New York, January 30, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 51 Notes issued by 9 collateralized debt obligation transactions which
consist of significant exposure to Alt-A, Option-ARM
and subprime RMBS securities.
Moody's explained that the rating actions listed below reflect Moody's
revised loss projections for Alt-A RMBS securities which were described
in a press release titled "Moody's Updated Loss Projections for '06 and
'07 Alt-A RMBS," published on January 22, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations. As a result of the
revised loss projections, in most cases, subordinate Alt-A
RMBS securities are likely to be completely written down. Moody's
is likely to downgrade the ratings of these securities to Ca or C.
In addition, according to the press release, credit protection
from structural features should provide most senior Alt-A RMBS
bond holders with fairly high recovery rates, although approximately
80-85% of all senior securities are likely to experience
recoveries consistent with ratings lower than B3. For more details
on the revised loss projections and Moody's updated Alt-A surveillance
methodology, please see "Alt-A RMBS Loss Projection Update:
January 2009," available on Moodys.com.
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)
For more information please see www.moodys.com
Today's rating actions are as follows:
Acacia CDO 7, Ltd.
U.S. $231,700,000 Class A First Priority
Senior Secured Floating Rate Notes Due 2045, Downgraded to B1;
previously on 12/17/2008 Downgraded to A1 Under Review for Possible Downgrade
U.S. $28,100,000 Class B Second Priority
Senior Secured Floating Rate Notes Due 2045, Downgraded to Ca;
previously on 12/17/2008 Downgraded to A3 Under Review for Possible Downgrade
U.S. $6,000,000 Class C Third Priority
Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2045,
Downgraded to C; previously on 12/17/2008 Downgraded to Ba2 Under
Review for Possible Downgrade
U.S. $16,200,000 Class D Fourth Priority
Mezzanine Secured Floating Rate Deferrable Interest Notes Due 2045,
Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 Under
Review for Possible Downgrade
Altius II Funding, Ltd.
Class A-1 Floating Rate Notes, Downgraded to B1; previously
on 12/17/2008 Baa1 Under Review for Possible Downgrade
Class A-2 Floating Rate Notes, Downgraded to Ca; previously
on 12/17/2008 B3 Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to C; previously on
11/10/2008 Ca
Buckingham CDO II Ltd.
Base Liquidity Advances, Downgraded to Caa2; previously on
12/17/2008 Baa3 Under Review for Possible Downgrade
Class A LT Notes, Downgraded to Caa2; previously on 12/17/2008
Baa3 Under Review for Possible Downgrade
Class B, Downgraded to C; previously on 12/17/2008 Caa3 Under
Review for Possible Downgrade
Class C, Downgraded to C; previously on 12/17/2008 Ca
Inman Square Funding I, Ltd
U.S. $165,000,000 Class I Senior Secured
Floating Rate Notes Due 2034, Downgraded to Baa2; previously
on 12/22/2008 Aaa Placed Under Review for Possible Downgrade
U.S. $30,000,000 Class II Senior Secured
Floating Rate Notes Due 2039, Downgraded to Ca; previously
on 12/22/2008 A2 Placed Under Review for Possible Downgrade
U.S. $7,000,000 Class II Senior Secured
Fixed Rate Notes Due 2039, , Downgraded to Ca; previously
on 12/22/2008 A2 Placed Under Review for Possible Downgrade
U.S. $18,000,000 Class III Mezzanine
Secured Fixed Rate Notes Due 2039, Downgraded to C; previously
on 12/22/2008 Baa3 Placed Under Review for Possible Downgrade
U.S. $15,000,000 Class IV Mezzanine Secured
Floating Rate Notes Due 2039, Downgraded to C; previously on
12/22/2008 B1 Under Review for Possible Downgrade
U.S. $4,000,000 Class IV Mezzanine Secured
Fixed Rate Notes Due 2039, Downgraded to C; previously on 12/22/2008
B1 Under Review for Possible Downgrade
U.S. $22,000,000 Class A Combination
Notes Due 2039, Downgraded to C; previously on 12/22/2008 Baa2
Placed Under Review for Possible Downgrade
U.S. $30,078,370 Class B Combination
Notes Due 2039, Downgraded to C; previously on 12/22/2008 B3
Under Review for Possible Downgrade
U.S. $5,824,451 Class C Combination Notes
Due 2039, Downgraded to C; previously on 12/22/2008 B3 Under
Review for Possible Downgrade
U.S. $11,648,903 Class D Combination
Notes Due 2039, Downgraded to C; previously on 12/22/2008 B3
Under Review for Possible Downgrade
U.S. $6,500,000 Class E Combination Notes
Due 2039, Downgraded to C; previously on 12/22/2008 Caa2 Under
Review for Possible Downgrade
Longport Funding II, Ltd.
U.S.$195,000,000 Class A1S Senior Secured
Floating Rate Notes due 2040, Downgraded to Caa1; previously
on 12/17/2008 Aa3 Placed Under Review for Possible Downgrade
U.S.$35,000,000 Class A1J Senior Secured
Floating Rate Notes due 2040, Downgraded to C; previously on
12/17/2008 A2 Under Review for Possible Downgrade
U.S.$30,000,000 Class A2 Senior Secured
Floating Rate Notes due 2040, Downgraded to C; previously on
12/17/2008 Baa3 Under Review for Possible Downgrade
U.S.$13,000,000 Class A3 Secured Deferrable
Interest Floating Rate Notes due 2040, Downgraded to C; previously
on 12/17/2008 Caa1 Under Review for Possible Downgrade
SUMMER STREET 2005-HG1, LTD.
U.S.$935,000,000 Class A-1 Floating
Rate Senior Secured Notes due 2045, Downgraded to Caa2; previously
on 12/17/2008 A1 Under Review for Possible Downgrade
U.S.$100,000,000 Class A-2 Floating
Rate Senior Secured Notes due 2045, Downgraded to Ca; previously
on 12/17/2008 Ba2 Under Review for Possible Downgrade
U.S.$21,500,000 Class B Floating Rate
Subordinate Secured Notes due 2045, Downgraded to C; previously
on 12/17/2008 B1 Under Review for Possible Downgrade
U.S.$15,000,000 Class C Floating Rate
Subordinate Secured Deferrable Notes due 2045, Downgraded to C;
previously on 12/17/2008 Caa3 Under Review for Possible Downgrade
U.S.$13,100,000 Class D Floating Rate
Subordinate Secured Deferrable Notes due 2045, Downgraded to C;
previously on 12/17/2008 Caa3 Under Review for Possible Downgrade
U.S.$15,400,000 Class E Income Notes
Due 2045, Downgraded to C; previously on 4/22/2008 Ca
Triaxx Prime CDO 2006-1, Ltd.
U.S.$2,400,000,000 Class A-1
First Priority Senior Secured Floating Rate Notes due March 2039,
Downgraded to Caa3; previously on 12/16/2008 Aa2 Placed Under Review
for Possible Downgrade
U.S.$213,600,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due March 2039, Downgraded
to C; previously on 12/16/2008 Aa3 Placed Under Review for Possible
Downgrade
U.S.$32,000,000 Class B Third Priority
Senior Secured Floating Rate Notes due March 2039, Downgraded to
C; previously on 12/16/2008 A2 Under Review for Possible Downgrade
U.S.$10,700,000 Class X Fourth Priority
Junior Secured Amortizing Deferrable Floating Rate Notes due March 2039,
Downgraded to C; previously on 12/16/2008 Baa1 Under Review for Possible
Downgrade
U.S.$10,700,000 Class C Fifth Priority
Junior Secured Deferrable Floating Rate Notes due March 2039, Downgraded
to C; previously on 12/16/2008 Baa2 Under Review for Possible Downgrade
Triaxx Prime CDO 2006-2, Ltd.
U.S.$1,500,000,000 Class A-1A
First Priority Senior Secured Floating Rate Notes Due October 2039,
Downgraded to Caa2; previously on 12/16/2008 Aa1 PlacedUnder Review
for Possible Downgrade
U.S.$1,499,950,000 Class A-1B1
First Priority Senior Secured Floating Rate Notes Due October 2039,
Downgraded to Caa2; previously on 12/16/2008 Aa2 Placed Under Review
for Possible Downgrade
U.S.$1,499,950,000 Class A-1B2
First Priority Senior Secured Floating Rate Notes Due October 2039,
Downgraded to Caa2; previously on 12/16/2008 Aa2 Placed Under Review
for Possible Downgrade
U.S.$100,000 Class A-1BV First Priority
Senior Secured Floating Rate Notes Due October 2039, Downgraded
to Caa2; previously on 12/16/2008 Aa2 Placed Under Review for Possible
Downgrade
U.S.$400,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due October 2039, Downgraded
to C; previously on 12/16/2008 Aa3 Placed Under Review for Possible
Downgrade
U.S.$60,000,000 Class B Third Priority
Senior Secured Floating Rate Notes Due October 2039, Downgraded
to C; previously on 12/16/2008 A2 Placed Under Review for Possible
Downgrade
U.S.$20,000,000 Class C Fifth Priority
Junior Secured Deferrable Floating Rate Notes Due October 2039,
Downgraded to C; previously on 12/16/2008 Baa2 Under Review for Possible
Downgrade
U.S.$20,000,000 Class X Fourth Priority
Junior Secured Amortizing Deferrable Floating Rate Notes Due October 2039,
Downgraded to C; previously on 12/16/2008 Baa1 Under Review for Possible
Downgrade
Triaxx Prime CDO 2007-1, Ltd.
U.S.$825,000,000 Class A-1T First
Priority Senior Secured Floating Rate Notes Due October 2039, Downgraded
to Caa3; previously on 12/11/2008 Aa2 Placed Under Review for Possible
Downgrade
U.S.$175,000,000 Class A-1D First
Priority Senior Secured Floating Rate Delayed Draw Notes Due October 2039,
Downgraded to Caa3; previously on 12/11/2008 Aa2 Placed Under Review
for Possible Downgrade
U.S.$78,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due October 2039, Downgraded
to C; previously on 12/11/2008 Aa3 Under Review for Possible Downgrade
U.S.$11,575,000 Class B Third Priority
Senior Secured Floating Rate Notes Due October 2039, Downgraded
to C; previously on 12/11/2008 A2 Under Review for Possible Downgrade
U.S.$8,925,000 Class C Fifth Priority
Junior Secured Deferrable Floating Rate Notes Due October 2039,
Downgraded to C; previously on 12/11/2008 Ba2 Under Review for Possible
Downgrade
U.S.$12,700,000 Class X Fourth Priority
Junior Secured Amortizing Deferrable Floating Rate Notes Due October 2039,
Downgraded to C; previously on 12/11/2008 Baa2 Under Review for Possible
Downgrade
New York
Stephen Lioce
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Evan Tepper
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's lowers ratings of 51 Notes issued by 9 structured finance CDO transactions