New York, March 26, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 73 Notes issued by 18 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:
Abacus 2006-11, Ltd.
U.S.$82,500,000 Class A-1 Variable
Rate Notes, Due 2045, Downgraded to C; previously on
12/16/2008 Downgraded to Baa2 and remains on Review for Possible Downgrade
U.S.$45,937,500 Class A-2 Variable
Rate Notes, Due 2045, Series 1, Downgraded to C;
previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible
Downgrade
U.S.$45,937,500 Class A-2 Variable
Rate Notes, Due 2045, Series 2, Downgraded to C;
previously on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible
Downgrade
U.S.$19,375,000 Class B Variable Rate
Notes, Due 2045, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
U.S. $12,500,000 Class B Series 2 Variable
Rate Notes Due 2045, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
U.S.$18,750,000 Class C Variable Rate
Notes, Due 2045, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Adirondack 2005-1
U.S.$ 1,070,100,000 Class A-1LT-b
Floating Rate Notes Due 2040, Downgraded to B2; previously
on 12/17/2008 Downgraded to A2 and remains on Review for Possible Downgrade
U.S.$ 267,500,000 Class A-1LT-a
Floating Rate Notes Due 2040, Downgraded to B2; previously
on 12/17/2008 Downgraded to A2 and remains on Review for Possible Downgrade
U.S.$ 60,800,000 Class A-2 Floating
Rate Notes Due 2040, Downgraded to Caa3; previously on 12/17/2008
Downgraded to Ba2 and remains on Review for Possible Downgrade
U.S.$ 57,700,000 Class B Floating Rate
Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
Aspen Funding I, Ltd.
U.S. $10,000,000 Class A-3L Floating
Rate Notes Due July 2037, Downgraded to Caa3; previously on
4/24/2008 Downgraded to Caa2
Blue Heron Funding II Ltd
U.S.$890,000,000 Class A Blue Heron Funding
II Notes, due December, 2041, Downgraded to B3;
previously on 5/30/2008 Downgraded to Baa3 and Placed Under Review for
Possible Downgrade
U.S.$20,000,000 Class B Blue Heron Funding
II Notes, due December, 2041, Downgraded to C;
previously on 5/30/2008 Downgraded to Ba3 and Placed Under Review for
Possible Downgrade
U.S .$40,000,000 Class C Blue Heron Funding
II Notes, due December, 2041, Downgraded to C;
previously on 5/30/2008 Downgraded to B1 and Placed Under Review for Possible
Downgrade
U.S .$24,000,000 Class D Blue Heron funding
II Notes, due December, 2041, Downgraded to C;
previously on 5/30/2008 Downgraded to B3 and Placed Under Review for Possible
Downgrade
Connecticut Valley Structured Credit CDO II, LTD.
Class A-1 Gtd. Floating Rate Notes, Downgraded to
B1 and Placed Under Review for Possible Downgrade; previously on
3/9/2009 Upgraded to Aaa
Class A-2 Floating Rate Notes, Downgraded to B1 and remains
on Review for Possible Downgrade; previously on 12/23/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class B-1 Deferrable Floating Rate Notes, Downgraded to Ca;
previously on 12/23/2008 Downgraded to A1 and Placed Under Review for
Possible Downgrade
Class B-2 Deferrable Fixed Rate Notes, Downgraded to Ca;
previously on 12/23/2008 Downgraded to A1 and Placed Under Review for
Possible Downgrade
Class C-1 Deferrable Floating Rate Notes, Downgraded to C;
previously on 12/23/2008 Downgraded to Baa2 and Placed Under Review for
Possible Downgrade
Class C-2 Deferrable Fixed Rate Notes, Downgraded to C;
previously on 12/23/2008 Downgraded to Baa2 and Placed Under Review for
Possible Downgrade
Composite Securities, Downgraded to C; previously on 12/23/2008
Downgraded to Ba1 and Placed Under Review for Possible Downgrade
Fortress ABS Opportunities, Ltd
Class A Original Notes, Downgraded to Ba1; previously on 12/22/2008
Downgraded to A1 and Placed Under Review for Possible Downgrade
U.S.$ 206,000,000 Class A-1a Senior
Secured Floating Rate Term Notes Due 2038, Downgraded to Ba1;
previously on 12/22/2008 Downgraded to A1 and Placed Under Review for
Possible Downgrade
U.S.$ 250,000,000 Class A-2 Senior
Secured Floating Rate Revolving Notes Due 2038, Downgraded to Ba1;
previously on 12/22/2008 Downgraded to A1 and Placed Under Review for
Possible Downgrade
U.S.$ 53,000,000 Class Ba Senior Secured
Deferrable Floating Rate Term Notes due 2038, Downgraded to Ca;
previously on 12/22/2008 Downgraded to Ba2 and Placed Under Review for
Possible Downgrade
Class B Original Notes, Downgraded to Ca; previously on 12/22/2008
Downgraded to Ba2 and Placed Under Review for Possible Downgrade
Gemstone CDO II Ltd.
Class A-1 Notes, Downgraded to Caa2; previously on 12/17/2008
Downgraded to A1 and remains on Review for Possible Downgrade
Class A-2 Notes, Downgraded to Ca; previously on 12/17/2008
Downgraded to A1 and remains on Review for Possible Downgrade
Class A-3 Notes, Downgraded to Caa2; previously on 12/17/2008
Downgraded to A1 and remains on Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to A2 and remains on Review for Possible Downgrade
Class C Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to Baa2 and remains on Review for Possible Downgrade
Class D Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to Baa3 and remains on Review for Possible Downgrade
Class E Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
Class F Notes, Downgraded to C; previously on 12/17/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
Hereford Street ABS CDO I, Ltd.
Class A-1, Downgraded to Caa2 and remains on Review for Possible
Downgrade; previously on 12/17/2008 Downgraded to Baa1 and remains
on Review for Possible Downgrade
Class A-2, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Independence II CDO, Ltd
Class A First Priority Senior Secured Floating Rate Notes, Downgraded
to Baa3; previously on 4/8/2008 Downgraded to Baa1 and Placed Under
Review for Possible Downgrade
Class B Second Priority Senior Secured Floating Rate Notes, Downgraded
to Caa3; previously on 4/8/2008 Caa2 Placed Under Review for Possible
Downgrade
MULBERRY STREET CDO II, LTD.
U.S. $195,000,000 Class A-1A Floating
Rate Notes Due August 12, 2038 (the "Class A-1A Notes"),
Downgraded to B3; previously on 2/18/2009 Downgraded to Ba3
U.S. $283,000,000 Class A-1W Floating
Rate Notes Due August 12, 2038 (the "Class A-1W Notes"),
Downgraded to B3; previously on 2/18/2009 Downgraded to B1
U.S. $30,000,000 Class A-1U Floating
Rate Notes Due August 12, 2038 (the "Class A-1U Notes'),
Downgraded to Caa2 and remains on Review for Possible Downgrade;
previously on 12/23/2008 Downgraded to B1 and remains on Review for Possible
DowngradeU.S .$40,000,000
U.S. $73,500,000 Class A-2 Floating
Rate Notes Due August 12, 2038 (the "Class A-2 Notes"),
Downgraded to C; previously on 6/9/2008 Downgraded to Ca
NorthLake CDO I, Limited
US $56,000,000 Class I-A Floating Rate Notes,
Due 2033, Downgraded to Ca; previously on 12/23/2008 Downgraded
to Caa3 and Placed Under Review for Possible Downgrade
U.S. $174,000,000 Class I-MM Floating
Rate Notes Due 2033, Downgraded to Caa1; previously on 12/23/2008
Downgraded to Baa2 and Placed Under Review for Possible Downgrade
US $45,000,000 Class II Floating Rate Notes,
Due 2038, Downgraded to C; previously on 6/3/2008 Downgraded
to Ca
Pacific Coast CDO Ltd.
Class A, Downgraded to Caa2; previously on 6/4/2008 Downgraded
to Baa2 and Placed Under Review for Possible Downgrade
Pascal CDO, LTD.
U.S.$70,000,000 Class A First Priority
Senior Secured Floating Rate Notes Due 2045-1, Downgraded
to C; previously on 12/17/2008 Downgraded to Ba3 and remains on Review
for Possible Downgrade
U.S.$44,000,000 Class B Second Priority
Senior Secured Floating Rate Notes Due 2045, Downgraded to C;
previously on 12/17/2008 Downgraded to B3 and remains on Review for Possible
Downgrade
U.S.$15,000,000 Class C Third Priority
Secured Floating Rate Deferrable Interest Notes Due 2045, Downgraded
to C; previously on 5/8/2008 Downgraded to Ca
Raffles Place Funding, Ltd.
Class A-1a, Downgraded to C; previously on 12/17/2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class A-1b Notes, Downgraded to C; previously on 12/17/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class A-2, Downgraded to C; previously on 7/11/2008
Downgraded to Ca
Funding Notes/CP Notes-1, Downgraded to Ca; previously
on 12/17/2008 Downgraded to A1 and remains on Review for Possible Downgrade
Reservoir Funding Ltd.
U.S. $374,900,000 Class A-1-NV
First Priority Senior Non-Voting Floating Rate Notes Due 2040,
Downgraded to Caa1; previously on 12/22/2008 Downgraded to Baa2 and
remains on Review for Possible Downgrade
U.S.$100,000 Class A-1-V First
Priority Senior Floating Rate Notes Due 2040, Downgraded to Caa1;
previously on 12/22/2008 Downgraded to Baa2 and remains on Review for
Possible Downgrade
U.S. $75,000,000 Class A-2 Second
Priority Senior Floating Rate Notes Due 2040, Downgraded to C;
previously on 12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S. $34,500,000 Class B Third Priority
Floating Rate Notes Due 2040, Downgraded to C; previously on
11/20/2008 Downgraded to Ca
Saturn Ventures II, Limited
$289,000,000 Class A-1 Short Term Notes,
Downgraded to B2; previously on 12/22/2008 Downgraded to A1 and Placed
Under Review for Possible Downgrade
$50,000,000 Class A-2 Floating Rate Senior Notes,
Downgraded to Ca; previously on 12/22/2008 Downgraded to Baa3 and
remains on Review for Possible Downgrade
$25,000,000 Class A-3 Floating Rate Senior Notes,
Downgraded to Ca; previously on 12/22/2008 Downgraded to Ba3 and
remains on Review for Possible Downgrade
$20,000,000 Class B Floating Rate Subordinate Notes,
Downgraded to C; previously on 12/22/2008 Downgraded to B2 and remains
on Review for Possible Downgrade
Static Residential Trust 2005-A, Ltd.
Class A-1, Downgraded to Caa3; previously on 12/17/2008
Downgraded to A2 and remains on Review for Possible Downgrade
Class A-2, Downgraded to C; previously on 12/17/2008
Downgraded to Baa1 and remains on Review for Possible Downgrade
Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Baa2 and remains on Review for Possible Downgrade
Class C, Downgraded to C; previously on 12/17/2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
Class D, Downgraded to C; previously on 12/17/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
TIAA Structured Finance CDO II, Limited
$225,000,000 Class A-1 Floating Rate Term Notes,
Due 2038, Downgraded to Baa2; previously on 12/23/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
$25,000,000 Class A-2 Floating Rate Term Notes,
Due 2038, Downgraded to Caa3; previously on 12/23/2008 Downgraded
to Aa3 and remains on Review for Possible Downgrade
$21,000,000 Class B Floating Rate Term Notes,
Due 2038, Downgraded to Ca; previously on 12/23/2008 Downgraded
to Baa2 and remains on Review for Possible Downgrade
$6,000,000 Class C-1 Floating Rate Term Notes,
Due 2038, Downgraded to C; previously on 6/2/2008 Downgraded
to Ca
$11,250,000 Class C-2 Fixed Rate Term Notes,
Due 2038, Downgraded to C; previously on 6/2/2008 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 73 Notes issued by 18 structured finance CDO transactions