NEW YORK (Standard & Poor's) Aug. 16, 2007--Standard & Poor's Ratings Services
today lowered its ratings on 50 tranches from 12 U.S. cash flow and hybrid CDO
of ABS transactions. Forty-seven of these ratings had been on CreditWatch with
negative implications before the downgrades; we removed the ratings assigned
to these tranches from CreditWatch. The rating on an additional class from one
of these transactions remains on CreditWatch with negative implications. In
addition, we affirmed our ratings on another 19 tranches from six CDO of ABS
transactions and removed them from CreditWatch with negative implications (see
list). The 50 downgraded tranches represent an issuance amount of $2.312
billion; the 19 tranches with ratings affirmed at their current levels and
removed from CreditWatch negative represent an issuance amount of $692.6
million.
All of the affected CDO transactions are collateralized in part by
mezzanine tranches of U.S. residential mortgage-backed securities (RMBS)
backed by first-lien subprime mortgage collateral. On July 12, 2007, Standard
& Poor's lowered its ratings on more than 600 U.S. RMBS classes collateralized
by U.S. first-lien subprime mortgages. Subsequently, on July 19, 2007, we
lowered our ratings on more than 400 U.S. RMBS classes backed by U.S.
closed-end second-lien mortgages; and on Aug. 7, 2007, we placed our ratings
on more than 200 RMBS classes backed by U.S. first-lien Alternative-A (Alt-A)
mortgage collateral on CreditWatch negative. In light of these actions, we
have reviewed the exposure of our globally rated CDO transactions to the
downgraded securities and are continuing to assess the impact of this exposure
on our CDO ratings.
Including the CDO tranches listed below, we have lowered our ratings on
75 tranches from 18 cash flow and hybrid CDO transactions to date as a result
of exposure to RMBS securities that have seen negative credit migration, and
another 127 tranche ratings from 41 cash flow and hybrid CDO transactions are
currently on CreditWatch negative. The 75 downgraded tranches represent an
issuance amount of $3.29 billion; the 127 tranches with ratings on CreditWatch
negative represent an issuance amount of $3.642 billion.
Aside from these actions on cash flow and hybrid CDOs, Standard & Poor's
has also lowered 96 tranche ratings from 77 non-excess-spread synthetic CDO
transactions and placed 10 tranche ratings from four actively managed
non-excess-spread synthetic CDO transactions on CreditWatch with negative
implications. The 96 downgraded synthetic CDO tranches represent $2.101
billion in issuance; the 10 synthetic CDO tranches with ratings on CreditWatch
represent $210.8 million in issuance.
To obtain a spreadsheet listing the CDO tranches with ratings affected by
exposure to downgraded RMBS, please e-mail RMBS@standardandpoors.com. Standard
& Poor's is continuing its review and will take action on the CDO ratings
where appropriate.
RATINGS LOWERED
Rating
Transaction Class To From
Arca Funding 2006-II Ltd. VII BB- BB+
Octans III CDO Ltd. D BB BB+
Orion 2006-2 Ltd. X BB BBB-
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Rating
Transaction Class To From
ACA ABS 2006-1 Ltd. A-2L A+ AA/Watch Neg
ACA ABS 2006-1 Ltd. A-3L BBB A/Watch Neg
ACA ABS 2006-1 Ltd. B-1L BBB- BBB/Watch Neg
ACA ABS 2006-2 Ltd. A2L A+ AA/Watch Neg
ACA ABS 2006-2 Ltd. A3L A- A/Watch Neg
ACA ABS 2006-2 Ltd. B1L BB+ BBB/Watch Neg
Arca Funding 2006-II Ltd. II AA+ AAA/Watch Neg
Arca Funding 2006-II Ltd. III A+ AA/Watch Neg
Arca Funding 2006-II Ltd. IV-A BBB A/Watch Neg
Arca Funding 2006-II Ltd. IV-B BBB A/Watch Neg
Arca Funding 2006-II Ltd. V BB BBB/Watch Neg
Arca Funding 2006-II Ltd. VI BB- BBB-/Watch Neg
Cetus ABS CDO 2006-1 Ltd. A-1 AA+ AAA/Watch Neg
Cetus ABS CDO 2006-1 Ltd. A-2 AA- AA/Watch Neg
Cetus ABS CDO 2006-1 Ltd. B BBB A/Watch Neg
Cetus ABS CDO 2006-1 Ltd. C BB BBB/Watch Neg
Cetus ABS CDO 2006-1 Ltd. D B- BB+/Watch Neg
Cetus ABS CDO 2006-2 Ltd. A-1 AA+ AAA/Watch Neg
Cetus ABS CDO 2006-2 Ltd. A-2 A+ AA/Watch Neg
Cetus ABS CDO 2006-2 Ltd. B BBB A/Watch Neg
Cetus ABS CDO 2006-2 Ltd. C BB BBB/Watch Neg
Cetus ABS CDO 2006-3 Ltd. A-2 AA+ AAA/Watch Neg
Cetus ABS CDO 2006-3 Ltd. B AA- AA/Watch Neg
Cetus ABS CDO 2006-3 Ltd. C-1 BBB+ A/Watch Neg
Cetus ABS CDO 2006-3 Ltd. C-2 BBB A-/Watch Neg
Cetus ABS CDO 2006-3 Ltd. D-1 BB+ BBB/Watch Neg
Cetus ABS CDO 2006-3 Ltd. D-2 BB BBB-/Watch Neg
Cetus ABS CDO 2006-3 Ltd. E BB- BB+/Watch Neg
Cetus ABS CDO 2006-4 Ltd. B BBB+ A/Watch Neg
Cetus ABS CDO 2006-4 Ltd. C BBB- BBB/Watch Neg
Cetus ABS CDO 2006-4 Ltd. D BB BB+/Watch Neg
Cetus ABS CDO 2006-4 Ltd. E B BB/Watch Neg
Cherry Creek CDO I Ltd. B BB+ BBB/Watch Neg
Commodore CDO I Ltd. B A+ AA/Watch Neg
Commodore CDO I Ltd. C CCC BB-/Watch Neg
GSC ABS CDO 2006-4u Ltd. A3 A- A/Watch Neg
GSC ABS CDO 2006-4u Ltd. B BBB- BBB/Watch Neg
GSC ABS CDO 2006-4u Ltd. C BB BB+/Watch Neg
Octans III CDO Ltd. B A- A/Watch Neg
Octans III CDO Ltd. C BBB- BBB/Watch Neg
Octans III CDO Ltd. E B BB/Watch Neg
Orion 2006-2 Ltd. A-2 AA+ AAA/Watch Neg
Orion 2006-2 Ltd. C-1 A- A/Watch Neg
Orion 2006-2 Ltd. C-2 BBB A-/Watch Neg
Orion 2006-2 Ltd. D-1 BB BBB/Watch Neg
Orion 2006-2 Ltd. D-2 BB- BBB-/Watch Neg
Orion 2006-2 Ltd. E B- BB+/Watch Neg
RATING REMAINING ON CREDITWATCH NEGATIVE
Transaction Class Rating
Octans III CDO Ltd. A-1 AAA/Watch Neg
RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE
Rating
Transaction Class To From
FAB US 2006-1 PLC B A- A-/Watch Neg
FAB US 2006-1 PLC C BBB BBB/Watch Neg
GSC ABS CDO 2006-2m Ltd. D A A/Watch Neg
GSC ABS CDO 2006-2m Ltd. E BBB BBB/Watch Neg
GSC ABS CDO 2006-2m Ltd. F BB+ BB+/Watch Neg
GSC ABS CDO 2006-2m Ltd. G BB BB/Watch Neg
GSC ABS CDO 2006-4u Ltd. A1 AAA AAA/Watch Neg
GSC ABS CDO 2006-4u Ltd. A2 AA AA/Watch Neg
Kefton CDO I Ltd. II AAA AAA/Watch Neg
Kefton CDO I Ltd. III AA AA/Watch Neg
Kefton CDO I Ltd. IV AA- AA-/Watch Neg
Kefton CDO I Ltd. V A A/Watch Neg
Kefton CDO I Ltd. VI BBB BBB/Watch Neg
Kefton CDO I Ltd. VII BB+ BB+/Watch Neg
Octans II CDO Ltd. C-2 A- A-/Watch Neg
Octans II CDO Ltd. D BBB BBB/Watch Neg
Octans II CDO Ltd. X-1 BBB- BBB-/Watch Neg
Octans II CDO Ltd. X-2 BBB- BBB-/Watch Neg
Orion 2006-1 Ltd. A AAA AAA/Watch Neg
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