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January 22, 2008 |
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SYDNEY STREET: Moody's May Cut Ba1 Rating After Review Moody's Investors Service has taken negative rating action on US$3.2 billion of notes issued by these four European CDOs: -- Sydney Street Finance Limited; -- Palmer Square 3 Limited; -- New Bond Street CDO 2 Limited; and -- Classic I (Netherlands) B.V. - Series 2006-1. These rating actions are the result of downward credit migrations in the underlying portfolios, which consist mainly of U.S. ABS CDOs and U.S. subprime RMBS securities, particularly of the 2006 and 2007 vintages. These rating actions also reflect Moody's outlook for U.S. RMBS and ABS CDOs from these and other vintages. The transactions affected by these actions are managed CDOs, with the underlying portfolios containing between 0% and 27% subprime RMBS and between 3% and 41% ABS CDOs of the 2005, 2006, and 2007 vintages. Many of these assets in the portfolios have been downgraded, placed on negative watch, or both in recent weeks. There are also defaulted ABS CDOs in New Bond Street CDO 2 and Palmer Square 3. Moody's will continue to monitor all deals with exposure to U.S. subprime RMBS and ABS CDOs, and will take further actions in respect of all CDOs placed on review for downgrade once the extent of actual downgrades to U.S. RMBS and ABS CDO vintages becomes known. These rating actions are: * Sydney Street Finance Limited: (1) EUR70,000,000 Class A-1 Floating Rate Credit-Linked Notes -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (2) EUR66,700,000 Class A-2 Floating Rate Credit-Linked Notes -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (3) EUR60,000,000 Class B Floating Rate Credit-Linked Notes -- Current Rating: Aa1, on review for downgrade -- Prior Rating: Aa1 (4) EUR46,700,000 Class C Floating Rate Credit-Linked Notes -- Current Rating: Aa2, on review for downgrade -- Prior Rating: Aa2 (5) EUR44,000,000 Class D Floating Rate Credit-Linked Notes -- Current Rating: Aa3, on review for downgrade -- Prior Rating: Aa3 (6) EUR26,700,000 Class E Floating Rate Credit-Linked Notes -- Current Rating: A2, on review for downgrade -- Prior Rating: A2 (7) EUR21,350,000 Class F Floating Rate Credit-Linked Notes -- Current Rating: A3, on review for downgrade -- Prior Rating: A3 (8) EUR21,350,000 Class G Floating Rate Credit-Linked Notes -- Current Rating: Baa2, on review for downgrade -- Prior Rating: Baa2 (9) EUR20,000,000 Class H Floating Rate Credit-Linked Notes -- Current Rating: Ba1, on review for downgrade -- Prior Rating: Ba1 * Palmer Square 3 Limited: (1) US$1,000,000,000 Class A1-M Floating Rate Notes due 2052 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (2) US$200,000,000 Class A1-Q Floating Rate Notes due 2052 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (3) US$300,000,000 Class A2 Floating Rate Notes due 2052 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (4) US$300,000,000 Class A3 Floating Rate Notes due 2052 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (5) US$116,000,000 Class A4 Floating Rate Notes due 2052 -- Current Rating: Ba1, on review for downgrade -- Prior Rating: Aaa (6) US$39,000,000 Class B Floating Rate Notes due 2052 -- Current Rating: Ba2, on review for downgrade -- Prior Rating: Aa2 (7) US$18,000,000 Class C Deferrable Floating Rate Notes due 2052 -- Current Rating: Ba3, on review for downgrade -- Prior Rating: A2 (8) US$17,000,000 Class D Deferrable Floating Rate Notes due 2052 -- Current Rating: B3, on review for downgrade -- Prior Rating: Baa2 * New Bond Street CDO 2 Limited: (1) US$100,000,000 Class A Floating Rate Notes due 2067 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (2) US$40,000,000 Class B Floating Rate Notes due 2067 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (3) US$25,000,000 Class C Deferrable Floating Rate Notes due 2067 -- Current Rating: Aa2, on review for downgrade -- Prior Rating: Aa2 (4) US$20,000,000 Class D Deferrable Floating Rate Notes due 2067 -- Current Rating: Ba3, on review for downgrade -- Prior Rating: A2 (5) US$15,000,000 Class E Deferrable Floating Rate Notes due 2067 -- Current Rating: B3, on review for downgrade -- Prior Rating: Baa3 * Classic I (Netherlands) B.V. - Series 2006-1: (1) US$443,529,000 Class A1 Secured Notes due October 2053 -- Current Rating: Aaa, on review for downgrade -- Prior Rating: Aaa (2) US$49,281,000 Class A2 Secured Notes due October 2053 -- Current Rating: Baa2, on review for downgrade -- Prior Rating: Baa2 |
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