NEW YORK (Standard & Poor's) Dec. 6, 2007--Standard & Poor's Ratings Services
today lowered its ratings on 101 tranches from 24 U.S. cash flow and hybrid
collateralized debt obligation (CDO) transactions. At the same time, we
affirmed our ratings on another 47 tranches from these transactions (see
list). The downgraded tranches have a total issuance amount of $4.498 billion,
and all are from CDOs of asset-backed securities (ABS) collateralized by
structured finance securities, including U.S. residential mortgage-backed
securities (RMBS).
All but 24 of the lowered ratings were on CreditWatch with negative
implications before the downgrades. Thirty-five tranche ratings either remain
on CreditWatch negative or were placed on CreditWatch negative today,
indicating a high likelihood of future downgrades on these tranches.
To date, including the CDO tranches listed below and including actions on
both publicly and confidentially rated tranches, we have lowered our ratings
on 810 tranches from 291 U.S. cash flow, hybrid, and synthetic CDO
transactions as a result of exposure to RMBS securities that have seen credit
deterioration, and 548 tranche ratings from 147 transactions are currently on
CreditWatch negative. The downgraded tranches represent an issuance amount of
$30.141 billion, while the tranches with ratings on CreditWatch negative
represent an issuance amount of $24.815 billion.
Standard & Poor's will continue to monitor the CDO transactions it rates
and take rating actions when appropriate. Additionally, Standard & Poor's will
continue to review its current criteria assumptions in light of the recent
performance of RMBS assets and CDOs.
For additional information on Standard & Poor's residential
mortgage-related rating actions on U.S. CDO transactions, please visit
RatingsDirect (at www.ratingsdirect.com) or www.spviews.com.
DOWNGRADES AND CREDITWATCH ACTIONS
Rating
Transaction Class To From
ACA Aquarius 2006-1 A1-J AA AAA
ACA Aquarius 2006-1 A2 BBB- AA/Watch Neg
ACA Aquarius 2006-1 A3 B A/Watch Neg
ACA Aquarius 2006-1 B1 CCC BBB+/Watch Neg
ACA Aquarius 2006-1 B2 CCC- BBB/Watch Neg
ACA Aquarius 2006-1 B3 CC BBB-/Watch Neg
ACA Aquarius 2006-1 I Sub Nts CC BBB-/Watch Neg
Alexander Park CDO I Ltd. D-1 BBB- BBB/Watch Neg
Alexander Park CDO I Ltd. D-2 BBB- BBB/Watch Neg
BFC Genesee CDO Ltd. A-1LB AAA/Watch Neg AAA
BFC Genesee CDO Ltd. A-2L AA/Watch Neg AA
BFC Genesee CDO Ltd. A-3L BBB+/Watch Neg A/Watch Neg
BFC Genesee CDO Ltd. B-1L BB-/Watch Neg BBB/Watch Neg
Bluegrass ABS CDO II Ltd. B AA-/Watch Neg AA/Watch Neg
Bluegrass ABS CDO II Ltd. C-1 BBB-/Watch Neg BBB/Watch Neg
Bluegrass ABS CDO II Ltd. C-2 BBB-/Watch Neg BBB/Watch Neg
Bluegrass ABS CDO II Ltd. Type l Com BBB-/Watch Neg BBB/Watch Neg
Coldwater CDO Ltd. A-1 AAA/Watch Neg AAA
Coldwater CDO Ltd. A-2 AA/Watch Neg AAA/Watch Neg
Coldwater CDO Ltd. A-3 A/Watch Neg AA/Watch Neg
Coldwater CDO Ltd. B-2 BB+/Watch Neg A/Watch Neg
Coldwater CDO Ltd. C CCC+/Watch Neg BBB/Watch Neg
GSC ABS CDO 2006-2m Ltd. D BBB A/Watch Neg
GSC ABS CDO 2006-2m Ltd. E CCC BBB/Watch Neg
GSC ABS CDO 2006-2m Ltd. F CCC- BB+/Watch Neg
GSC ABS CDO 2006-2m Ltd. G CC BB/Watch Neg
Independence IV CDO Ltd. B BBB+/Watch Neg AA/Watch Neg
Independence IV CDO Ltd. C CCC-/Watch Neg BBB/Watch Neg
Ischus CDO II Ltd. B AA- AA
Ischus CDO II Ltd. C A- A
Ischus CDO II Ltd. D BB+ BBB/Watch Neg
Libra CDO Ltd. A AA AAA
Libra CDO Ltd. B A- AA
Libra CDO Ltd. C BB+ A/Watch Neg
Libra CDO Ltd. D CCC- BBB/Watch Neg
Libra CDO Ltd. X CC BBB-/Watch Neg
Lincoln Avenue ABS CDO Ltd. A-2 AA+/Watch Neg AAA
Lincoln Avenue ABS CDO Ltd. B BBB+/Watch Neg AA/Watch Neg
Lincoln Avenue ABS CDO Ltd. C B/Watch Neg A/Watch Neg
Lincoln Avenue ABS CDO Ltd. D CCC-/Watch Neg BBB/Watch Neg
Mayflower CDO I Ltd. A-1lB AA-/Watch Neg AAA
Mayflower CDO I Ltd. A-2L BBB+/Watch Neg AA/Watch Neg
Mayflower CDO I Ltd. A-3L BBB-/Watch Neg A/Watch Neg
Mayflower CDO I Ltd. B-1L B/Watch Neg BBB/Watch Neg
Montauk Point CDO Ltd. B AA- AA
Montauk Point CDO Ltd. C A AA-/Watch Neg
Montauk Point CDO Ltd. D BBB A/Watch Neg
Montauk Point CDO Ltd. E BB BBB/Watch Neg
Montauk Point CDO Ltd. F B+ BBB-/Watch Neg
Montauk Point CDO Ltd. G CCC+ BB+/Watch Neg
Neptune CDO III Ltd. A-2 AAA/Watch Neg AAA
Neptune CDO III Ltd. A-3 AA/Watch Neg AA
Neptune CDO III Ltd. B A/Watch Neg A
Neptune CDO III Ltd. C BB+/Watch Neg BBB/Watch Neg
Octans II CDO Ltd. A-2 AA+ AAA
Octans II CDO Ltd. A-3A AA+ AAA
Octans II CDO Ltd. A-3B AA+ AAA/Watch Neg
Octans II CDO Ltd. B A+ AA/Watch Neg
Octans II CDO Ltd. C-1 BBB A/Watch Neg
Octans II CDO Ltd. C-2 BB+ A-/Watch Neg
Octans II CDO Ltd. D BB BBB/Watch Neg
Octans II CDO Ltd. X-1 B BBB-/Watch Neg
Octans II CDO Ltd. X-2 CCC- BBB-/Watch Neg
Orion 2006-2 Ltd. A-2 A-/Watch Neg AA+/Watch Neg
Orion 2006-2 Ltd. B-1 BB/Watch Neg AA/Watch Neg
Orion 2006-2 Ltd. B-2 CCC+/Watch Neg AA-/Watch Neg
Orion 2006-2 Ltd. C-1 CCC-/Watch Neg A-/Watch Neg
Orion 2006-2 Ltd. C-2 CC BBB/Watch Neg
Orion 2006-2 Ltd. D-1 CC BB/Watch Neg
Orion 2006-2 Ltd. D-2 CC BB-/Watch Neg
Orion 2006-2 Ltd. E CC B-/Watch Neg
Orion 2006-2 Ltd. X CC BB/Watch Neg
Pine Mountain CDO Ltd. A-3 AA+ AAA
Pine Mountain CDO Ltd. B A+ AA/Watch Neg
Pine Mountain CDO Ltd. C BBB+ A/Watch Neg
Pine Mountain CDO Ltd. D B BBB/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. A-2 AA+ AAA
Pyxis ABS CDO 2007-1 Ltd. B A+ AA/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. C BBB- A/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. D-1 CCC+ BBB/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. D-2 CCC BBB-/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. E CCC- BB+/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. F CC BB-/Watch Neg
Pyxis ABS CDO 2007-1 Ltd. S AA+ AAA
RFC CDO IV Ltd. B AA- AA
RFC CDO IV Ltd. C A- A/Watch Neg
RFC CDO IV Ltd. D BBB BBB/Watch Neg
Sherwood Funding CDO Ltd. A-2 AAA/Watch Neg AAA
Sherwood Funding CDO Ltd. B-1 BBB+/Watch Neg AA
Sherwood Funding CDO Ltd. B-2 BBB+/Watch Neg AA
Sherwood Funding CDO Ltd. C BB+/Watch Neg A/Watch Neg
Sherwood Funding CDO Ltd. D CC BBB/Watch Neg
South Coast Funding I Ltd. A-2 B+ A-/Watch Neg
South Coast Funding III Ltd. A-2 AA AAA
South Coast Funding III Ltd. A-3A A+ AA
South Coast Funding III Ltd. A-3B A+ AA
South Coast Funding III Ltd. B BBB- A-
South Coast Funding III Ltd. C BB- BBB/Watch Neg
Springdale CDO 2006-1 Ltd. A-2 AA AAA
Springdale CDO 2006-1 Ltd. B BBB+ AA/Watch Neg
Springdale CDO 2006-1 Ltd. C BB+ A/Watch Neg
Springdale CDO 2006-1 Ltd. D CCC BBB/Watch Neg
Springdale CDO 2006-1 Ltd. E CC BB+/Watch Neg
STAtic ResidenTial CDO 2006-A Ltd. A-2 AA+ AAA
STAtic ResidenTial CDO 2006-A Ltd. B AA AA+
STAtic ResidenTial CDO 2006-A Ltd. C A+ AA-
STAtic ResidenTial CDO 2006-A Ltd. D BBB- A-/Watch Neg
STAtic ResidenTial CDO 2006-A Ltd. E BB BBB/Watch Neg
Tabs 2005-4 Ltd. E BBB- BBB/Watch Neg
RATINGS AFFIRMED
Transaction Class Rating
ACA Aquarius 2006-1 A1-S AAA
Alexander Park CDO I Ltd. A-1 AAA
Alexander Park CDO I Ltd. A-2 AAA
Alexander Park CDO I Ltd. B AA
Alexander Park CDO I Ltd. C A
Bluegrass ABS CDO II Ltd. A-1MT-a AAA
Bluegrass ABS CDO II Ltd. A-1MT-b AAA
Bluegrass ABS CDO II Ltd. A-2 AAA
BFC Genesee CDO Ltd. A-1LA AAA
GSC ABS CDO 2006-2m Ltd. A1A AAA
GSC ABS CDO 2006-2m Ltd. A1B AAA
GSC ABS CDO 2006-2m Ltd. A-2 AAA
GSC ABS CDO 2006-2m Ltd. B AA
GSC ABS CDO 2006-2m Ltd. C AA-
Independence IV CDO Ltd. A-1 Series 1 AAA
Independence IV CDO Ltd. A-1 Series 2 AAA
Independence IV CDO Ltd. A-2 AAA
Independence IV CDO Ltd. A-3 AAA
Ischus CDO II Ltd. A-1A AAA
Ischus CDO II Ltd. A-1B AAA
Ischus CDO II Ltd. A-2 AAA
Libra CDO Ltd. Sr Swap AAAsrs
Lincoln Avenue ABS CDO Ltd. A-1 AAA
Mayflower CDO I Ltd. A-1LA AAA
Mayflower CDO I Ltd. X AAA
Montauk Point CDO Ltd. A1 AAA
Montauk Point CDO Ltd. A2 AAA
Neptune CDO III Ltd. A-1 AAA
Neptune CDO III Ltd. S AAA
Octans II CDO Ltd. A-1 Swap AAAsrp
Orion 2006-2 Ltd. A-1A AAA
Orion 2006-2 Ltd. S AAA
Pine Mountain CDO Ltd. A-1 AAA
Pine Mountain CDO Ltd. A-2 AAA
Pyxis ABS CDO 2007-1 Ltd. A-1 AAA
RFC CDO IV Ltd. A-2 AAA
RFC CDO IV Ltd. A-3 AAA
Sherwood Funding CDO Ltd A-1 AAA
STAtic ResidenTial CDO 2006-A Ltd. A-1(a) AAA
STAtic ResidenTial CDO 2006-A Ltd. A-1(b) AAA
South Coast Funding I Ltd. A-1 AA
South Coast Funding III Ltd. A-1A AAA
South Coast Funding III Ltd. A-1B AAA
Tabs 2005-4 Ltd. A AAA
Tabs 2005-4 Ltd. B AAA
Tabs 2005-4 Ltd. C AA
Tabs 2005-4 Ltd. D A
OTHER OUTSTANDING RATING
Transaction Class Rating
Orion 2006-2 Ltd. A-1B AAA/Watch Neg
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