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Rating Action:

Moody's lowers ratings of 64 Notes issued by 19 structured finance CDO transactions

24 Mar 2009

New York, March 24, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings of 64 Notes, and confirmed the ratings of 4 Notes issued by 19 collateralized debt obligation transactions which consist of significant exposure to one or more of Alt-A, Option-ARM and subprime RMBS securities, CLOs, or CMBS. Moody's explained that the rating actions listed below reflect certain updates and projections and recent rating actions on underlying assets on these asset classes as described below.

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. 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 revised loss projections for Option ARMs RMBS securities issued in the US since 2004 which were described in a press release titled "Moody's updates loss projections for Option ARMs RMBS" published on February 5, 2009. According to the press release, on average, Moody's is now projecting cumulative losses of 27% for 2006 and 30% for 2007 vintage Option ARM securitizations. For more details on the revised loss projections and Moody's updated Option ARMs surveillance methodology, please see "Option ARMs Loss Projection Update: February 2009" available on Moodys.com.

Moodys announced revisions and updates to certain key assumptions, including Default Probability and Diversity Score, that it uses to rate and monitor collateralized loan obligations (CLOs) in a Press Release titled "Moody's updates key assumptions for rating CLOs" published on February 4, 2009. According to the press release, Moody's expects that the revised assumptions will have a significant impact on mezzanine and junior CLO tranches, resulting in a downgrade of their ratings by three to six notches on average. On March 4, 2009, Moody's placed all but the senior-most CLO tranches on review for downgrade.

Moody's also announced a ratings review of all U.S. commercial mortgage backed securities (CMBS) conduit and fusion transactions rated during the period from 2006 through 2008, and all large loan and single borrower transactions regardless of vintage in a Press Release titled " Ratings review of certain U.S. CMBS" on February 5, 2009.

Moody's revised loss projections for subprime RMBS issued from 2005 to 2007 were described in a press release titled "2005-7 subprime RMBS on downgrade review" published on February 26, 2009. According to the press release, the revised loss projection for 2006 vintage subprime pools is expected to fall within the range of 28% to 32% of the original balance of such pools, whereas Moody's previous estimate was 22%. For 2005 and 2007 pools, such projections are expected to range from 12% to 14% and 33% to 37% of original balance, respectively. According to the press release, the anticipated actions will vary by vintage, but based on average loss projections, it is likely that the vast majority of mezzanine and subordinate certificates currently rated B or above would be downgraded to ratings of Caa or below, particularly for bonds issued in 2006 and 2007. Actions on senior bonds will differ based on payment priority and protection relative to projected losses. Given the level of losses currently being projected, a majority of senior certificates will likely be downgraded below investment grade. Many are expected to be downgraded to Caa or below, particularly longer duration bonds from 2006 and 2007.

In addition, Moody's explained that the rating actions taken today incorporate the application of revised and updated key modeling 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 initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for ABS CDOs as described in Moody's Special Report below:

- Moody's Approach to Rating SF CDOs (March 2009)

This report can be found at www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

Today's rating actions are as follows:

Cheyne High Grade ABS CDO, Ltd.

U.S.$0 Class A-1 LT Long Term Floating Rate Notes Due 2039, Downgraded to Caa1; previously on 1/30/2009 Downgraded to Baa3 and remains on Review for Possible Downgrade

U.S. $23,000,000 Class A-2 Floating Rate Notes Due 2039, Downgraded to C; previously on 1/30/2009 Downgraded to Ca

U.S.$31,000,000 Class B Floating RateNotes Due 2039, Downgraded to C; previously on 6/27/2008 Downgraded to Ca

Coolidge Funding, LTD.

Class A-1 Floating Rate Notes, Downgraded to Ba3; previously on 12/17/2008 Downgraded to Aa3 and remains on Review for Possible Downgrade

Class A-2 Floating Rate Notes, Downgraded to Caa2; previously on 12/17/2008 Downgraded to A1 and remains on Review for Possible Downgrade

Class B Floating Rate Notes, Downgraded to Ca; previously on 12/17/2008 Downgraded to A3 and remains on Review for Possible Downgrade

Class C Dererrable Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade

Class D Floating Rate Notes, Downgraded to C; previously on 12/17/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Eirles Two - Series 214

Class C, Downgraded to Baa1; previously on 10/19/2005 Assigned Aaa

Eirles Two - Series 215

Class C, Downgraded to Baa3; previously on 10/19/2005 Assigned Aa3

Eirles Two - Series 216

Class C, Downgraded to Ba2; previously on 10/19/2005 Assigned A2

Fulton Street CDO, Ltd.

U.S.$148,000,000 Class A-1B Floating Rate Notes Du, Downgraded to Caa2; previously on 1/20/2009 Downgraded to B3 and Placed Under Review for Possible Downgrade

Gemstone CDO V, Ltd.

U.S.$243,800,000 Class A-1 Floating Rate Notes Due, Downgraded to Ca; previously on 12/16/2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

U.S.$152,200,000 Class A-2 Floating Rate Notes Due, Downgraded to C; previously on 12/16/2008 Downgraded to B2 and remains on Review for Possible Downgrade

U.S. $61,000,000 Class A-3 Floating Rate Notes Due, Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

U.S. $50,000,000 Class A-4 Floating Rate Notes Due, Downgraded to C; previously on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade

U.S. $67,500,000 Class B Floating Rate Notes Due S, Downgraded to C; previously on 4/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Ivy Lane CDO LTD.

U.S.$10,500,000 Class S Floating Rate Senior Secur, Downgraded to A2; previously on 3/27/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Kirkwood CDO 2004-1 Ltd.

Class A Floating Rate Notes Due December 30, 2044, Downgraded to Caa3; previously on 12/22/2008 Downgraded to Aa3 and remains on Review for Possible Downgrade

Class B Floating Rate Deferrable Notes Due Decembe, Downgraded to Ca; previously on 12/22/2008 Downgraded to Aa3 and remains on Review for Possible Downgrade

Class C Floating Rate Deferrable Notes Due Decembe, Downgraded to Ca; previously on 12/22/2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

Class D Floating Rate Deferrable Notes Due Decembe, Downgraded to Ca; previously on 12/22/2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Class X Notes Due December 30, 2009, Downgraded to A1; previously on 12/22/2008 Downgraded to Aa3 and remains on Review for Possible Downgrade

Longport Funding Ltd.

Class A Participating Notes, Downgraded to Caa3; previously on 12/23/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

Class A-1 Senior Secured Interest Only Notes, Downgraded to B1; previously on 12/23/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class A-1A Senior Secured Floating Rate Notes, Downgraded to Caa1; previously on 12/23/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class A-1B Senior Secured Floating Rate Notes, Downgraded to Ca; previously on 12/23/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Class A-2I Senior Secured Interest Only Notes, Downgraded to Caa3; previously on 12/23/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

Class A-3 Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/23/2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade

Class B Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/23/2008 Downgraded to Ba2 and Placed Under Review for Possible Downgrade

Class C Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/23/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade

Class D-1 Mezzanine Secured Floating Rate Notes, Downgraded to C; previously on 12/23/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Class D-2 Mezzanine Secured Fixed Rate Notes, Downgraded to C; previously on 12/23/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

14,000 Preference Shares, Downgraded to C; previously on 12/23/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Mercury CDO 2004-1, Corp.

U.S.$299,900,000 Class A-1NV First Priority Senior Secured Non-Voting Floating Rate Notes, Downgraded to Baa1; previously on 12/22/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

U.S.$100,000 Class A-1VA First Priority Senior Secured Voting Floating Rate Notes, Downgraded to Baa1; previously on 12/22/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

U.S.$330,000,000 Class A-1VB First Priority Senior Secured Voting Floating Rate Notes, Downgraded to Baa1; previously on 12/22/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

U.S.$25,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes, Downgraded to Caa3; previously on 12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

U.S.$31,050,000 Class A-2B Second Priority Senior Secured Floating Rate Notes, Downgraded to Caa3; previously on 12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

U.S.$38,880,000 Class B Third Priority Senior Secured Floating Rate Notes, Downgraded to C; previously on 12/22/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

U.S.$17,000,000 Class C Fourth Priority Mezzanine Secured Floating Rate Notes, Downgraded to C; previously on 12/22/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade

N-Star Real Estate CDO II Ltd.

Class A-1 Floating Rate Senior Notes due 2039, Confirmed at Aa3; previously on 12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class B-1 Floating Rate Senior Subordinate Notes due 2039, Confirmed at Baa2; previously on 12/22/2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class B-2 Floating Rate Senior Subordinate Notes due 2039, Confirmed at Baa3; previously on 12/22/2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class C-1 Floating Rate Subordinate Notes due 2039, Confirmed at Ba3; previously on 12/22/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Opus CDO I Ltd.

Class A Senior Senior Floating Rate Notes Due 2050, Downgraded to C; previously on 12/16/2008 Downgraded to Ba1 and remains on Review for Possible Downgrade

Class B Senior Senior Floating Rate Notes Due 2050, Downgraded to C; previously on 12/16/2008 Downgraded to B1 and remains on Review for Possible Downgrade

Class C Mezzanine Floating Rate Deferrable Notes D, Downgraded to C; previously on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade

Class D Mezzanine Floating Rate Deferrable Notes D, Downgraded to C; previously on 9/26/2008 Downgraded to Ca

Combination Notes, Downgraded to C; previously on 12/16/2008 Downgraded to B3 and remains on Review for Possible Downgrade

Super Senior Swap, Downgraded to Caa3; previously on 12/16/2008 Downgraded to A2 and remains on Review for Possible Downgrade

Porter Square CDO I, Ltd.

U.S.$78,000,000 Class A-2 Senior Secured Floating, Confirmed at Aa1; previously on 12/23/2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade

U.S.$26,000,000 Class A-3 Senior Secured Floating, Confirmed at Aa2; previously on 12/23/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

U.S.$16,000,000 Class C Mezzanine Secured Floating, Downgraded to C; previously on 12/23/2008 Downgraded to Baa1 and remains on Review for Possible Downgrade

U.S.$24,000,000 Class B Senior Secured Floating Ra, Downgraded to B1; previously on 12/23/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

RFC CDO III Ltd.

Class A-1 Investor Swap, Downgraded to Ca; previously on 12/16/2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A-2, Downgraded to C; previously on 10/1/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class B, Downgraded to C; previously on 10/1/2008 Downgraded to Ca

Rutland Rated Investments

Secured Floating Rate Credit Linked Notes due 2042, Downgraded to B3; previously on 12/17/2008 Downgraded to A2 and remains on Review for Possible Downgrade

Saybrook Point CBO, Limited

Class A Floating Rate Senior Notes, Due 2031, Downgraded to B3; previously on 5/23/2008 Downgraded to Baa3

Class B Floating Rate Senior Secured Notes, Due 20, Downgraded to Caa2; previously on 5/23/2008 Downgraded to B3

Structured Finance Advisors ABS CDO III, Ltd.

Class A Notes, Downgraded to B2; previously on 6/23/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Zais Investment Grade Limited VII

U.S. $215,000,000 Class A-1A Senior Secured Floating Rate Notes Due 2040, Downgraded to Caa3; previously on 12/17/2008 Downgraded to A1 and remains on Review for Possible Downgrade

U.S. $15,000,000 Class A-1B Senior Secured Fixed Rate Notes Due 2040, Downgraded to Caa3; previously on 12/17/2008 Downgraded to A2 and remains on Review for Possible Downgrade

U.S. $27,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

U.S. $72,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade

U.S.$61,200,000 Type I Composite Obligations Due 2040, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on Review for Possible Downgrade

U.S.$10,000,000 Type III Composite Obligations Due 2040, Downgraded to Ca; previously on 12/17/2008 Downgraded to B1 and remains on 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 64 Notes issued by 19 structured finance CDO transactions
No Related Data.
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