New York, February 10, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 56 Notes issued by 13 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 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:
Cascade Funding CDO I, Inc.
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes due March 2042, Downgraded to B1; previously on 12/22/2008
Downgraded to Baa3 Placed Under Review for Possible Downgrade
Class A-2 Second Priority Senior Secured Floating Rate Notes due
March 2042, Downgraded to Ca; previously on 12/22/2008 Downgraded
to Caa3 Under Review for Possible Downgrade
Charles River CDO I, Ltd.
U.S.$214,000,000 Class A-1A Floating
Rate Notes Due December 9, 2037, Downgraded to Ca; previously
on 5/18/2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade
U.S.$15,000,000 Class A-1B Principal
Only Notes Due December 9, 2037, Downgraded to Ca; previously
on 5/18/2008 Downgraded to Ba2 and Placed Under Review for Possible Downgrade
U.S.$20,000,000 Class A-2F Fixed
Rate Notes Due December 9, 2037, Downgraded to C; previously
on 5/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
U.S.$15,000,000 Class A-2V Floating
Rate Notes Due December 9, 2037, Downgraded to C; previously
on 5/18/2008 Downgraded to B3 and Placed Under Review for Possible Downgrade
Dunhill ABS CDO, Ltd.
U.S.$250,000 Class A-1VA First Priority
Senior Secured Voting Floating Rate Notes Due 2041-1, Downgraded
to Ba2; previously on 12/22/2008 Downgraded to A1 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 Ba2; previously on 12/22/2008 Downgraded
to A1 Under Review for Possible Downgrade
U.S.$20,000,000 Class A-1VB First
Priority Senior Secured Voting Floating Rate Notes Due 2041, Downgraded
to Ba2; previously on 12/22/2008 Downgraded to A1 Under Review for
Possible Downgrade
U.S.$57,500,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2041, Downgraded
to Ca; previously on 12/22/2008 Downgraded to Baa1 Under Review for
Possible Downgrade
U.S.$55,000,000 Class B Third Priority
Secured Floating Rate Notes Due 2041, Downgraded to C; previously
on 12/22/2008 Downgraded to B2 Under Review for Possible Downgrade
U.S.$21,500,000 Class C Mezzanine Secured
Floating Rate Notes Due 2041, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
Fort Dearborn CDO I Ltd.
Class A-1LA Super Senior, Downgraded to Ca; previously
on 12/17/2008 Downgraded to A2 Under Review for Possible Downgrade
Class A-1LB Floating Rate Notes Due September 2040, Downgraded
to C; previously on 12/17/2008 Downgraded to Caa3 Under Review for
Possible Downgrade
Class X Notes Due September 2012, Downgraded to Caa3; previously
on 12/17/2008 Downgraded to Ba1 Under Review for Possible Downgrade
Fort Duquesne CDO 2006-1 Ltd.
U.S.$450,000,000 Class A-1A Senior
Secured Floating Rate Notes Due 2046, Downgraded to Ba3; previously
on 12/16/2008 Downgraded to Baa1 Under Review for Possible Downgrade
U.S.$400,000,000 Class A-1B Senior
Secured Floating Rate Notes Due 2046, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Caa3 Under Review for Possible Downgrade
U.S.$100,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2046, Downgraded to C; previously
on 10/27/2008 Downgraded to Ca
U.S.$26,500,000 Class B Senior Secured
Floating Rate Notes Due 2046, Downgraded to C; previously on
6/17/2008 Downgraded to Ca
U.S.$11,000,000 Class X Senior Secured
Notes Due 2046, Confirmed at B3; previously on 12/16/2008 Downgraded
to B3 Under Review for Possible Downgrade
G Street Finance Ltd.
U.S.$ 266,000,000 Class A-1LT-a
Floating Rate Notes Due 2041, Downgraded to Caa1; previously
on 12/17/2008 Downgraded to Baa1 Under Review for Possible Downgrade
U.S.$ 0 Class A-1LT-b Floating Rate
Notes Due 2041, Downgraded to Caa1; previously on 12/17/2008
Downgraded to Baa1 Under Review for Possible Downgrade
U.S.$ 50,900,000 Class A-2 Floating
Rate Notes Due 2041, Downgraded to C; previously on 12/17/2008
Downgraded to B2 Under Review for Possible Downgrade
U.S.$57,000,000 Class B Floating Rate
Notes Due 2041, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 Under Review for Possible Downgrade
Jupiter High-Grade CDO Ltd.
U.S. $ 489,950,000 Class A-1A
First Priority Senior Floating Rate Notes Due 2041, Downgraded to
Ba2; previously on 12/17/2008 Downgraded to Aa3 and Placed Under
Review for Possible Downgrade
U.S. $ 113,800,000 Class A-1B
First Priority Senior Floating Rate Notes Due 2041, Downgraded to
Ba2; previously on 12/17/2008 Downgraded to Aa3 and Placed Under
Review for Possible Downgrade
U.S. $ 82,500,000 Class A-2 Second
Priority Senior Floating Rate Notes Due 2041, Downgraded to Caa3;
previously on 12/17/2008 Downgraded to Baa1 and remains Under Review for
Possible Downgrade
U.S. $ 41,250,000 Class B Third Priority
Floating Rate Notes Due 2041, Downgraded to C; previously on
12/17/2008 Downgraded to Ba1 and remains Under Review for Possible Downgrade
U.S. $ 14,250,000 Class C Fourth Priority
Mezzanine Floating Rate Notes Due 2041, Downgraded to C; previously
on 11/14/2008 Downgraded to Ca
Jupiter High Grade CDO III Ltd.
U.S.$1,700,000,000 Class A-1
First Priority Senior Secured Notes due 2042, Downgraded to Caa2;
previously on 12/17/2008 Downgraded to A3 and remains Under Review for
Possible Downgrade
U.S.$80,000,000 Class A-2A Second
Priority Senior Secured Floating Rate Notes due 2042, Downgraded
to C; previously on 12/17/2008 Downgraded to Ba3 and remains Under
Review for Possible Downgrade
U.S.$70,000,000 Class A-2B Second
Priority Senior Secured Floating Rate Notes due 2042, Downgraded
to C; previously on 12/17/2008 Downgraded to Ba3 and remains Under
Review for Possible Downgrade
U.S.$90,000,000 Class B Third Priority
Senior Secured Floating Rate Notes due 2042, Downgraded to C;
previously on 12/17/2008 Downgraded to Caa3 and remains Under Review for
Possible Downgrade
U.S.$43,000,000 Class C Fourth Priority
Mezzanine Deferrable Secured Floating Rate Notes due 2042, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
27,000 Preferred Shares (having an Aggregate Liquidation Preference
of U.S.$27,000,000), Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
Kleros Preferred Funding, Ltd.
Class A-1 Notes, Downgraded to B2; previously on 12/17/2008
Downgraded to A1 Under Review for Possible Downgrade
Class A-2 Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to Baa2 Under Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to B2 Under Review for Possible Downgrade
MCKINLEY FUNDING, LTD.
ABCP Notes/Funding Notes, Downgraded to Caa1; previously on
12/22/2008 Downgraded to A1 Under Review for Possible Downgrade
Class A-1 Notes, Downgraded to C; previously on 12/22/2008
Downgraded to Ba2 Under Review for Possible Downgrade
Class A-2 Notes, Downgraded to C; previously on 12/22/2008
Downgraded to B3 Under Review for Possible Downgrade
Class A-3 Notes, Downgraded to C; previously on 12/22/2008
Downgraded to Caa3 Under Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
Class C Notes, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
Trainer Wortham First Republic CBO III, Limited
Class A-1 Senior Secured Floating Rate NotesDue 2033, Downgraded
to Ba1; previously on 12/23/2008 Downgraded to Aa3 and Placed Under
Review for Possible Downgrade
Class A-2 Senior Secured Floating Rate Notes Due 2038, Downgraded
to Ca; previously on 12/23/2008 Downgraded to Ba2 Under Review for
Possible Downgrade
Class B Senior Secured Floating Rate Notes Due 2038, Downgraded
to C; previously on 12/23/2008 Downgraded to Caa2 Under Review for
Possible Downgrade
Verde CDO Ltd.
Class A-1 Floating Rate Notes, Downgraded to Caa2; previously
on 12/17/2008 Downgraded to Baa1 Under Review for Possible Downgrade
Class A-2 Floating Rate Notes, Downgraded to C; previously
on 12/17/2008 Downgraded to Caa3 Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to C; previously on
5/29/2008 Downgraded to Ca
Whately CDO I, Ltd.
U.S. $261,000,000 Class A-1A Floating
Rate Notes Due June 2044, Downgraded to Ba1; previously on
12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade
U.S. $63,000,000 Class A-1BV Floating
Rate Notes Due June 2044, Downgraded to Ca; previously on 12/22/2008
Downgraded to Baa3 Under Review for Possible Downgrade
U.S. $6,000,000 Class A-1BF Fixed
Rate Notes Due June 2044, Downgraded to Ca; previously on 12/22/2008
Downgraded to Baa3 Under Review for Possible Downgrade
U.S. $27,000,000 Class A-2 Floating
Rate Notes Due June 2044, Downgraded to C; previously on 12/22/2008
Downgraded to B2 Under Review for Possible Downgrade
U.S. $12,000,000 Class A-3 Floating
Rate Deferrable Interest Notes Due June 2044, Downgraded to C;
previously on 12/22/2008 Downgraded to Ca Under Review for Possible Downgrade
U.S. $15,000,000 Combination B Notes
Due June 2044, Downgraded to C; previously on 12/22/2008 Downgraded
to Caa2 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 56 Notes issued by 13 structured finance CDO transactions