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Don’t tell me it doesn’t matter. Don’t tell me that it is a propagated illusion of a crisis because people don’t “feel good” about the economy. Unemployment and the failure of consumer based businesses result from the speculative risk taking that over-leveraged company and financial assets into nothingness.

– that is why we had the laws in place that we do, because this isn’t the first time this has happened. It will go down in history for its magnitude, however.

And, it will go down in history for the words and actions of contempt by the Wall Street traders, hedge fund managers and financiers, along with the leadership of other aristocratic members in our society – made against the rest of the members of our society.

– cricketdiane, 02-21-09

(There are my words – the things found below this are real. They are real money, real events, real laws, and real lives that will be permanently changed by these events before us. It is a fact.)

***

http://uscode.house.gov/download/pls/15C2D.txt

http://www.sec.gov/about/laws/ica40.pdf

3 INVESTMENT COMPANY ACT OF 1940 Sec. 2
the national public interest and the interest of investors are adversely
affected—
(1) when investors purchase, pay for, exchange, receive
dividends upon, vote, refrain from voting, sell, or surrender securities
issued by investment companies without adequate, accurate,
and explicit information, fairly presented, concerning
the character of such securities and the circumstances, policies,
and financial responsibility of such companies and their management;
(2) when investment companies are organized, operated,
managed, or their portfolio securities are selected, in the interest
of directors, officers, investment advisers, depositors, or
other affiliated persons thereof, in the interest of underwriters,
brokers, or dealers, in the interest of special classes of their security
holders, or in the interest of other investment companies
or persons engaged in other lines of business, rather than in
the interest of all classes of such companies’ security holders;
(3) when investment companies issue securities containing
inequitable or discriminatory provisions, or fail to protect the
preferences and privileges of the holders of their outstanding
securities;
(4) when the control of investment companies is unduly
concentrated through pyramiding or inequitable methods of
control, or is inequitably distributed, or when investment companies
are managed by irresponsible persons;
(5) when investment companies, in keeping their accounts,
in maintaining reserves, and in computing their earnings and
the asset value of their outstanding securities, employ unsound
or misleading methods, or are not subjected to adequate independent
scrutiny;
(6) when investment companies are reorganized, become
inactive, or change the character of their business, or when the
control or management thereof is transferred, without the consent
of their security holders;
(7) when investment companies by excessive borrowing
and the issuance of excessive amounts of senior securities increase
unduly the speculative character of their junior securities;
or
(8) when investment companies operate without adequate
assets or reserves.
It is hereby declared that the policy and purposes of this title, in
accordance with which the provisions of this title shall be interpreted,
are to mitigate and, so far as is feasible, to eliminate the
conditions enumerated in this section which adversely affect the
national public interest and the interest of investors.

[ Etc., ]

http://www.sec.gov/about/laws/ica40.pdf

***

Citigroup’s CDS widen 45 bps to 450 bps-Phoenix
Fri Feb 20, 2009 9:45am EST

NEW YORK, Feb 20 (Reuters) – The cost of insuring Citigroup’s (C.N) debt with credit default swaps rose sharply on Friday as fears that the bank may be nationalized hammered its shares.

Citigroup’s five-year credit default swaps widened to 450 basis points, or $450,000 a year to protect $10 million of debt, after closing around 405 basis points on Thursday, according to data from Phoenix Partners Group. (Reporting by Dena Aubin; Editing by Theodore d’Afflisio) (dena.aubin@thomsonreuters.com; +1-646-223-6325; Reuters Messaging: dena.aubin.reuters.com@reuters.net))

http://www.reuters.com/article/rbssFinancialServicesAndRealEstateNews/idUSN2025600020090220

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Highland Capital CDO Fund Is Insolvent, Wiping Out Investors

By Miles Weiss

Feb. 20 (Bloomberg) — Highland Capital Management LP, the investment firm founded by James Dondero and Mark Okada, said one of its hedge funds was wiped out by losses on high-risk debt securities, at least its third fund since October to close.

The managers and directors of Highland CDO Opportunity Fund LP, comprised of a U.S. partnership and an offshore affiliate, determined that “it is in the best interests” of the fund to wind down, according to a Feb. 4 letter to investors. Remaining assets will be distributed to creditors, leaving nothing for shareholders.

Highland Capital, based in Dallas, said in October it would shutter its flagship Crusader Fund, which had declined about 30 percent during the year, and its Credit Strategies fund. That month, Barclays Capital Inc. seized $642 million of leveraged loans from the firm, which oversees $33 billion.

As recently as October 2007, Barron’s magazine ranked Highland CDO Opportunity third among the top 50 hedge funds, with an average annual return of 44.12 percent during the three-year period ended that June. Its fortunes reversed last year, as the securities it invests in, known as collateralized debt obligations, plunged in value amid the credit crunch and downgrades by ratings firms.

The fund became insolvent after assets values were eroded by “the unprecedented market volatility and disruption to the financial system, and the market for structured products assets in particular,” Highland Capital said in the letter, a copy of which was provided by an investor to Bloomberg News. Assets were valued at $361.6 million, according to a June 2008 regulatory filing.

CDOs are securities backed by a pool of debt obligations, usually between 50 and 100, that can range from bank loans used to finance buyouts to high-yield bonds, commercial real estate loans and mortgage-backed securities. CDOs entitle holders to a share in the stream of payments generated by the underlying loans, with the most senior securities getting first dibs.

Highland Capital was one of the largest sponsors of CDOs in the U.S., having formed 30 such vehicles since 1996, according to documents filed in May 2007 for an initial public offering tied to its CDO business. The firm issued $3.2 billion of CDO securities in 2005 and $8.5 billion in 2006, the filing said. The IPO was later withdrawn.

The opportunity fund’s liabilities exceeded the value of its assets “to such a degree” that there won’t be anything left to satisfy unpaid redemptions to shareholders or make distributions to current investors, according to the Feb. 4 letter.

“We are extremely disappointed in the funds’ performance and this outcome, but believe there is no viable path to any recovery for investors,” Highland said in the letter.

To contact the reporter on this story: Miles Weiss in Washington at mweiss@bloomberg.net
Last Updated: February 20, 2009 14:35 EST

http://www.bloomberg.com/apps/news?pid=20601103&sid=a1MrBhVi9fmA&refer=us
***

General Growth Wins Extension on Louisiana Mall Loan (Update1)

By Daniel Taub

Feb. 20 (Bloomberg) — General Growth Properties Inc., the U.S. shopping mall owner that said it may have to file for bankruptcy protection, won an extension on a Louisiana mortgage and said it’s in default on two Las Vegas properties.

General Growth and lenders led by Citicorp North America Inc. reached an agreement to extend until March 16 the maturity of a mortgage secured by the Oakwood Shopping Center in Gretna, Louisiana, Chicago-based General Growth said today in a regulatory filing. The original maturity date on the $95 million mortgage was Feb. 9.

The company has put up for sale properties in New York, Boston, Baltimore and Las Vegas as it seeks to pay down debt and has said it may be forced to seek bankruptcy protection if it’s unable to refinance.

General Growth is in default on loans secured by the Fashion Show Mall and the Shoppes at the Palazzo in Las Vegas, it said in today’s filing. Forbearance agreements on the $900 million in mortgages backed by those properties expired on Feb. 12. The two Las Vegas malls have been up for sale since October.

The mall owner also missed a Feb. 11 deadline to pay a $57.6 million loan on Chico Mall, a 500,000-square-foot (46,500-square- meter) shopping center in Chico, California, as well as a Feb. 1 deadline to pay a $225 million secured short-term loan obtained in October and November, according to previous company filings.

Today’s statement came after the close of regular U.S. trading. Shares were little changed at 46 cents in New York Stock Exchange composite trading today. They’ve dropped 99 percent in the past year, cutting the company’s stock-market value to $142.9 million.

General Growth is the largest U.S. shopping mall owner after Indianapolis-based Simon Property Group Inc.

To contact the reporter on this story: Daniel Taub in Los Angeles at dtaub@bloomberg.net.
Last Updated: February 20, 2009 18:01 EST

http://www.bloomberg.com/apps/news?pid=20601103&sid=aEn5NfZW_UNE&refer=us

***
General Growth says has defaulted on loans
Sat Feb 21, 2009 2:19am GMT

by Ilaina Jonas

NEW YORK (Reuters) – General Growth Properties Inc GGP.N, a large U.S. mall owner that has warned it could file for protection from its creditors, has defaulted on some of its loans but its lenders have not yet taken any action, the company said on Friday.

General Growth has been pressed since last year to repay $900 million of mortgages on two Las Vegas shopping malls. A forbearance agreement, in which the lenders agreed not to take any action, expired on February 12, the company said in a filing with the Securities and Exchange Commission on Friday.

The expiration of the forbearance agreements on the mortgages on the malls allows the lenders of the company’s $2.6 billion 2006 credit facility and 2008 secured portfolio facility to end their own forbearance agreements.

The company also said it has been unable to enter into or extend forbearance or similar agreements for its other secured mortgage loans that have matured. It said it could not give assurance that it will be able to do so.

“The company continues to work with its lenders with respect to loans under which it is in default or may be in default in the near future,” General Growth said in the filing.

In November, General Growth, which faces $27 billion of debt maturing over the next four years, warned that it may have to file for Chapter 11 bankruptcy protection from its creditors.

Shares of General Growth, which traded at almost $67 less than two years ago, closed at 46 cents on Friday on the New York Stock Exchange. The company is scheduled to report fourth-quarter results on Monday.

Also, General Growth said it had been granted an extension of a $95 million mortgage loan on its Oakwood Center in Gretna Louisiana. Lenders agreed to extend the loan maturity date from February 9, 2009 to March 16, 2009.

(Reporting by Ilaina Jonas; Editing by Bernard Orr)

http://uk.reuters.com/article/ousiv/idUKTRE51K0JT20090221?pageNumber=2&virtualBrandChannel=0

***

Cuts made so far will save about $100 million a year, and Legg Mason hopes to increase that to annual savings of $135 million by March 31. In October, it said it would cut 40 to 50 jobs in Legg Mason Capital Management, about one-third of the unit’s staff. More are planned across the firm.
But cuts alone won’t turn around Legg Mason’s fortunes, said Rambaldini. “Overall revenues have shrunk and they’re not going to recover for a while.”
Total assets under management fell to $698.2 billion as of quarter’s end, from $998.5 billion on Dec. 31, 2007 — a 30% drop. Net outflows in the quarter were $77 billion, a 17% fall on the previous quarter.

The credit crunch has severely hurt the viability of SIVs and threatened the net asset values of funds that held their debt. Legg Mason still holds about $1.8 billion of off-balance sheet SIV debt, which may need to be bailed out. The firm has set aside $2.2 billion to cover the remaining amount.

Sam Mamudi is a MarketWatch reporter in New York.

http://www.marketwatch.com/news/story/Legg-Mason-loses-15-billion/story.aspx?guid=%7B9072CF64-5966-4410-89E9-8272ED4D5816%7D

***

PRESS RELEASE
Fitch Downgrades $436MM from 7 Classes of Mercury CDO 2004-1, Ltd./Corp.

Last update: 4:44 p.m. EST Feb. 18, 2009
NEW YORK, Feb 18, 2009 (BUSINESS WIRE) — Fitch Ratings downgrades seven classes of notes issued by Mercury CDO 2004-1, Ltd./Corp. (Mercury 2004-1). The following rating actions are effective immediately:
–$154,235,438 class A-1NV notes downgraded to ‘BBB’ from ‘AAA’ and assigned Outlook Negative;
–$51,418 class A-1VA notes downgraded to ‘BBB’ from ‘AAA’ and assigned Outlook Negative;
–$169,715,547 class A-1VB notes downgraded to ‘BBB’ from ‘AAA’ and assigned Outlook Negative;
–$25,000,000 class A-2A notes downgraded to ‘CCC’ from ‘AAA’;
–$31,050,000 class A-2B notes downgraded to ‘CCC’ from ‘AAA’;
–$38,880,000 class B notes downgraded to ‘CC’ from ‘AA’;
–$17,000,000 class C notes downgraded to ‘CC’ from ‘BBB’.
The rating actions are primarily due to negative credit migration in the portfolio and incorporate Fitch’s recently updated default and recovery rate assumptions for analyzing structured finance (SF) collateralized debt obligations (CDOs). The classes A-1NV, A-1VA, and A-1VB notes are assigned Negative Outlooks due to the high concentration of residential mortgage-backed securities (RMBS) and CDO assets in the portfolio that are expected to continue to face negative pressure while the housing market stabilizes. Fitch does not assign Rating Outlooks to any class rated ‘CCC’ and below.
Mercury 2004-1 has a portfolio comprised of 77.9% RMBS, 19% SF CDOs and 3.2% corporate CDOs. Assets originated between 2006 and 2008 comprise 11.6% of the portfolio, while 79.8% was originated between 2003 and 2005 and 5.6% was originated in 2002 or prior. The current Fitch derived weighted average rating of the portfolio is ‘BB’ as compared to ‘AA-/A+’ at the last review in August 2007, and approximately 17.7% of the current portfolio is considered ‘CCC+’ or below. As of the Dec. 31, 2008 trustee report, 5.2% of the portfolio is considered defaulted, as per the transaction’s governing documents.
The collateral deterioration has caused the class C overcollateralization (OC) ratio to fall to 95.5%, which is below the minimum test level of 100.3%. As a result, interest proceeds are being used to pay down the class A-1NV, A-1VA and A-1VB (class A-1 notes), pro rata and will continue as long as the OC test is failing. The class A-1 notes have amortized 48.6% since closing, and represent 74.3% of the remaining rated notes. The class A-2A and A-2B notes are receiving current interest payments; however, due to the quality of the underlying collateral and size of the class A-1 notes, principal payments may be limited and may not occur for an extended period of time. The class B and C notes are currently receiving interest payments, which are expected to continue due to the placement of the OC test. Future principal distributions to the class B and C notes are not expected.
The ratings of the class A-1NV, class A-1VA, class A-1VB, class A-2A, class A-2B, and class B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The rating of the class C notes addresses the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.
The rating actions resolve the ‘Under Analysis’ status issued on Oct. 14, 2008 following Fitch’s announcement of its proposed criteria revision for analyzing structured finance (SF) CDOs. The revised criteria report, ‘Global Rating Criteria for Structured Finance CDOs’ was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch Portfolio Credit Model (PCM) that includes additional functionality for analyzing SF CDOs. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or with a Negative Outlook, downgrading such ratings for default analysis purposes by three and one notches, respectively.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are available on the Fitch Ratings web site at http://www.fitchratings.com.
Fitch’s rating definitions and the terms of use of such ratings are available on the agency’s public site, http://www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch’s code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the ‘Code of Conduct’ section of this site.
SOURCE: Fitch Ratings

Fitch Ratings, New York
Brian Vorderbrueggen, 212-908-9102
Kevin Kendra, 212-908-0760

http://www.marketwatch.com/news/story/fitch-downgrades-436mm-7-classes/story.aspx?guid=%7BFDBF678A-0860-402D-A887-704134DDE9E7%7D&dist=msr_1

***

http://www.anotherfp.com/newsite/story2.php?id=140

***

http://www.iiderivatives.com/ArticleLogin.aspx?ArticleID=2099122

Cat Bond Default After SIV Fails To Pay February 10, 2009

The failure of special purpose vehicle Willow Re to make an interest payment in time has caused …
DW Online – Global News for Over-The-Counter Derivatives Professionals (Traders)

MY NOTE – I suppose these are the types of subscription sites that are being read by derivatives traders and hedge fund managers. Interesting.

***

Moody’s Downgrades 236 Notes from 55 CDOs
2009-02-20
Moody’s Investors Service has downgraded its ratings of 236 Notes issued by 55 collateralized debt obligation (CDO) transactions which have significant exposure to asset-backed securities (ABS) and to corporate names. Moody’s also confirmed the ratings of 4 Notes.

Today’s rating actions are a response to credit deterioration in the underlying portfolio due to: expectations of increased losses in the underlying RMBS and ABS assets, corporate name defaults and general corporate deterioration; and to updates in the key assumptions Moody’s makes when rating these transactions.

The rating actions listed below reflect Moody’s revised loss projections for RMBS securities, Moody’s updated key assumptions for rating structured finance CDOs (SF CDOs), and Moody’s updated key assumptions for rating corporate synthetic CDOs. The revised loss projections for RMBS can be seen in press releases: “Moody’s updates loss projections for ’06 and ’07 Alt-A RMBS” (22 January 2009), and “Moody’s updates loss projections for Option ARMs RMBS” (5 February 2009).

Moody’s said that the rating actions take into account the updated key modelling parameter assumptions that Moody’s uses to rate and monitor ratings of corporate CDOs. Specifically, the changes announced include: (1) a 30% increase in the assumed likelihood of default for all corporate credits in synthetic CDOs, (2) an increase in the degree to which ratings are adjusted according to other credit indicators such as rating Reviews and Outlooks and (3) an increase in the default correlation it applies to corporate portfolios as generated through a combination of higher default rates and an increase in investment grade and financial sector asset correlations. (See press release “Moody’s updates key assumptions for rating corporate synthetic CDOs,” 15 January 2009.)

Moody’s also explained that the rating actions take into account the application of revised and updated key modelling parameter assumptions that Moody’s uses to rate and monitor ratings of SF CDOs. (See press release “Moody’s updates its key assumptions for rating structured finance CDOs,” 11 December 2008). The revisions affect the three key parameters in Moody’s model for rating SF CDOs: asset correlation, default probability and recovery rate.

Moody’s initially analyzed and continues to monitor these transactions using primarily the methodology and its supplements for CDOs as described in Moody’s Special Reports below, as well as the revised parameters mentioned above:

–Moody’s Approach to Rating Multisector CDOs (September 2000)

–Moody’s Approach To Rating Synthetic Resecuritizations (October 2003)

–Moody’s Revisits its Assumptions Regarding Structured Finance Default (and Asset) Correlations for CDOs (June 2005)

–Subprime RMBS Loss Projection Update (September 2008)

–Moody’s Approach To Rating Corporate Collateralized Synthetic Obligations (December 2008)

These reports can be found at http://www.moodys.com in the Credit Policy & Methodologies directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating this issue can also be found in the Credit Policy & Methodologies directory.

Today’s rating actions are as follows:

ABSolute III Synthetic CDO Limited

Class A, Downgraded to B2; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class B1, Downgraded to Caa3; previously on 22 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

Class B2, Downgraded to Caa3; previously on 22 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

Alexandria Capital plc – Series 2004-17 – Karnak II

Series 2004-17 A, Downgraded to Caa1; previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade

Series 2004-17 C, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba3 and Placed Under Review for Possible Downgrade

ARLO IV 2006 – Lemar & Rosenheim I CDO

Series 2006 (Lemar I – Class B-2E) EUR 10,000,000 Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba3 and Placed Under Review for Possible Downgrade

Series 2006 (Lemar I – Class B-3E) EUR 10,000,000 Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded to Caa3; previously on 18 December 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade

Series 2006 (Lemar I – Class C-2E) EUR 10,000,000 Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded to Ca; previously on 18 December 2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade

Series 2006 (Rosenheim I – Class B-3E) EUR 5,000,000 Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded to Caa3; previously on 18 December 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade

ARLO IV 2006 – Lemar & Rosenheim II CDOs

Series 2006 (Lemar II – Class B-1E) EUR 5,000,000 Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded to Ca; previously on 18 December 2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Arosa Funding Limited – Series 2003-2

Class A, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Class B1, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Class B2, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Arosa Funding Limited – Series 2003-3

Class A1, Downgraded to Ca; previously on 22 December 2008 Downgraded to B3 and Placed Under Review for Possible Downgrade

Class A2, Downgraded to Ca; previously on 22 December 2008 Downgraded to B3 and Placed Under Review for Possible Downgrade

Arosa Funding Limited – Series 2003-4

Series 2003-4, Downgraded to Caa3; previously on 22 December 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade

Arosa Funding Limited – Series 2004-5

Class A1, Downgraded to Ba3; previously on 16 December 2008 Downgraded to A2

Class A2, Downgraded to Ba3; previously on 16 December 2008 Downgraded to A2

Class B1, Downgraded to Caa2; previously on 16 December 2008 Downgraded to Ba1

Class B2, Downgraded to Caa2; previously on 16 December 2008 Downgraded to Ba1

Class C, Downgraded to Caa3; previously on 16 December 2008 Downgraded to B1

Arosa Funding Limited – Series 2006-6

€20,000,000 Secured Credit-Linked Floating Rate Notes due 2013, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba1 and remains Under Review for Possible Downgrade

Asgard CDO plc

CHF 6,000,000 Series A Swiss Franc Floating Rate Credit Linked Secured Notes due 2011, Downgraded to Ba3; previously on 18 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

EUR 327,000,000 Series A Euro Floating Rate Credit Linked Secured Notes due 2011, Downgraded to Ba3; previously on 18 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

GBP 2,000,000 Series A Sterling Floating Rate Credit Linked Secured Notes due 2011, Downgraded to Ba3; previously on 18 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

GBP 2,000,000 Series B Sterling Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B1; previously on 18 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

NZD 10,000,000 Series B New Zealand Dollar Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B1; previously on 18 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

USD 20,000,000 Series B Dollar Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B1; previously on 18 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

EUR 125,000,000 Series B Euro Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B1; previously on 18 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

USD 10,000,000 Series C Dollar Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B2; previously on 18 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

CHF 5,000,000 Series C Swiss Franc Floating Rate Credit Linked Secured Notes due 2011, Downgraded to B2; previously on 18 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

EUR 7,500,000 Series D Euro Fixed Rate Credit Linked Secured Notes due 2011, Downgraded to B3; previously on 18 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Baker Street Finance Limited / Baker Street USD Finance Limited

Class A-1a Floating Credit Linked Notes, Downgraded to Caa2; previously on 19 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Class A-1b Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa1 and remains on Review for Possible Downgrade

Class A-1c loating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A1-USD Floating Credit-Linked Notes-1, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A2 Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class A2-USD Floating Credit-Linked Notes-2, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class B Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class B-USD Floating Credit-Linked Notes-3, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class C Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class C-USD Floating Credit-Linked Notes-4, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D-USD Floating Credit-Linked Notes-5, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E-USD Floating Credit-Linked Notes-6, Downgraded to Ca; previously on 14 October 2008 Downgraded Caa3 and remains on Review for Possible Downgrade

Class F Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F-USD Floating Credit-Linked Notes-7, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G-USD Floating Credit-Linked Notes-8, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H-USD Floating Credit-Linked Notes-9, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Brooklands Euro Referenced Linked Notes 2001-1 Ltd

A, Downgraded to B3; previously on 19 November 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

B, Downgraded to Ca; previously on 19 November 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade

Brooklands Euro Referenced Linked Notes 2004-1 Ltd

Class A1-a Floating Rate Notes due 2054, Downgraded to Ba1; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class A1-b Floating Rate Notes due 2054, Downgraded to Ba1; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class A2 Floating Rate Notes due 2054, Downgraded to B3; previously on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

CDC Ixis Capital Markets – Credit-Linked Note linked to Chrome Funding Must 50/5

EUR10,000,000 Series 1388 Fixed Rate Credit-linked Notes, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Chrome Funding Ltd – Series Must 50/5

Class A1-A Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Ba1; previously on 22 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A1-B, Downgraded to Ba1; previously on 22 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A2-A Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Caa1; previously on 22 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class A2-B, Downgraded to Caa1; previously on 22 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class B Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Caa3; previously on 22 December 2008 Downgraded to B3 and remains on Review for Possible Downgrade

Class C1 Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class C2 Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D Floating Rate Secured Portfolio Credit-linked Notes, Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Clifton Street Finance Limited

Class A-1, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class A-2, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded to B3 and remains on Review for Downgrade

Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Cloverie Plc – Rotonda CDO: Series 2004-40 to 50 & 52

Series 2004-41 Portfolio Credit Linked Note, Downgraded to Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Series 2004-42 Portfolio Credit Linked Note, Downgraded to Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Series 2004-43 Portfolio Credit Linked Note, Downgraded to Baa2; previously on 01 December 2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

Series 2004-44 Portfolio Credit Linked Note, Downgraded to Baa2; previously on 01 December 2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade

Series 2004-45 Portfolio Credit Linked Note, Downgraded to B1; previously on 01 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Series 2004-48 Portfolio Credit Linked Note, Downgraded to Caa1; previously on 01 December 2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade

Series 2004-50 Portfolio Credit Linked Note, Downgraded to Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Cloverie Plc – Rotonda CDO: Series 2004-51

Series 2004-51 Portfolio Credit Linked Note, Downgraded to B1; previously on 01 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Cloverie Plc – Rotonda CDO: Series 2004-53

Series 2004-53 Portfolio Credit Linked Note, Downgraded to Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Cloverie Plc – Rotonda CDO: Series 2004- 56, 59, 61, 63

Series 2004-56 Portfolio Credit Linked Note, Downgraded to A3; previously on 22 December 2008 Downgraded to Aa3 and remains on Review for Possible Downgrade

Cloverie PLC: Rotonda CDO Series 2004-59

Series No: 2004-59 USD 60,000,000 Class A Floating Rate Portfolio Credit Linked Notes due 2009, Downgraded to Ba2; previously on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

Corsair (Jersey) No. 3 Limited (Alhambra)

Series 1, Downgraded to Ca; previously on 23 October 2008 Downgraded to B1

Corsair (Jersey) No 3 Limited Series 7 (Alhambra)

Series 7 Floating ate Portfolio Credit Linked Notes due 2013, Downgraded to Ca; previously on 22 December 2008 Downgraded to B2 and Placed Under Review for Possible Downgrade

Corsair (Jersey) No 4 Limited – Series 11

Series 11 Floating Rate Step-down Secured Portfolio CLN, Downgraded to Ba1; previously on 19 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

Curzon Funding Limited Series 2005-1 (HORIZON CDO Series)

Series 2005-1 Horizon Class A Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Series 2005-1 Horizon Class B Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to B1 and remains on Review for Possible Downgrade

Series 2005-1 Horizon Class C Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Series 2005-1 Horizon Class D Variable Coupon Notes, Downgraded to Ca; previously on 19 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Curzon Funding Limited Series 2005-2 (Horizon IIIE)

Series 2005-2 Horizon IIIE Class A Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Series 2005-2 Horizon IIIE Class B Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to B1 and remains on Review for Possible Downgrade

Series 2005-2 Horizon IIIE Class C Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Series 2005-2 Horizon IIIE Class D Variable Coupon Notes, Downgraded to Ca; previously on 19 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Curzon Funding Limited Series 2006-1 (Horizon CDO VI)

Series 2006-1 Class A Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Series 2006-1 Class B Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to B2 and remains on Review for Possible Downgrade

Series 2006-1 Class C Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa2 and remains on Review for Possible Downgrade

Series 2006-1 Class D Variable Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Curzon Funding Limited Series 2006-3 (Horizon CDO VIII)

Series 2006-3 Class A Floating Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to B1 and remains on Review for Possible Downgrade

Series 2006-3 Class B Floating Coupon Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

KBC Investments Cayman Islands Ltd – Super Senior CDS Dorset Street Finance Limited

Super Senior Swap Dorset Street Finance Limited, Downgraded to B2; previously on 19 December 2008 Downgraded to A1 and remains on Review for Possible Downgrade

Dorset Street Finance Limited

Class A1 Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class A2 Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class B Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class C Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E Floating Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H Floating Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Eirles Two Limited Series 87 – TAPAS 2004-1 Portfolio

Eirles Two Limited Series 87 Floating Rate Portfolio Credit linked Secured Notes due 2011, Downgraded to Caa1; previously on 16 December 2008 Downgraded to Baa1 and remains on Review for Possible Downgrade

Eirles Two Limited Series 88 – ABS Select Portfolio

Eirles Two Limited Series 88 Floating Rate Portfolio Credit Linked Secured Notes due 2011, Downgraded to Caa2; previously on 16 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Eirles Two Limited Series 120 USD 50,000,000 Floating Rate Secured Notes due 2011

Series 120 USD 50,000,000 Floating Rate Secured Notes due 2011, Downgraded to Ba3; previously on 18 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

Elva Funding plc Series 2004-6

Class A1 Notes, Downgraded to Ba1; previously on 18 December 2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade

Class A2 Notes, Downgraded to Ba1; previously on 18 December 2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade

Class A3 Notes, Downgraded to Ba1; previously on 18 December 2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade

Class B1 Notes, Downgraded to B2; previously on 18 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Class B2 Notes, Downgraded to B2; previously on 18 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Class B3 Notes, Downgraded to B2; previously on 18 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Class C1 Notes, Downgraded to Caa2; previously on 18 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class C2 Notes, Downgraded to Caa2; previously on 18 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class C3 Notes, Downgraded to Caa2; previously on 18 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class D1 Notes, Downgraded to Ca; previously on 18 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class D2 Notes, Downgraded to Ca; previously on 18 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class D3 Notes, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class E1 Notes, Downgraded to Ca; previously on 18 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class E2 Notes, Downgraded to Ca; previously on 18 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Fulham Road Finance Limited

Class A, Downgraded to B1; previously on 24 November 2008 Downgraded to A1 and remains on Review for Possible Downgrade

Class B, Downgraded to B3; previously on 24 November 2008 Downgraded to A3 and remains on Review for Possible Downgrade

Class C, Downgraded to Caa2; previously on 24 November 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class D, Downgraded to Caa3; previously on 24 November 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class E, Downgraded to Caa3; previously on 24 November 2008 Downgraded to B1 and remains on Review for Possible Downgrade

Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded to B3 and remains on Review for Possible Downgrade

Hanover Street Finance Limited

Class A1 Floating Rate Credit-Linked Notes, Downgraded to Caa2; previously on 19 December 2008 Downgraded to Baa1 and remains on Review for Possible Downgrade

Class A2 Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class B Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class C Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class I Floating Rate Credit-Linked Notes-1, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Heather Finance Limited 2004-8 (CoRDS)

Series 2004-8 Yen1,100,000,000 Secured Credit-Linked Floating Rate Notes, Downgraded to Caa2; previously on 22 December 2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade

Iliad Investments P.L.C. Series 14

Class A, Downgraded to Ca; previously on 10 November 2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade

Class B, Downgraded to Ca; previously on 10 November 2008 Downgraded to Caa2 and Placed Under Review for Possible Downgrade

Class C, Downgraded to Ca; previously on 10 November 2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade

Merak CDO Limited Series 2003-01

Class B Credit-Linked Notes due 2010, Downgraded to Baa2; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Merak CDO Limited Series 2003-02

Class C Credit-Linked Notes due 2010, Downgraded to Baa3; previously on 22 December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade

Merak CDO Limited – Series 2003-3

Class B, Downgraded to Ba1; previously on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

Class C, Downgraded to Ba3; previously on 22 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

Morgan Stanley Capital Services Inc. – Credit Derivative Transactions GR_1 to GR_20

GR_1 MSCS Credit Derivative Transaction, Downgraded to Caa3; previously on 02 November 2007 Downgraded to Baa2

GR_2 MSCS Credit Derivative Transaction, Downgraded to B1; previously on 07 June 2007 Downgraded to A2

GR_3 MSCS Credit Derivative Transaction, Downgraded to Ba3; previously on 07 June 2007 Downgraded to A1

GR_4 MSCS Credit Derivative Transaction, Downgraded to B3; previously on 02 April 2008 Downgraded to A2

GR_5 MSCS Credit Derivative Transaction, Downgraded to B3; previously on 02 April 2008 Upgraded to A1

GR_6 MSCS Credit Derivative Transaction, Downgraded to Caa1; previously on 02 April 2008 Downgraded to Baa2

GR_7 MSCS Credit Derivative Transaction, Downgraded to Caa2; previously on 02 April 2008 Downgraded to A3

GR_8 MSCS Credit Derivative Transaction, Downgraded to Ba3; previously on 30 July 2008 Downgraded to A1

GR_9 MSCS Credit Derivative Transaction, Downgraded to Caa1; previously on 02 April 2008 Downgraded to Baa1

GR_10 MSCS Credit Derivative Transaction, Downgraded to B3; previously on 30 July 2008 Downgraded to A3

GR_11MSCS Credit Derivative Transaction, Downgraded to Ba3; previously on 30 July 2008 Downgraded to A3

GR_12 MSCS Credit Derivative Transaction, Downgraded to Caa2; previously on 07 June 2007 Downgraded to Baa1

GR_13 MSCS Credit Derivative Transaction, Downgraded to Caa3; previously on 07 June 2007 Downgraded to A1

GR_14 MSCS Credit Derivative Transaction, Downgraded to B1; previously on 30 July 2008 Downgraded to A2

GR_15 MSCS Credit Derivative Transaction, Downgraded to B2; previously on 07 June 2007 Downgraded to A2

GR_16 MSCS Credit Derivative Transaction, Downgraded to B3; previously on 30 July 2008 Downgraded to Baa3

GR_17 MSCS Credit Derivative Transaction, Downgraded to Caa1; previously on 02 April 2008 Downgraded to A3

GR_18 MSCS Credit Derivative Transaction, Downgraded to Caa2; previously on 07 June 2007 Downgraded to Aa3

GR_19 MSCS Credit Derivative Transaction, Downgraded to Ba2; previously on 07 June 2007 Downgraded to Baa2

GR_20 MSCS Credit Derivative Transaction, Downgraded to Caa1; previously on 30 July 2008 Downgraded to A2

GR_21 MSCS Credit Derivative Transaction, Downgraded to B1; previously on 07 June 2007 Downgraded to A2

Oxford Street Finance Limited

Class A1, Downgraded to Caa2; previously on 19 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

Class A2, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba1 and remains on Review for Possible Downgrade

Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded to B2 and remains on Review for Possible Downgrade

Class D, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa2 and remains on Review for Possible Downgrade

Class E, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Pembridge Square Finance Limited

EUR 17,000,000 Class A1 Floating Rate Credit Linked Notes, Downgraded to Caa3; previously on 19 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

EUR 80,000,000 Class A2 Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

EUR 70,000,000 Class B Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to B1 and remains on Review for Possible Downgrade

EUR 60,000,000 Class C Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

EUR 50,000,000 Class D Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

EUR 40,000,000 Class E Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

EUR 25,000,000 Class F Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

EUR 22,000,000 Class G Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

EUR 16,000,000 Class H Floating Rate Credit Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Rally CDO Limited

USD 42,000,000 Class A Floating Rate Notes due 2010, Downgraded to Ba3; previously on 18 December 2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade

USD 18,000,000 Class B Floating Rate Notes due 2010, Downgraded to Caa2; previously on 18 December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade

USD 12,000,000 Class C Floating Rate Notes due 2010, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade

USD 6,000,000 Class D Floating Rate Notes due 2010, Downgraded to Ca; previously on 18 December 2008 Downgraded to B2 and Placed Under Review for Possible Downgrade

Regent Street Finance Limited

Class A1 Floating Rate Credit-Linked Notes, Downgraded to Caa1; previously on 19 December 2008 Downgraded to A2 and remains on Review for Possible Downgrade

Class A2 Floating Rate Credit-Linked Notes, Downgraded to Caa2; previously on 19 December 2008 Downgraded to Baa1 and remains on Review for Possible Downgrade

Class B Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class C Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class D Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class H Floating Rate Credit-Linked Notes, Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Rijn Finance Company B.V. Series 1.4 (Alhambra)

Series 1.4 Tranche A Fixed Rate, Downgraded to Ca; previously on 23 October 2008 Downgraded to B3

Series 1.4 Tranche A Floating Rate, Downgraded to Ca; previously on 23 October 2008 Downgraded to B3

Series 1.4 Tranche B Fixed Rate, Downgraded to Ca; previously on 23 October 2008 Downgraded to Caa2

Series 1.4 Tranche B Floating Rate, Downgraded to Ca; previously on 23 October 2008 Downgraded to Caa2

Ryder Square Limited – Evergreen

Series No: 3 EUR 29,000,000 Evergreen-ABS Secured Credit Linked Notes due 2009, Downgraded to Baa1; previously on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

Series No: 4 EUR 38,000,000 Evergreen-ABS Secured Credit Linked Notes due 2009, Downgraded to Ba1; previously on 22 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Skylark Limited Series 2004-3 (USD Saqqara)

USD denominated Saqqara Class A Floating Rates Credit Linked Notes, confirmed at Aa3; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Starts (Ireland) plc – Amber Structured Finance CDO

Class A1-E1 Credit-Linked Notes, Downgraded to Caa1; previously on 18 December 2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade

Class A2-E1 Credit-Linked Notes, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade

Class A2-E2 Credit-Linked Notes, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade

Class B-E1 Credit-Linked Notes, Downgraded to Ca; previously on 18 December 2008 Downgraded to Caa1 and Placed Under Review for Possible Downgrade

Starts (Ireland) plc Series 2005-1 (Amber Structured Finance CDO)

Series 2005-1 USD 25,000,000 Class A2-D2 Floating Rate Amber Credit-Linked Notes due 2010, Downgraded to Caa3; previously on 18 December 2008 Downgraded to Ba2 and Placed Under Review for Possible Downgrade

Sydney Street Finance Limited

Class A-1, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class A-2, Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded to B3 and remains on Review for Possible Downgrade

Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class D, Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class E, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Class G, Downgraded to Ca; previously on 24 November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade

Triplas Series II Synthetic CDO Limited

Class A, Downgraded to A3; previously on 22 December 2008 Downgraded to A1 and remains on Review for Possible Downgrade

Class B, Downgraded to Baa3; previously on 22 December 2008 Downgraded to A3 and remains on Review for Possible Downgrade

Class C, Downgraded to Ba2; previously on 22 December 2008 Downgraded to Baa3 and remains on Review for Possible Downgrade

Class D, Downgraded to B1; previously on 22 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Class E, Downgraded to B2; previously on 22 December 2008 Downgraded to Ba3 and remains on Review for Possible Downgrade

Triplas III Limited

B, Downgraded to Ca; previously on 17 December 2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade

C, Downgraded to Ca; previously on 17 December 2008 Downgraded to Ba3 and Placed Under Review for Possible Downgrade

D, Downgraded to Ca; previously on 17 December 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade

Triplas IV Limited

EUR 10,300,000 Class C1 Secured Floating Rate Credit-Linked Notes due 2011, Downgraded to Caa2; previously on 22 December 2008 Downgraded to Ba1 and remains on Review for Possible Downgrade

EUR 17,000,000 Class A Secured Floating Rate Credit-Linked Notes due 2011, Downgraded to Ba1; previously on 22 December 2008 Downgraded to A3 and remains on Review for Possible Downgrade

EUR 17,000,000 Class B Secured Floating Rate Credit-Linked Notes due 2011, Downgraded to B3; previously on 22 December 2008 Downgraded to Baa2 and remains on Review for Possible Downgrade

EUR 2,000,000 Class C2 Secured Floating Rate Credit-Linked Notes due 2011, Downgraded to Caa2; previously on 22 December 2008 Downgraded to Ba1 and remains on Review for Possible Downgrade

EUR 750,000 Class D Secured Floating Rate Credit-Linked Notes due 2011, Downgraded to Caa2; previously on 22 December 2008 Downgraded to Ba2 and remains on Review for Possible Downgrade

Vespucci Investments Plc

Class A, Confirmed at Aa3; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class B, Confirmed at Aa3; previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade

Class C, Confirmed at A1; previously on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade

http://www.anotherfp.com/newsite/story2.php?id=140

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