New York, April 24, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 94 Notes issued by 23 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. Some of the deals have
also experienced an Event of Default.
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.
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.
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.
A 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 was concluded recently. The review was announced
in a Press Release titled "Moody's announces review of Certain U.S.
CMBS Ratings " on February 5, 2009.
Moody's 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. The completion of the first stage of
its two-stage review of U.S. and EMEA cash flow CLOs
was announced on March 27, 2009. As of March 23, Moody's
had downgraded approximately 2,071 tranches from 668 transactions.
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:
Adams Square Funding II, Ltd.
U.S. $600,000,000 Class A1 Floating Rate
Notes Due 2047, Downgraded to C; previously on 8/26/2008 Downgraded
to Ca
ARLO VII Series 2007-1 (SABS)
EUR 21,000,000 Variable Secured Limited Recourse Credit-Linked
Notes due 2047, Downgraded to C; previously on 12/11/2008 Downgraded
to Caa3 and Placed Under Review for Possible Downgrade
Bernoulli High Grade CDO I, Ltd.
Class A1-A First Priority Senior Secured Floating Rate Notes,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
Class A-1B First Priority Senior Secured Floating Rate Notes,
Downgraded to B3; previously on 12/16/2008 Downgraded to Ba3 and
remains on Review for Possible Downgrade
Class A-2 Second Priority Senior Secured Floating Rate Notes,
Downgraded to C; previously on 10/27/2008 Downgraded to Ca
Class B Third Priority Senior Secured Floating Rate Notes, Downgraded
to C; previously on 10/27/2008 Downgraded to Ca
Cairn Mezz ABS CDO III Limited
U.S. $550,000,000 Class A1-VF
Senior Secured Floating Rate Notes Due 2047, Downgraded to C;
previously on 12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S. $75,000,000 Class A2A Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
12/11/2008 Downgraded to Ca
U.S. $148,000,000 Class A2B Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
12/11/2008 Downgraded to Ca
U.S. $67,000,000 Class B1 Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
5/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $11,000,000 Class B2 Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
5/21/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $13,000,000 Class C1 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
U.S. $18,750,000 Class C2 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
U.S. $17,000,000 Class C3 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
U.S. $17,000,000 Class D1 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
U.S. $17,000,000 Class D2 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
U.S. $17,000,000 Class D3 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
U.S. $9,250,000 Class E Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047, Downgraded to
C; previously on 5/21/2008 Downgraded to Ca
C-BASS CBO XVIII Ltd.
U.S. $346,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2047, Downgraded
to C; previously on 12/11/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
U.S. $150,000,000 Class A-2 First
Priority Senior Secured Fixed Rate Notes Due 2047, Downgraded to
C; previously on 12/11/2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
U.S. $46,500,000 Class B Second Priority
Senior Secured Floating Rate Notes Due 2047, Downgraded to C;
previously on 4/22/2008 Downgraded to Ca
Charles Fort CDO I, Ltd.
U.S.$220,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes due July 9, 2047,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
U.S.$60,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due July 9, 2047,
Downgraded to C; previously on 4/22/2008 Downgraded to Ca
U.S.$50,000,000 Class B Third Priority
Senior Secured Floating Rate Notes due July 9, 2047, Downgraded
to C; previously on 4/22/2008 Downgraded to Ca
U.S.$24,000,000 Class C Fourth Priority
Mezzanine Secured Floating Rate Deferrable Interest Notes due July 9,
2047, Downgraded to C; previously on 4/22/2008 Downgraded to
Ca
Clifton I CDO, Ltd.
U.S. $1,200,000,000 Class A-1
First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2052,
Downgraded to C; previously on 12/11/2008 Downgraded to Caa1 and
remains on Review for Possible Downgrade
U.S. $55,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 6/3/2008 Downgraded to Ca
U.S. $65,000,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 6/3/2008 Downgraded to Ca
U.S. $67,000,000 Class A-4 Fourth
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 6/3/2008 Downgraded to Ca
U.S. $65,000,000 Class B Fifth Priority
Senior Secured Floating Rate Notes Due 2052, Downgraded to C;
previously on 6/3/2008 Downgraded to Ca
Cookson SPC Series 2007-2LAC
EUR 10,000,000 Series 2007-2LAC Notes Due 2046,
Downgraded to C; previously on 5/8/2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
HG-COLL 2007-1 Ltd.
U.S. $830,000,000 Class A-1LA
Floating Rate Notes Due April 2052, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S. $95,000,000 Class A-1LB Floating
Rate Notes Due April 2052, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $37,000,000 Class A-2L Floating
Rate Notes Due April 2052, Downgraded to C; previously on 5/9/2008
Downgraded to Ca
Istana High Grade ABS CDO I, Ltd.
U.S.$600,000,000 Class A-1 First
Priority Delayed Draw Floating Rate Notes Due 2048, Downgraded to
Ca; previously on 12/16/2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Ixion 2007 Series 31
U.S. $13,000,000 Floating Rate Portfolio
Credit Linked Secured Notes due 2037, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa3 and Placed Under Review for Possible
Downgrade
Kleros Preferred Funding VIII, Ltd.
U.S. $2,400,000,000 Class A-1A
First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2052,
Downgraded to Ca; previously on 12/11/2008 Downgraded to Caa1 and
remains on Review for Possible Downgrade
U.S. $150,000,000 Class A-1B Second
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 12/11/2008 Downgraded to Caa2 and remains on
Review for Possible Downgrade
U.S. $180,000,000 Class A-2 Third
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 12/11/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
U.S. $144,000,000 Class A-3 Fourth
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to C; previously on 5/30/2008 Downgraded to Ca
U.S. $52,500,000 Class B Fifth Priority
Senior Secured Floating Rate Notes Due 2052, Downgraded to C;
previously on 5/30/2008 Downgraded to Ca
U.S. $19,500,000 Class X Senior Secured
Floating Rate Notes Due 2013, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
Lexington Capital Funding V Ltd.
U.S.$246,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 12/11/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
U.S.$123,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 6/2/2008 Downgraded to Ca
U.S.$91,500,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 6/2/2008 Downgraded to Ca
U.S.$42,000,000 Class B Fourth Priority
Senior Secured Floating Rate Notes Due 2051, Downgraded to C;
previously on 6/2/2008 Downgraded to Ca
U.S.$40,000,000 Class C Fifth Priority
Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded
to C; previously on 3/26/2008 Downgraded to Ca
U.S.$28,000,000 Class D Sixth Priority
Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded
to C; previously on 3/26/2008 Downgraded to Ca
U.S.$14,225,000 Class E Seventh Priority
Mezzanine Secured Deferrable Floating Rate Notes Due 2051, Downgraded
to C; previously on 3/26/2008 Downgraded to Ca
Libertas Preferred Funding V, Ltd.
U.S. $360,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2047, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $30,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
U.S. $66,000,000 Class A-3 Senior
Secured Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
U.S. $40,500,000 Class B Senior Secured
Floating Rate Notes Due 2047, Downgraded to C; previously on
5/23/2008 Downgraded to Ca
U.S. $31,500,000 Class C Mezzanine Secured
Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
U.S. $23,000,000 Class D Mezzanine Secured
Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
U.S. $22,000,000 Class E Mezzanine Secured
Deferrable Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
U.S. $20,000,000 Class X Senior Secured
Floating Rate Notes Due 2013, Downgraded to C; previously on
12/11/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Magnolia Finance II plc., Series 2006-5
Series 2006-5A, Downgraded to C; previously on 12/16/2008
Downgraded to B3 and remains on Review for Possible Downgrade
Series 2006-5B, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 2006-5CE, Downgraded to C; previously on 4/30/2008
Downgraded to Ca
Series 2006-5CG, Downgraded to C; previously on 4/30/2008
Downgraded to Ca
Series 2006-5CU, Downgraded to C; previously on 4/30/2008
Downgraded to Ca
Parapet 2006 Ltd.
U.S.$137,500,000 Class A Floating Rate
Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Ridgeway Court Funding I, Ltd.
Class A1M Notes, Downgraded to C; previously on 12/16/2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class A1Q Notes, Downgraded to C; previously on 12/16/2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class A2 Notes, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
Class A3 Notes, Downgraded to C; previously on 2/5/2008 Downgraded
to Ca
Silver Elms CDO II Limited
U.S.$873,600,000 Class A-1M Floating
Rate Senior Secured Notes due 2051, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S.$151,400,000 Class A-1Q Floating
Rate Senior Secured Notes due 2051, Downgraded to C; previously
on 12/11/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S.$87,500,000 Class A-2 Floating
Rate Senior Secured Notes due 2051, Downgraded to C; previously
on 5/29/2008 Downgraded to Ca
U.S.$74,000,000 Class A-3 Floating
Rate Senior Secured Notes due 2051, Downgraded to C; previously
on 5/29/2008 Downgraded to Ca
U.S.$28,000,000 Class B Floating Rate
Subordinate Secured Notes due 2051, Downgraded to C; previously
on 5/29/2008 Downgraded to Ca
South Coast Funding IX Ltd
$250,000,000 Class A-1B First Priority Senior
Secured Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/18/2008 Downgraded to Ca
$47,000,000 Class A-2 Second Priority Senior
Secured Floating Rate Notes Due 2047, Downgraded to C; previously
on 5/18/2008 Downgraded to Ca
$37,500,000 Class B Third Priority Senior Secured Floating
Rate Notes Due 2047, Downgraded to C; previously on 5/18/2008
Downgraded to Ca
$34,500,000 Class C Fourth Priority Mezzanine Secured
Floating Rate Deferrable Notes Due 2047, Downgraded to C; previously
on 3/26/2008 Downgraded to Ca
Super Senior Swap, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
STACK 2007-2 Ltd.
U.S. $330,000,000 Class A-1 Senior
Variable Funding Floating Rate Notes Due 2047, Downgraded to C;
previously on 12/11/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S. $138,000,000 Class A-2 Floating
Rate Notes Due 2047, Downgraded to C; previously on 6/9/2008
Downgraded to Ca
U.S. $46,800,000 Class B Floating Rate
Notes Due 2047, Downgraded to C; previously on 6/9/2008 Downgraded
to Ca
Toro ABS CDO II, LLC
U.S.$885,000,000 Class A-1 First
Priority Senior Secured Floating Rate Delayed Draw Notes Due June 2043,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and
remains on Review for Possible Downgrade
US$56,000,000 Class A-2 Second Priority Senior
Secured Floating Rate Notes Due June 2043, Downgraded to C;
previously on 7/9/2008 Downgraded to Ca
US$24,000,000 Class B Third Priority Senior Secured
Floating Rate Notes Due June 2043, Downgraded to C; previously
on 5/9/2008 Downgraded to Ca
US$7,000,000 Class C Fourth Priority Senior Secured
Floating Rate Notes Due June 2043, Downgraded to C; previously
on 5/9/2008 Downgraded to Ca
UBS Euro Note Programme AMPST 2007-1
U.S. $20,000,000 Floating Rate Credit
Linked Notes due 2047, Downgraded to C; previously on 12/11/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
West Coast Funding I, Ltd.
U.S.$ 1,187,950,000 Class A-1a
Floating Rate Notes Due 2041, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S.$ 1,187,950,000 Class A-1b
Floating Rate Notes Due 2041, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S.$100,000 Class A-1v Floating Rate
Notes Due 2041, Downgraded to Ca; previously on 12/16/2008
Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S.$81,000,000 Class A-2 Floating
Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
U.S.$81,000,000 Class A-3 Floating
Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008
Downgraded to B1 and remains on Review for Possible Downgrade
U.S.$54,000,000 Class B Floating Rate
Notes Due 2041, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa2 and remains on Review for Possible Downgrade
U.S.$60,750,000 Class C Deferrable Floating
Rate Notes Due 2041, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$33,750,000 Class D Deferrable Floating
Rate Notes Due 2041, Downgraded to C; previously on 5/8/2008
Downgraded to Caa3 and Placed Under Review for Possible Downgrade
U.S.$10,000,000 Combination Notes Due
2041, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 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
Sindhu Veluri
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's lowers ratings of 94 Notes issued by 23 structured finance CDO transactions