NEW YORK (Standard & Poor's) Nov. 20, 2007--Standard & Poor's Ratings Services
today lowered its ratings on all seven outstanding classes of notes issued by
Adams Square Funding I Ltd. Three of the ratings remain on CreditWatch with
negative implications, three were taken off CreditWatch negative, and one was
placed on CreditWatch negative (see list).
On Nov. 16, 2007, Standard & Poor's received a notice stating that the
controlling class of Adams Square Funding I Ltd. was directing the trustee to
proceed with the sale/liquidation of the collateral supporting the notes. This
notice followed a previous notice declaring an event of default (EOD) as of
Oct. 12, 2007, under section 5.1(h) of the indenture, which occurred after the
class A overcollateralization ratio fell below 100%.
Today's rating actions reflect Standard & Poor's opinion of the impact of
the liquidation of the collateral at what will likely be depressed prices. The
controlling class' election to liquidate the collateral is likely to result in
collateral valuation risk, potentially affecting all classes of notes.
Therefore, today's rating actions are more severe than would be justified
based solely on the underlying collateral's credit deterioration. The rating
actions also reflect our opinion that there is a high potential for material
losses to the noteholders based on the collateral's current market value and
our view that market prices may not recover during the liquidation period.
As previously stated, these rating actions are based on our expectation
that the collateral will be liquidated. Had we based our analysis on the
decline in the collateral's credit quality, rather than on the collateral
pool's liquidation value, we estimate that our analysis would have led us to
lower the rating on the class A notes by one to two notches and affirm the
rating assigned to the senior swap notes.
Adams Square Funding I Ltd. is a hybrid collateralized debt obligation
(CDO) transaction backed by asset-backed securities (ABS). Credit Suisse
Alternative Capital is the investment manager.
Through Monday, Nov. 19, Standard & Poor's had received EOD notices on 28
U.S. CDO of ABS transactions (including Adams Square Funding I Ltd.). These
transactions contain overcollateralization ratio EOD triggers that are tied to
the ratings on the assets that make up the transactions' collateral pools. We
have received a notice of liquidation for only one other transaction, Carina
CDO Ltd.; we have not received notices of liquidation for the remaining 26
transactions. If we receive notices of acceleration, liquidation, or
rescission of any previous actions for any transaction, we will adjust our
ratings as appropriate.
RATING LOWERED AND PLACED ON CREDITWATCH NEGATIVE
Adams Square Funding I Ltd.
Rating
Class To From
Sr swap BB/Watch Neg AAA
RATINGS LOWERED AND REMAINING ON CREDITWATCH NEGATIVE
Adams Square Funding I Ltd.
Rating
Class To From
A CCC-/Watch Neg AAA/Watch Neg
B-1 CCC-/Watch Neg AA/Watch Neg
B-2 CCC-/Watch Neg AA-/Watch Neg
RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE
Adams Square Funding I Ltd.
Rating
Class To From
C CC A/Watch Neg
D CC BBB/Watch Neg
E CC BB+/Watch Neg
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