NEW YORK (Standard & Poor's) Dec. 19, 2007--Standard & Poor's Ratings Services
today placed its ratings on 74 tranches from 15 U.S. cash flow and hybrid
collateralized debt obligations of asset-backed securities (CDO of ABS) on
CreditWatch with negative implications following the downgrade of 1,292
classes of U.S. residential mortgage-backed securities (RMBS) backed by U.S.
first-lien Alternative A (Alt-A) mortgage collateral. The 381 downgraded RMBS
Alt-A transactions were issued during 2005 and 2006 (see the related press
release, ?S&P Cuts 1,292 U.S. Alt-A RMBS Classes From 2005 And 2006,"
published, on Dec. 19, 2007 on RatingsDirect, and on Standard & Poor's Web
site at www.standardandpoors.com).
The CDO tranches with ratings placed on CreditWatch negative have a total
issuance amount of $5.18 billion, and all are from CDOs of ABS collateralized
by structured finance (SF) securities, including U.S. RMBS. The affected CDO
transactions were all issued in 2006 or 2007. Four of the affected CDO
transactions are high-grade SF CDOs of ABS collateralized at origination
primarily by 'AAA', 'AA', and some 'A' rated tranches of RMBS and other SF
securities). The other 11 CDOs are mezzanine SF CDOs of ABS collateralized by
'A' and 'BBB' rated tranches of RMBS and other SF securities.
For the mezzanine SF CDOs with ratings on CreditWatch, the exposure to the
downgraded Alt-A mortgage collateral ranges from 5.39% to 29.7% of the total
portfolio collateral held by the CDO, while the corresponding exposure for the
high-grade SF CDOs ranges from 2.03% to 8.7% of the total collateral.
Standard & Poor's is continuing its review of cash flow and hybrid CDO
transactions with exposure to downgraded RMBS and will take action on the CDO
ratings where appropriate.
CDO RATINGS PLACED ON CREDITWATCH NEGATIVE
Rating
Transaction Tranche To From
Brigantine High Grade Fndg B AA/Watch Neg AA
Brigantine High Grade Fndg C A/Watch Neg A
Brigantine High Grade Fndg D BBB/Watch Neg BBB
Brigantine High Grade Fndg Income nts BB+/Watch Neg BB+
Caldecott CDO 1 A-2 AAA/Watch Neg AAA
Caldecott CDO 1 A-3 AA-/Watch Neg AA-
Caldecott CDO 1 B A-/Watch Neg A-
Caldecott CDO 1 C BB+/Watch Neg BB+
Caldecott CDO 1 D B-/Watch Neg B-
Caldecott CDO 1 E CCC+/Watch Neg CCC+
Caldecott CDO 1 F CCC/Watch Neg CCC
Grand Avenue CDO II A-3 AAA/Watch Neg AAA
Grand Avenue CDO II B AA/Watch Neg AA
Grand Avenue CDO II C A-/Watch Neg A-
Grand Avenue CDO II D BBB/Watch Neg BBB
Ischus Mezzanine CDO IV A-3 AAA/Watch Neg AAA
Ischus Mezzanine CDO IV B AA/Watch Neg AA
Ischus Mezzanine CDO IV C A/Watch Neg A
Nautilus RMBS CDO III A-1J AAA/Watch Neg AAA
Nautilus RMBS CDO III A-2 AA/Watch Neg AA
Nautilus RMBS CDO III A-3F A/Watch Neg A
Nautilus RMBS CDO III A-3V A/Watch Neg A
Nautilus RMBS CDO III B BBB/Watch Neg BBB
Nautilus RMBS CDO III C BB/Watch Neg BB
Nautilus RMBS CDO IV B-F BBB/Watch Neg BBB
Nautilus RMBS CDO IV B-V BBB/Watch Neg BBB
Nautilus RMBS CDO IV C-F BB/Watch Neg BB
Nautilus RMBS CDO IV C-V BB/Watch Neg BB
Pine Mountain CDO II A AAA/Watch Neg AAA
Sharps CDO I A-1 AAA/Watch Neg AAA
Sharps CDO I A-2 AAA/Watch Neg AAA
Sharps CDO I B AA/Watch Neg AA
Sharps CDO I C A/Watch Neg A
Sharps CDO I D BBB/Watch Neg BBB
Sharps CDO I E BB/Watch Neg BB
Sharps CDO II A-2 AAA/Watch Neg AAA
Sharps CDO II A-3 AAA/Watch Neg AAA
Sharps CDO II B AA/Watch Neg AA
Sharps CDO II C A/Watch Neg A
Sharps CDO II D-1 BBB+/Watch Neg BBB+
Sharps CDO II D-2 BBB-/Watch Neg BBB-
Silver Marlin CDO I B AA/Watch Neg AA
Silver Marlin CDO I C AA-/Watch Neg AA-
Silver Marlin CDO I D A/Watch Neg A
Silver Marlin CDO I E A-/Watch Neg A-
Silver Marlin CDO I F BBB/Watch Neg BBB
Sorin CDO V A2 AA/Watch Neg AA
Sorin CDO V A3 A/Watch Neg A
Sorin CDO V B BBB/Watch Neg BBB
Sorin CDO V C BB/Watch Neg BB
Sorin CDO VI A-2L AA/Watch Neg AA
Sorin CDO VI A-3L A/Watch Neg A
Sorin CDO VI B-1L BBB/Watch Neg BBB
Sorin CDO VI B-2L BB+/Watch Neg BB+
South Coast Funding IX A2 AAA/Watch Neg AAA
South Coast Funding IX B A/Watch Neg A
South Coast Funding IX C BB/Watch Neg BB
South Coast Funding IX D B-/Watch Neg B-
South Coast Funding IX E CCC+/Watch Neg CCC+
South Coast Funding IX F CCC/Watch Neg CCC
Stack 2006-1 II AAA/Watch Neg AAA
Stack 2006-1 III AA/Watch Neg AA
Stack 2006-1 IV A+/Watch Neg A+
Stack 2006-1 V A-/Watch Neg A-
Stack 2006-1 VI BB+/Watch Neg BB+
Stack 2006-1 VII BB/Watch Neg BB
West Coast Funding I A-1a AAA/Watch Neg AAA
West Coast Funding I A-1b AAA/Watch Neg AAA
West Coast Funding I A-1v AAA/Watch Neg AAA
West Coast Funding I A-2 AAA/Watch Neg AAA
West Coast Funding I A-3 AAA/Watch Neg AAA
West Coast Funding I B AA/Watch Neg AA
West Coast Funding I C A/Watch Neg A
West Coast Funding I D BBB/Watch Neg BBB
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