description: Zander I

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/9/2008

ARLO VI Limited Series 2006 (Zander III)

Class Description: U.S. $19,000,000 Variable Secured Limited Recourse Credit-Linked Notes due May 3, 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Citius I Funding, Ltd.

Class Description: Class A ST

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: Class A LT

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Class Description: Class A-1

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 4/23/2008

Hout Bay 2006-1 Ltd.

Class Description: Class S Notes

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 5/16/2006

Class Description: Class A-1 Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/23/2008

ABACUS 2006-12, LTD.

Class Description: U.S. $95,000,000 Class A-1 Floating Rate Notes, Due 2038

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Toro ABS CDO II, Ltd.

Class Description: U.S.$885,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes Due June 2043

Current Rating: Caa2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 7/9/2008

WEST TRADE FUNDING CDO I LTD.

Class Description: U.S.$1,350,000,000 Class A-1 First Priority Senior Secured Floating Rate Delayed Draw Notes due June 2044

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Fox Trot CDO Ltd.

Class Description: Class A

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: Class B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/1/2008

ABSpoke 2006-IIC

Class Description: U.S.$15,000,000 Variable Floating Rate Notes Due 2037

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Duke Funding X Ltd

Class Description: Senior Swap

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: Class A1 Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/1/2008

Class Description: Class A2 Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/1/2008

Static Residential CDO 2006-A Ltd.

Class Description: Class A-1(a) Floating Rate Notes

Current Rating: B1, under review for possible downgrade

Prior Rating: Baa1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class A-1(b) Floating Rate Notes

Current Rating: B3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class A-2 Floating Rate Notes

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class B Floating Rate Notes

Current Rating: Caa2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class C Deferrable Interest Floating Rate Notes

Current Rating: Ca

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 4/24/2008

G Square Finance 2006-1 Ltd

Class Description: Class X Senior Secured Floating Rate Notes due 2051

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 3/31/2006

Class Description: Class A-1 Senior Secured Floating Rate Notes due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 10/23/2008

Magnolia Finance II plc., Series 2006-5

Class Description: Series 2006-5A

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/30/2008

Magnolia Finance II plc., Series 2006-5

Class Description: Series 2006-5B

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 4/30/2008

Bernoulli High Grade CDO I, Ltd.

Class Description: Class A1-A First Priority Senior Secured Floating Rate Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/27/2008

Class Description: Class A-1B First Priority Senior Secured Floating Rate Notes

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 10/27/2008

Davis Square Funding VI, Ltd.

Class Description: U.S. $274,000,000 Class A-1LT-a Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S. $300,000,000 Class A-1LT-b Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: up to U.S. $1,166,000,000 Class A-1LT-c Floating Rate Notes Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S. $85,000,000 Class A-2 Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S. $105,000,000 Class B Floating Rate Notes Due 2041

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Monterey CDO, Ltd.

Class Description: U.S.$240,000,000 Class A-1A First Priority Senior Secured Floating Rate Delayed Draw Notes Due September 2042

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/28/2008

Class Description: U.S.$560,000,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due September 2042

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 10/28/2008

Tierra Alta Funding I, Ltd.

Class Description: Class F Notes

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 10/28/2008

ZAIS Investment Grade Limited VIII

Class Description: Class A-1

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/6/2008

ABACUS 2006-8, LTD.

Class Description: U.S. $27,500,000 Class A-3 Floating Rate Notes, Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $20,000,000 Class B Floating Rate Notes, Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $50,000,000 Class A-1 Floating Rate Notes, Due 2045

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S. $35,000,000 Class A-2 Floating Rate Notes, Due 2045

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Lancer Funding, Ltd.

Class Description: Class A-1S1

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 10/17/2008

Acacia CDO 9, Ltd.

Class Description: Class A First Priority Senior Secured Floating Rate Notes

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/28/2008

Class Description: Class B Second Priority Senior Secured Floating Rate Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 10/28/2008

Connecticut Valley Structured Credit CDO III, Ltd.

Class Description: Class A-2

Current Rating: Aa3, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 3/31/2006

Class Description: Class A-3A

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2

Prior Rating Date: 3/31/2006

Class Description: Class A-3B

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2

Prior Rating Date: 3/31/2006

Class Description: Class B-1

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2

Prior Rating Date: 3/31/2006

Class Description: Class B-2

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2

Prior Rating Date: 3/31/2006

Class Description: Class C-1

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2

Prior Rating Date: 3/31/2006

Class Description: Class C-2

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2

Prior Rating Date: 3/31/2006

Class Description: Class A-1

Current Rating: Aa2, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 3/31/2006

Class Description: Class Q

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2

Prior Rating Date: 3/31/2006

Ischus Synthetic ABS CDO 2006-1, Ltd.

Class Description: Senior Swap

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 7/3/2008

Class Description: Class X

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 7/3/2008

Class Description: Class A-1LB

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 7/3/2008

Neptune CDO III, Ltd.

Class Description: Class S

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/6/2008

Orchid Structured Finance CDO III, Ltd.

Class Description: U.S.$350,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: U.S.$65,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2046

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/30/2008

Fortius I Funding Ltd

Class Description: U.S.$ 11,500,000 Class S Floating Rate Notes Due 2010

Current Rating: Aaa, under review for possible downgrade

Prior Rating: Aaa

Prior Rating Date: 3/28/2006

Class Description: U.S.$ 390,000,000 Class A-1 Floating Rate Note Due 2041

Current Rating: Ba3, under review for possible downgrade

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 10/23/2008

Class Description: U.S.$ 84,000,000 Class A-2 Floating Rate Notes Due 2041

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 10/23/2008

Long Hill 2006-1 CDO, Ltd

Class Description: Class A-S1VF Notes

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 3/26/2008

Class Description: Class A-S2T Notes

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: Class A1 Notes

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: Class A2 Notes

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/9/2008

Ischus High Grade Funding I, Ltd.

Class Description: Class A1S

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 10/20/2008

ABSpoke 2006-IA

Class Description: U.S.$100,000,000 Variable Floating Rate Notes Due 2046

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

North Cove CDO II, Ltd.

Class Description: Class A

Current Rating: B3, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class B

Current Rating: Caa2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class C

Current Rating: Ca

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class D

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/23/2008

Class Description: Class E

Current Rating: Ca

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/23/2008

BFC Genesee CDO Ltd.

Class Description: Class A-1LA

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/29/2008

Class Description: Class A-1LB

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/29/2008

Millerton II High Grade ABS CDO, Ltd.

Class Description: U.S.$1,118,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2051

Current Rating: Ba2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 6/4/2008

Class Description: U.S.$91,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2051

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/4/2008

Class Description: U.S.$46,500,000 Class B Senior Secured Floating Rate Notes Due 2051

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 6/4/2008

Montauk Point CDO, Ltd.

Class Description: Class A-1 First Priority Senior Secured Floating Rate Notes

Current Rating: Caa1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: Class A-2 Second Priority Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 5/30/2008

Class Description: Class B Third Priority Senior Secured Floating Rate Notes

Current Rating: Ca

Prior Rating: Caa2, under review for possible downgrade

Prior Rating Date: 5/30/2008

C-BASS CBO XV Ltd.

Class Description: U.S.$565,800,000 Class A First Priority Senior Secured Floating Rate Notes Due 2041-1

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 5/16/2008

Class Description: U.S.$39,100,000 Class B Second Priority Senior Secured Floating Rate Notes Due 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 5/16/2008

Bayberry Funding, Ltd.

Class Description: Class II Senior Floating Rate Notes

Current Rating: C

Prior Rating: B3, under review for possible downgrade

Prior Rating Date: 9/25/2008

Class Description: Class III Senior Floating Rate Notes

Current Rating: C

Prior Rating: Ca

Prior Rating Date: 9/25/2008

Burnham Harbor CDO 2006-1

Class Description: Class A-1Lb

Current Rating: Ba2, under review for possible downgrade

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: Class A-2L

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: Class A-3L

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 4/29/2008

Class Description: Class B-1L

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 4/29/2008

Longshore CDO Funding 2006-1 Ltd.

Class Description: Class A-1

Current Rating: Ba1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 6/4/2008

Class Description: Class A-2

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 6/4/2008

South Coast Funding VIII, Ltd

Class Description: Class A-1V

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/2/2008

Class Description: Class A-1NV

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/2/2008

Class Description: Class A-2

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 6/2/2008

Gemstone CDO IV Ltd.

Class Description: Class A-1 Floating Rate Notes Due February 2041

Current Rating: Caa3, under review for possible downgrade

Prior Rating: Caa1, under review for possible downgrade

Prior Rating Date: 10/1/2008

RFC CDO III Ltd.

Class Description: Class A-1 Investor Swap

Current Rating: Baa2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 10/1/2008

STAtic ResidenTial CDO 2005-C

Class Description: Class A-1

Current Rating: Ba1, under review for possible downgrade

Prior Rating: A1, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class A-2

Current Rating: Caa3, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class B

Current Rating: Ca

Prior Rating: A3, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class C

Current Rating: Ca

Prior Rating: Baa2, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class D

Current Rating: Ca

Prior Rating: Baa3, under review for possible downgrade

Prior Rating Date: 4/24/2008

Class Description: Class E

Current Rating: Ca

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 4/24/2008

ABSpoke 2005-XII B

Class Description: Variable Floating Rate Notes

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 4/23/2008

Opus CDO I Ltd.

Class Description: Super Senior Swap

Current Rating: A2, under review for possible downgrade

Prior Rating: Aa2, under review for possible downgrade

Prior Rating Date: 6/9/2008

Class Description: Class A Senior Senior Floating Rate Notes Due 2050-1

Current Rating: Ba1, under review for possible downgrade

Prior Rating: Baa1, under review for possible downgrade

Prior Rating Date: 6/9/2008

Class Description: Class B Senior Senior Floating Rate Notes Due 2050

Current Rating: B1, under review for possible downgrade

Prior Rating: Ba1, under review for possible downgrade

Prior Rating Date: 6/9/2008

Class Description: Class C Mezzanine Floating Rate Deferrable Notes Due 2050

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 6/9/2008

Class Description: Combination Notes

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 6/9/2008

TOPANGA CDO, LTD.

Class Description: U.S.$49,000,000 Class A-1 Floating Rate Senior Secured Notes Due 2045

Current Rating: B2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 5/9/2008

Class Description: U.S.$37,000,000 Class A-2 Floating Rate Senior Secured Notes Due 2045

Current Rating: Caa1, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 5/9/2008

GSC ABS CDO 2005-1, Ltd.

Class Description: Senior Swap

Current Rating: Caa2, under review for possible downgrade

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 10/9/2008

KLEROS PREFERRED FUNDING II, LTD.

Class Description: U.S.$250,000 Class A-1V First Priority Senior Secured Voting Floating Rate Notes Due December 2042

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 10/20/2008

Class Description: U.S.$869,750,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes Due December 2042

Current Rating: B3, under review for possible downgrade

Prior Rating: Ba3, under review for possible downgrade

Prior Rating Date: 10/20/2008

Duke Funding High Grade IV, Ltd.

Class Description: Class A-1

Current Rating: Ba2, under review for possible downgrade

Prior Rating: A2, under review for possible downgrade

Prior Rating Date: 7/21/2008

Class Description: Class A-2

Current Rating: Caa2, under review for possible downgrade

Prior Rating: Ba2, under review for possible downgrade

Prior Rating Date: 7/21/2008

Class Description: Class B-1

Current Rating: Caa3, under review for possible downgrade

Prior Rating: B1, under review for possible downgrade

Prior Rating Date: 7/21/2008

Class Description: Class B-2

Current Rating: Ca

Prior Rating: B2, under review for possible downgrade

Prior Rating Date: 7/21/2008

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

No Related Data.
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