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