New York, March 18, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 95 Notes issued by 24 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 2005-3, Ltd.
Class A-1, Downgraded to Ca; previously on 12/17/2008
Downgraded to A1 and remains on Review for Possible Downgrade
ABACUS 2005-3, Ltd
Class A2, Downgraded to Ca; previously on 12/17/2008 Downgraded
to A3 and remains on Review for Possible Downgrade
ABACUS 2005-3, Ltd.
Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Baa1 and remains on Review for Possible Downgrade
ABACUS 2005-3, Ltd.
Class C Series 1 Floating Rate Notes, Downgraded to C; previously
on 12/17/2008 Downgraded to Baa3 and remains on Review for Possible Downgrade
Class C Series 2 Floating Rate Notes, Downgraded to C; previously
on 12/17/2008 Downgraded to Baa3 and remains on Review for Possible Downgrade
ABACUS 2005-3, Ltd.
Class D, Downgraded to C; previously on 12/17/2008 Downgraded
to Ba3 and remains on Review for Possible Downgrade
U.S.$37,000,000 Class D Series 2 Floating
Rate Notes, Due 2039, Downgraded to C; previously on
12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S.$15,000,000 Class D Series 3 Floating
Rate Notes, Due 2039, Downgraded to C; previously on
12/17/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
ABACUS 2005-3, Ltd.
Class E, Downgraded to C; previously on 12/17/2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Belle Haven ABS CDO, Ltd.
Class A1SB-1, Downgraded to Caa2; previously on 12/22/2008
Downgraded to Baa1 and remains on Review for Possible Downgrade
Class A1SB-2, Downgraded to Caa2; previously on 12/22/2008
Downgraded to Baa1 and remains on Review for Possible Downgrade
U.S.$344,000,000 Class A1ST Senior Secured
Floating Rate Notes Due 2044-1, Downgraded to Caa2;
previously on 12/22/2008 Downgraded to Baa1 and remains on Review for
Possible Downgrade
U.S.$48,000,000 Class A1J Senior Secured
Floating Rate Notes Due 2044, Downgraded to C; previously on
12/22/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S.$35,000,000 Class A2 Senior Secured
Floating Rate Notes Due 2044, Downgraded to C; previously on
12/22/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$35,000,000 Class A3 Senior Secured
Deferrable Interest Floating Rate Notes Due 2044, Downgraded to
C; previously on 6/2/2008 Downgraded to Ca
Galleria CBO V (formerly Beacon Hill III)
Class A-1 Senior Secured Floating Rate Term Notes, due 2037,
Downgraded to Caa2; previously on 5/18/2008 Downgraded to Baa2 and
Placed Under Review for Possible Downgrade
Class A-2 Senior Secured Floating Rate Revolving Notes, due
2037, Downgraded to Caa2; previously on 5/18/2008 Downgraded
to Baa2 and Placed Under Review for Possible Downgrade
Class B Second Priority Floating Rate Term Notes, due 2037,
Downgraded to C; previously on 5/18/2008 Downgraded to Ca
Class C-1 Third Priority Floating Rate Term Notes, due 2037,
Downgraded to C; previously on 5/18/2008 Downgraded to Ca
Class C-2 Third Priority Fixed Rate Term Notes, due 2037,
Downgraded to C; previously on 5/18/2008 Downgraded to Ca
Helios Series I Multi Asset CBO, LTD
U.S.$443,000,000 Class A Floating Rate
Notes Due December 13, 2036, Downgraded to A2; previously
on 2/7/2005 Downgraded to Aa2
U.S.$27,000,000 Class B Floating Rate
Notes Due December 13, 2036, Downgraded to B2; previously
on 2/7/2005 Downgraded to Baa2
U.S.$24,000,000 Class C Floating Rate
Notes Due December 13, 2036, Downgraded to C; previously
on 2/7/2005 Downgraded to Caa2
Hillcrest CDO I Ltd
Class A-1a Floating Rate Senior Secured Notes Due 2039, Downgraded
to Caa2; previously on 12/22/2008 Downgraded to B2 and remains on
Review for Possible Downgrade
Class A-1b Fixed Rate Senior Secured Notes Due 2039, Downgraded
to Caa2; previously on 12/22/2008 Downgraded to B3 and remains on
Review for Possible Downgrade
Class A-2 Floating Rate Senior Secured Notes Due 2039, Downgraded
to C; previously on 10/22/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
Class B-1 Floating Rate Senior Secured Notes Due 2039, Downgraded
to C; previously on 10/22/2008 Downgraded to Ca
Class B-2 Fixed Rate Senior Secured Notes Due 2039, Downgraded
to C; previously on 10/22/2008 Downgraded to Ca
Class 2 Composite Notes, Confirmed at Caa2; previously on 12/22/2008
Downgraded to Caa2 and remains on Review for Possible Downgrade
Class 3 Composite Notes, Downgraded to Ba1; previously on 12/22/2008
Downgraded to Baa2 and remains on Review for Possible Downgrade
House of Europe Funding V PLC
EUR 200,000,000 Class A1 House of Europe Funding V PLC Delayed
Draw Note due 2090, Downgraded to Ba2; previously on 12/16/2008
Downgraded to Aa3 and Placed Under Review for Possible Downgrade
EUR 580,000,000 Class A1 House of Europe Funding V PLC Floating
Rate Notes due 2090, Downgraded to Ba2; previously on 12/16/2008
Downgraded to Aa3 and Placed Under Review for Possible Downgrade
EUR 70,000,000 Class A2 House of Europe Funding V PLC Floating
Rate Notes due 2090, Downgraded to Ca; previously on 12/16/2008
Downgraded to A2 and remains on Review for Possible Downgrade
EUR 70,000,000 Class A3-a House of Europe Funding V
PLC Floating Rate Notes due 2090, Downgraded to C; previously
on 12/16/2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
EUR 15,000,000 Class A3-b House of Europe Funding V
PLC Fixed Rate Notes due 2090, Downgraded to C; previously
on 12/16/2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
EUR 21,000,000 Class B House of Europe Funding V PLC Floating
Rate Notes due 2090, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Huntington CDO, Ltd.
Class A-1A First Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Baa1; previously on 12/17/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
Class A-1B First Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Baa1; previously on 12/17/2008 Downgraded
to Aa2 and Placed Under Review for Possible Downgrade
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2040, Downgraded to Caa1; previously on 12/17/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class B Third Priority Senior Secured Floating Rate Notes Due 2040,
Downgraded to Ca; previously on 12/17/2008 Downgraded to A3 and remains
on Review for Possible Downgrade
Class C-1 Fourth Priority Senior Secured Floating Rate Deferrable
Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
Class C-2 Fourth Priority Senior Secured Fixed Rate Deferrable
Notes Due 2040, Downgraded to C; previously on 12/17/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
MKP CBO III Ltd
Class A-2 Second Priority Senior Secured Floating Rate Notes,
Due 2039, Downgraded to Baa1; previously on 12/22/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class B Third Priority Senior Secured Floating Rate Notes, Due 2039,
Downgraded to Ba2; previously on 12/22/2008 Downgraded to A2 and
Placed Under Review for Possible Downgrade
Class C Mezzanine Secured Floating Rate Notes, Due 2039, Downgraded
to Ca; previously on 12/22/2008 Downgraded to B1 and remains on Review
for Possible Downgrade
Newcastle CDO VII, Limited
Class I-A, Downgraded to Ba2; previously on 12/17/2008
Downgraded to Aa3 and Placed Under Review for Possible Downgrade
Class I-B, Downgraded to B1; previously on 12/17/2008
Downgraded to A1 and Placed Under Review for Possible Downgrade
Class II, Downgraded to Caa1; previously on 12/17/2008 Downgraded
to A2 and Placed Under Review for Possible Downgrade
Class III, Downgraded to Ca; previously on 12/17/2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
Class IV-FL, Downgraded to C; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
Class IV-FX, Downgraded to C; previously on 12/17/2008
Downgraded to B1 and remains on Review for Possible Downgrade
Pine Mountain CDO Ltd.
Class A-1, Downgraded to Ca; previously on 12/17/2008
Downgraded to Baa3 and remains on Review for Possible Downgrade
Class A-2, Downgraded to C; previously on 12/17/2008
Downgraded to Ba3 and remains on Review for Possible Downgrade
Class A-3, Downgraded to C; previously on 12/17/2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class B, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
Class C, Downgraded to C; previously on 12/17/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class D, Downgraded to C; previously on 5/18/2008 Downgraded
to Ca
Portfolio CDS Trust 61
Super Senior, Downgraded to Ba1; previously on 12/17/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Saturn Ventures 2005-1, Ltd
Class A-1 Floating Rate Senior Secured Notes-1, Downgraded
to B3; previously on 12/17/2008 Downgraded to Aa3 and remains on
Review for Possible Downgrade
Class A-2 Floating Rate Senior Secured Notes, Downgraded
to Ca; previously on 12/17/2008 Downgraded to B2 and remains on Review
for Possible Downgrade
Class A-3 Floating Rate Senior Secured Notes, Downgraded
to C; previously on 11/10/2008 Downgraded to Ca
SLSpoke 2006-1
U.S.$30,000,000 Variable Floating Rate
Notes Due 2041, Downgraded to B3; previously on 12/16/2008
Downgraded to Baa1 and remains on Review for Possible Downgrade
Solstice ABS CBO, Ltd./Solstice ABS CBO Inc.
U.S. $225,000,000 Class A First Priority
Senior Secured Floating Rate Notes Due 2036, Downgraded to B3;
previously on 12/26/2007 Downgraded to Baa2
U.S. $50,000,000 Class B Second Priority
Senior Secured Floating Rate Notes Due 2036, Downgraded to Ca;
previously on 12/26/2007 Downgraded to B3
U.S.$12,500,000 Class C Mezzanine Floating
Rate Notes Due 2036, Downgraded to C; previously on 10/18/2005
Downgraded to Ca
U.S. $9,750,000 Class 1 Pass-Through
Notes Due 2036, Downgraded to C; previously on 10/18/2005 Downgraded
to Ca
Stockbridge CDO Ltd.
Class A-1 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to Ba3 and remains on Review for Possible Downgrade; previously
on 12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade
Class A-2 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to Ca; previously on 12/22/2008 Downgraded to Ba3 and
remains on Review for Possible Downgrade
Class A-3 Floating Rate Senior Notes Due November 18, 2039,
Downgraded to C; previously on 12/22/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
Class B Fixed Rate Senior Subordinate Notes Due November 18, 2039,
Downgraded to C; previously on 6/9/2008 Downgraded to Ca and Placed
Under Review for Possible Downgrade
TABS 2004-1, Ltd.
Class A-1 Notes, Downgraded to Caa3; previously on 12/22/2008
Downgraded to Aa3 and Placed Under Review for Possible Downgrade
Class A-2 Notes, Downgraded to C; previously on 12/22/2008
Downgraded to Ba2 and remains on Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 12/22/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class C Notes, Downgraded to C; previously on 5/30/2008 Downgraded
to Ca
Class D Notes, Downgraded to C; previously on 5/30/2008 Downgraded
to Ca
Tricadia CDO 2006-5, Ltd.
Class B, Downgraded to Caa1 and remains on Review for Possible Downgrade;
previously on 12/16/2008 Downgraded to A3 and remains on Review for Possible
Downgrade
Class C, Downgraded to Caa2 and remains on Review for Possible Downgrade;
previously on 12/16/2008 Downgraded to Baa3 and remains on Review for
Possible Downgrade
Class D, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class E, Downgraded to C; previously on 10/1/2008 Downgraded
to Ca
Witherspoon CDO Funding, Ltd.
U.S.$258,000,000 Class A-1 LT-a
Floating Rate Notes Due 2039, Downgraded to Caa1; previously
on 12/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade
U.S. 602,001,000 Class A-1 LT-b
Floating Rate Notes Due 2039-1, Downgraded to Caa1;
previously on 12/22/2008 Downgraded to Aa3 and Placed Under Review for
Possible Downgrade
U.S.$50,000,000 Class A-2 Floating
Rate Notes Due 2039-1, Downgraded to Ca; previously
on 12/22/2008 Downgraded to A1 and remains on Review for Possible Downgrade
U.S.$40,000,000 Class B Floating Rate
Notes Due 2039-1, Downgraded to C; previously on 12/22/2008
Downgraded to A3 and remains on Review for Possible Downgrade
U.S.$23,000,000 Class C Floating Rate
Deferrable Interest Notes Due 2039-1, Downgraded to C;
previously on 12/22/2008 Downgraded to B1 and remains on Review for Possible
Downgrade
U.S.$9,000,000 Class D Floating Rate
Deferrable Interest Notes Due 2039-1, Downgraded to C;
previously on 12/22/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S.$5,000,000 Combination Securities
Due 2039, Downgraded to C; previously on 12/22/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
U.S.$18,000,000 Aggregate Liquidation
Preference of Preference Shares, Downgraded to C; previously
on 5/23/2008 Downgraded to Ca
ZAIS Investment Grade Limited IX
Class A-1A Senior Secured Floating Rate Notes Due 2052, Downgraded
to B1 and remains on Review for Possible Downgrade; previously on
12/11/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
Class A-1B Senior Secured Floating Rate Notes Due 2052, Downgraded
to B1 and remains on Review for Possible Downgrade; previously on
12/11/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
Class A-1C Senior Secured Floating Rate Notes Due 2052, Downgraded
to B1 and remains on Review for Possible Downgrade; previously on
12/11/2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
U.S. $54,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2052, Downgraded to Caa1 and remains
on Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Baa1 and remains on Review for Possible Downgrade
U.S. $58,000,000 Class B Senior Secured
Floating Rate Notes Due 2052, Downgraded to Caa2 and remains on
Review for Possible Downgrade; previously on 12/11/2008 Downgraded
to Baa3 and remains on Review for Possible Downgrade
U.S. $33,500,000 Class C Senior Secured
Deferrable Interest Floating Rate Notes Due 2057, Downgraded to
C; previously on 10/6/2008 Downgraded to Caa3 and Placed Under Review
for Possible Downgrade
U.S. $20,500,000 Class D Senior Secured
Deferrable Interest Floating Rate Notes Due 2057, Downgraded to
C; previously on 6/2/2008 Downgraded to Ca
U.S. $1,000,000 Class Y Combination Notes
Due 2057, Downgraded to C; previously on 12/11/2008 Downgraded
to Caa1 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
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's lowers ratings of 95 Notes issued by 24 structured finance CDO transactions