New York, February 24, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 70 Notes issued by 15 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 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. 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 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. Given the revised
loss projections Moody's expects that ratings on most subordinate securities
in this review will be downgraded to Ca or C. Senior certificates
in several Option ARM transactions have sequential loss allocation after
the mezzanines have been written down. As a result, the senior
most bonds are likely to be downgraded below Baa3 while senior support
securities are likely to be downgraded to Ca or C. 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.
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. Based on this press release, Low investment
grade and speculative grade rated bonds are likely to be downgraded by
five to six notches on average.
Moody's announced on September 18, 2008 that it is revising its
expected loss assumptions which are used for the surveillance of ratings
of ABS CDOs holding subprime RMBS, specifically of the second half
2005 -- first half 2007 vintages. Moody's stated
that for purposes of monitoring its ratings of ABS CDOs with exposure
to subprime RMBS, it will rely on certain projections of the lifetime
average cumulative losses for vintages of RMBS set forth in a recent Moody's
Special Report, "Subprime RMBS Loss Projection Update: September
2008." Moody's explained that it will utilize the range of loss
projections primarily set forth in the report to modify its prior assumptions
of the expected loss inputs when monitoring ABS.
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 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)
These reports 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:
Ajax Two Limited
Class A-2A Floating Rate Notes Due 2032, Downgraded to Aa1;
previously on 9/4/2002 Assigned Aaa
Class A-2B Fixed Rate Notes Due 2032, Rating Withdrawn;
previously on 9/4/2002 Assigned Aaa
Class B Floating Rate Deferrable Interest Notes, Due 2032,
Downgraded to A2; previously on 4/8/2005 Upgraded to Aa2
Class C Floating Rate Notes, Due 2032, Downgraded to B3;
previously on 9/4/2002 Assigned Baa2
Barrington CDO Ltd.
U.S. $701,000,000 Class A-1M(A)
Floating Rate Note Due 2045, Downgraded to Caa3; previously
on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade
U.S. $701,000,000 Class A-1M(B)
Fixed Rate Notes Due 2045, Downgraded to Caa3; previously on
12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade
U.S. $99,000,000 Class A-1Q(A)
Floating Rate Notes Due 2045, Downgraded to Caa3; previously
on 12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade
U.S. $99,000,000 Class A-1Q(B)
Fixed Rate Notes Due 2045, Downgraded to Caa3; previously on
12/17/2008 Downgraded to B3 and remains on Review for Possible Downgrade
Barrington II CDO Ltd.
U.S. $13,400,000 Class X Floating Rate
Notes Due 2052, Confirmed at Aaa; previously on 12/11/2008
Aaa Placed Under Review for Possible Downgrade
U.S. $154,000,000 Class A-1S Floating
Rate Notes Due 2052, Downgraded to Ca; previously on 12/11/2008
Downgraded to B1 and remains on Review for Possible Downgrade
U.S. $692,200,000 Class A1-M Floating
Rate Notes Due 2052, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
U.S. $203,800,000 Class A1-Q Floating
Rate Notes Due 2052, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
U.S. $270,400,000 Class A1J-M
Floating Rate Notes Due 2052, Downgraded to C; previously on
10/20/2008 Downgraded to Ca
U.S. $79,600,000 Class A1J-Q Floating
Rate Notes Due 2052, Downgraded to C; previously on 10/20/2008
Downgraded to Ca
Coast Investment Grade 2001-1, Limited
Class A Floating Rate Senior Secured Notes, Downgraded to Aa2 and
Placed Under Review for Possible Downgrade; previously on 8/10/2001
Assigned Aaa
Class B-1 Floating Rate Senior Secured Notes, Downgraded
to Ba2 and Placed Under Review for Possible Downgrade; previously
on 4/24/2007 Upgraded to Aa3
Class B-2 Fixed Rate Senior Secured Notes, Downgraded to
Ba2 and Placed Under Review for Possible Downgrade; previously on
4/24/2007 Upgraded to Aa3
Class C-1 Floating Rate Senior Secured Notes, Downgraded
to Caa3 and Placed Under Review for Possible Downgrade; previously
on 8/10/2001 Assigned Baa2
Class C-2 Fixed Rate Senior Secured Notes, Downgraded to
Caa3 and Placed Under Review for Possible Downgrade; previously on
8/10/2001 Assigned Baa2
Davis Square Funding V, LTD.
U.S. $18,000,000 Class S Floating Rate
Note Due 2016, Confirmed at Aaa; previously on 12/17/2008 Aaa
Placed Under Review for Possible Downgrade
U.S. $1,740,000,000 Class A-1-a
Floating Rate Notes Due 2040, Downgraded to Caa2; previously
on 12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S. $1,740,000,000 Class A-1-b
Floating Rate Notes Due 2040, Downgraded to Caa2; previously
on 12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S. $80,000,000 Class A-2 Floating
Rate Notes Due 2040, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $96,000,000 Class B Floating Rate
Notes Due 2040, Downgraded to C; previously on 10/27/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Davis Square Funding VII, Ltd.
U.S. $ 20,000,000 Class S Floating Rate
Notes Due 2015, Confirmed at Aaa; previously on 12/16/2008
Aaa Placed Under Review for Possible Downgrade
U.S. $ 1,570,000,000 Class A-1-a
Floating Rate Notes Due 2042, Downgraded to Ca; previously
on 10/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $ 50,000,000 Class A-1-b
Floating Rate Notes Due 2042, Downgraded to Ca; previously
on 10/23/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Diversified Global Securities Limited II
U.S.$163,000,000 Class A Floating Rate
Senior Notes, Due December 17, 2017, Aaa and Placed
Under Review for Possible Downgrade; previously on 12/5/2008 Upgraded
to Aaa
U.S.$12,000,000 Class B Fixed Rate Senior
Subordinate Notes, Due December 17, 2017, Downgraded
to Aa3 and Placed Under Review for Possible Downgrade; previously
on 8/17/2006 Upgraded to Aa1
U.S.$12,000,000 Class C Floating Rate
Subordinate Notes, Due December 17, 2017, Downgraded
to Baa2 and Placed Under Review for Possible Downgrade; previously
on 8/17/2006 Upgraded to A1
Gresham Street CDO Funding 2003-1, Ltd.
U.S. $8,600,000 Class C Third Priority
Floating Rate Deferrable interest Term Notes Due 11/7/33, Downgraded
to A1; previously on 12/23/2008 Downgraded to Aa1 and Placed Under
Review for Possible Downgrade
U.S. $5,300,000 Class D Dourth Priority
Floating Rate Term Notes Due 11/7/33, Downgraded to Ba1; previously
on 12/23/2008 Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
MKP CBO II, Ltd.
$183,750,000 Class A-1 Senior Secured Floating
Rate Term Notes, Due 2036, Downgraded to Aa3; previously
on 12/26/2001 Assigned Aaa
$61,250,000 Class A-2 Senior Secured Floating
Rate Revolving Notes, Due 2036, Downgraded to B3; previously
on 5/30/2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade
Porter Square CDO II, Ltd.
Class A-2 Senior Secured Floating Rate Notes, Downgraded
to Caa3; previously on 12/22/2008 Downgraded to A1 and remains on
Review for Possible Downgrade
Class B Senior Secured Floating Rate Notes, Downgraded to C;
previously on 12/22/2008 Downgraded to Baa2 and remains on Review for
Possible Downgrade
Class C Mezzanine Secured Deferrable Floating Rate Notes, Downgraded
to C; previously on 12/22/2008 Downgraded to Caa3 and Placed Under
Review for Possible Downgrade
Putnam Structured Product CDO 2001-1 LTD.
U.S. $105,000,000 Class A1-SS
Floating Rate Notes Due 2032, Downgraded to A1; previously
on 11/30/2001 Assigned Aaa
U.S. $56,000,000 Class A1-MM-a
Floating Rate Notes Due 2032, Downgraded to A1; previously
on 11/30/2001 Assigned Aaa
U.S. $50,000,000 Class A1-MM-b
Floating Rate Notes Due 2032, Downgraded to A1; previously
on 11/30/2001 Assigned Aaa
U.S. $24,000,000 Class B Floating Rate
Notes Due 2037, Downgraded to B2; previously on 7/8/2008 Downgraded
to Baa1
U.S. $9,000,000 Class C-1 Floating
Rate Notes Due 2037, Downgraded to C; previously on 12/14/2007
Downgraded to Caa3
U.S. $9,000,000 Class C-2 Fixed
Rate Notes Due 2037, Downgraded to C; previously on 12/14/2007
Downgraded to Caa3
Sheffield CDO II, Ltd.
U.S.$ 9,000,000 Class S Senior Secured
Floating Rate Notes due 2051, Downgraded to Aa2 and remains on Review
for Possible Downgrade; previously on 12/16/2008 Aaa Placed Under
Review for Possible Downgrade
U.S.$169,300,000 Class A-1 Variable
Funding Notes due 2051, Downgraded to Ba2 and remains on Review
for Possible Downgrade; previously on 12/16/2008 Downgraded to A1
and remains on Review for Possible Downgrade
U.S.$32,500,000 Class A-2 Senior
Secured Floating Rate Notes due 2051, Downgraded to B1 and remains
on Review for Possible Downgrade; previously on 12/16/2008 Downgraded
to A3 and remains on Review for Possible Downgrade
U.S.$32,500,000 Class A-3 Senior
Secured Floating Rate Notes due 2051, Downgraded to B2 and remains
on Review for Possible Downgrade; previously on 12/16/2008 Downgraded
to Baa1 and remains on Review for Possible Downgrade
U.S.$31,600,000 Class B Senior Secured
Floating Rate Notes due 2051, Downgraded to B3 and remains on Review
for Possible Downgrade; previously on 12/16/2008 Downgraded to Ba2
and remains on Review for Possible Downgrade
Zais Investment Grade Limited V
Class A-1 Senior Secured Floating Rate Notes, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on 1/6/2003 Assigned Aaa
Class A-2 Senior Secured Fixed Rate Notes, Downgraded to
Ba2 and Placed Under Review for Possible Downgrade; previously on
1/6/2003 Assigned Aa2
Class B-1 Senior Secured Floating Rate Notes, Downgraded
to Caa2 and Placed Under Review for Possible Downgrade; previously
on 1/6/2003 Assigned A3
Class B-2 Senior Secured Fixed Rate Notes, Downgraded to
Caa2 and Placed Under Review for Possible Downgrade; previously on
1/6/2003 Assigned A3
ZAIS Investment Grade Limited VI
Class A-1 Senior Secured Floating Rate Notes, Aaa and Placed
Under Review for Possible Downgrade; previously on 1/27/2004 Assigned
Aaa
Class A-2a Senior Secured Floating Rate Notes, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on 1/27/2004 Assigned Aaa
Class A-2b Senior Secured Fixed Rate Notes, Downgraded to
A1 and Placed Under Review for Possible Downgrade; previously on
1/27/2004 Assigned Aaa
Class A-3 Senior Secured Floating Rate Notes, Downgraded
to A3 and Placed Under Review for Possible Downgrade; previously
on 1/27/2004 Assigned Aa2
Class B-1 Senior Secured Floating Rate Notes, Downgraded
to Baa3 and Placed Under Review for Possible Downgrade; previously
on 1/27/2004 Assigned A3
Class B-2 Senior Secured Fixed Rate Notes, Downgraded to
Baa3 and Placed Under Review for Possible Downgrade; previously on
1/27/2004 Assigned A3
Type II Composite Obligations, Rating Withdrawn; previously
on 1/27/2004 Assigned Baa2
Type II Composite Obligations, A3 Placed Under Review for Possible
Downgrade; previously on 1/27/2004 Assigned A3
Type III Composite Obligations, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 1/27/2004 Assigned Baa2
Type IV Composite Obligations, Downgraded to Baa3 and Placed Under
Review for PossibleDowngrade; previously on 1/27/2004 Assigned Baa1
Type V Composite Obligations, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 1/27/2004 Assigned Baa2
Type VI Composite Obligations, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 1/27/2004 Assigned Baa2
ZAIS Investment Grade Limited X
U.S. $13,500,000 Class S Senior Secured
Floating Rate Notes Due 2015, Downgraded to A2 and remains on Review
for Possible Downgrade; previously on 12/11/2008 Aaa Placed Under
Review for Possible Downgrade
U.S. $152,000,000 Class A-1a Senior
Secured Floating Rate Notes Due 2057, Downgraded to Ba1 and remains
on Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Aa1 and Placed Under Review for Possible Downgrade
U.S. $120,000,000 Class A-1b Senior
Secured Floating Rate Notes Due 2057, Downgraded to Ba1 and remains
on Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Aa1 and Placed Under Review for Possible Downgrade
U.S. $59,500,000 Class A-2 Senior
Secured Floating Rate Notes Due 2057, Downgraded to B1 and remains
on Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
U.S. $75,000,000 Class A-3 Senior
Secured Floating Rate Notes Due 2057, Downgraded to B3 and remains
on Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Aa3 and remains on Review for Possible Downgrade
U.S. $75,000,000 Class A-4 Senior
Secured Floating, Downgraded to Caa2 and remains on Review for Possible
Downgrade; previously on 12/11/2008 Downgraded to A3 and remains
on Review for Possible Downgrade
U.S. $50,000,000 Class B Senior Subordinate
Secured Floating Rate Notes Due 2057, Downgraded to C; previously
on 12/11/2008 Downgraded to B2 and remains on Review for Possible Downgrade
U.S. $32,500,000 Class C Senior Subordinate
Secured Floating Rate Notes Due 2057, Downgraded to C; previously
on 5/30/2008 Downgraded to Ca
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 70 Notes issued by 15 structured finance CDO transactions
