 |
NEW YORK (Standard & Poor's) April 14, 2008--Standard & Poor's Ratings
Services today lowered its ratings on 31 tranches from eight U.S. cash flow
and hybrid collateralized debt obligation (CDO) transactions. We removed one
of the lowered ratings from CreditWatch with negative implications. At the
same time, we withdrew our ratings on six tranches from one transaction (see
list). The downgraded tranches have a total issuance amount of $1.471 billion.
Five of the eight transactions are mezzanine structured finance (SF) CDOs
of asset-backed securities (ABS), which are collateralized in large part by
mezzanine tranches of residential mortgage-backed securities (RMBS) and other
SF securities. Two of the eight are CDO of CDO transactions that were
collateralized at origination primarily by notes from other CDOs, as well as
by tranches from RMBS and other SF transactions. The other transaction is a
high-grade SF CDO of ABS, which is a CDO collateralized at origination
primarily by 'AAA' through 'A' rated tranches of RMBS and other SF securities.
Today's CDO downgrades reflect a number of factors, including credit
deterioration and recent negative rating actions on U.S. subprime RMBS
securities (see "S&P Takes Action On 6,389 U.S. Subprime RMBS Ratings And
1,953 CDO Ratings," published Jan. 30, 2008, on RatingsDirect), as well as
changes Standard & Poor's has made to the recovery rate and correlation
assumptions it uses to assess U.S. RMBS held within CDO collateral pools (see "
Correlation And Recovery Assumptions Revised For CDOs Of ABS Backed By RMBS,"
published Feb. 4, 2008, on RatingsDirect).
To date, including the CDO tranches listed below and including actions on
both publicly and confidentially rated tranches, we have lowered our ratings
on 3,240 tranches from 756 U.S. cash flow, hybrid, and synthetic CDO
transactions as a result of stress in the U.S. residential mortgage market and
credit deterioration of U.S. RMBS. In addition, 422 ratings from 135
transactions are currently on CreditWatch negative for the same reasons. In
all, we have downgraded $339.784 billion of CDO issuance. Additionally, our
ratings on $17.808 billion in securities have not been lowered but are
currently on CreditWatch negative, indicating a high likelihood of downgrades.
Standard & Poor's will continue to monitor the CDO transactions it rates
and take rating actions, including CreditWatch placements, when appropriate.
For additional information and updates 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.
RATING AND CREDITWATCH ACTIONS
Rating
Transaction Class To From
ACA ABS 2002-1 Ltd. B A- AA
ACA ABS 2002-1 Ltd. C CC BBB
Davis Square Funding II Ltd. A-1LT-a AA+ AAA
Davis Square Funding II Ltd. A-1LT-b AA+ AAA
Davis Square Funding II Ltd. A-1LT-c AA+ AAA
Davis Square Funding II Ltd. A-1LT-d AA+ AAA
Davis Square Funding II Ltd. A-1LT-e AA+ AAA
Davis Square Funding II Ltd. A-1LT-f AA+ AAA
Davis Square Funding II Ltd. A-1MM-a NR A-1+
Davis Square Funding II Ltd. A-1MM-b NR A-1+
Davis Square Funding II Ltd. A-1MM-c NR A-1+
Davis Square Funding II Ltd. A-1MM-d NR A-1+
Davis Square Funding II Ltd. A-1MM-e NR A-1+
Davis Square Funding II Ltd. A-1MM-f NR A-1+
Marathon Structured Funding I LLC A-1 A AAA/Watch Neg
Opus CDO I Ltd. A AA+ AAA
Opus CDO I Ltd. B A+ AA
Opus CDO I Ltd. C BBB A
Opus CDO I Ltd. D BB+ BBB
Opus CDO I Ltd. Sub Notes B- BB
Porter Square CDO III Ltd. A-2 AA+ AAA
Porter Square CDO III Ltd. B A- AA
Porter Square CDO III Ltd. C BB+ A
Porter Square CDO III Ltd. D B- BBB
South Coast Funding VII Ltd. A-2 A+ AA+
South Coast Funding VII Ltd. B BBB AA-
South Coast Funding VII Ltd. C BB+ A-
South Coast Funding VII Ltd. D-1A CCC BB
South Coast Funding VII Ltd. D-1B CCC BB
South Coast Funding VII Ltd. D-2 CCC BB
South Coast Funding VII Ltd. Pref Shrs CC CCC-
Tricadia CDO 2006-5 Ltd. E BB+ BBB
Tricadia CDO 2006-5 Ltd. F B- BB
Zais Investment Grade Ltd. VII A-2 AA+ AAA
Zais Investment Grade Ltd. VII A-3 BBB- AA
Zais Investment Grade Ltd. VII B-1A B- A
Zais Investment Grade Ltd. VII B-1B B- A
OTHER OUTSTANDING RATINGS
Transaction Class Rating
ACA ABS 2002-1 Ltd. A AAA
Davis Square Funding II Ltd. A-1MT-a AA
Davis Square Funding II Ltd. A-1MT-b AA
Davis Square Funding II Ltd. A-1MT-c AA
Davis Square Funding II Ltd. A-1MT-d AA
Davis Square Funding II Ltd. A-1MT-e AA
Davis Square Funding II Ltd. A-1MT-f AA
Opus CDO I Ltd. Combo Note BBB
Porter Square CDO III Ltd. A-1 AAA
South Coast Funding VII Ltd. A-1ANV AAA
South Coast Funding VII Ltd. A-1AV AAA
South Coast Funding VII Ltd. A-1B AAA
Tricadia CDO 2006-5 Ltd. B AAA
Tricadia CDO 2006-5 Ltd. C AA
Tricadia CDO 2006-5 Ltd. D A
Zais Investment Grade Ltd. VII A-1A AAA
Zais Investment Grade Ltd. VII A-1B AAA
|
