Mutual fund statements have been sent, default date was 10/24/07
Cut rates and release...
NEW YORK (Standard & Poor's) Oct. 31, 2007--Standard & Poor's Ratings Services
today placed its ratings on Sagittarius CDO I Ltd.'s (Sagittarius) class A and
B notes on CreditWatch with negative implications (see list).
Standard & Poor's noted that Sagittarius triggered an event of default
(EOD) on Oct. 24, 2007, under Section 5.1(j) of the indenture, dated March 15,
2007, and failed the default par value coverage ratio.
In addition, Standard & Poor's has recently received notices of EODs on
six other U.S. collateralized debt obligation of asset-backed securities (CDO
of ABS) transactions, which contain overcollateralization (O/C) ratio EOD
triggers that are tied to the ratings of the assets that make up the
transaction's collateral pool (see list). These EODs have been triggered by
rating agencies' negative rating actions of certain U.S. residential
mortgage-backed securities (RMBS) transactions and the subsequent reduction in
the calculated par value of collateral in the O/C EOD ratio. (For a complete
list of our CDO ratings that were recently placed on CreditWatch with negative
implications, see "590 Ratings On 176 U.S. Cash Flow, Hybrid CDOs Put On Watch
Neg; $20.616B In Notes Affected," published Oct. 22, 2007, on RatingsDirect.)
Not all CDO transactions include these so-called "rating-based" O/C EOD
triggers, which vary widely across CDOs that do include them. However, a
breach of the O/C ratio threshold can change a transaction's priority of
payments and lead to the CDO's early termination. Based on the transaction's
unique terms, the EOD is either waived or rescinded (this may be driven by the
votes of the deciding or "controlling" class of the senior-most or senior
noteholders). If the EOD is not waived or rescinded, it may cause the
transaction to accelerate, which means it can either remain in acceleration or
liquidate the collateral. To the extent that the transaction is accelerated,
it will typically change the priority of payments to a true sequential
waterfall, which stops interest and principal payments to all classes of notes
that are subordinate to the super senior swap or the senior-most class of
notes outstanding. An acceleration could also lead to the transaction's early
termination and a liquidation of the assets owned by the CDO.
As Standard & Poor's receives notices of EODs, we will place all affected
notes on CreditWatch with negative implications. Standard & Poor's will
perform ongoing reviews based on the underlying assets' performance. If the
EOD results in an acceleration, liquidation, or rescission, Standard & Poor's
will evaluate the ratings in the transaction by performing a cash flow
analysis and considering any changes to the priority of payments. Standard &
Poor's will adjust each liability's rating, if appropriate, to reflect our
opinion that the liability will be paid on or before its respective legal
final maturity date. Standard & Poor's will publish further details and
guidance on EODs in CDOs in a forthcoming commentary.
RATINGS PLACED ON CREDITWATCH NEGATIVE
Sagittarius CDO I Ltd.
Class Rating
A AAA/Watch Neg
B AA/Watch Neg
RATINGS OUTSTANDING ON CREDITWATCH NEGATIVE
Transaction Class Rating
ACA ABS 2007-2 Ltd. A1J AAA/Watch Neg
ACA ABS 2007-2 Ltd. A1M AAA/Watch Neg
ACA ABS 2007-2 Ltd. A2 AA/Watch Neg
ACA ABS 2007-2 Ltd. A3 A/Watch Neg
ACA ABS 2007-2 Ltd. B1 BBB/Watch Neg
ACA ABS 2007-2 Ltd. B2 BBB-/Watch Neg
Adams Square Funding I Ltd. A AAA/Watch Neg
Adams Square Funding I Ltd. B-1 AA/Watch Neg
Adams Square Funding I Ltd. B-2 AA-/Watch Neg
Adams Square Funding I Ltd. C A/Watch Neg
Adams Square Funding I Ltd. D BBB/Watch Neg
Adams Square Funding I Ltd. E BB+/Watch Neg
Carina CDO Ltd. A-2 AAA/Watch Neg
Carina CDO Ltd. B-1 AA/Watch Neg
Carina CDO Ltd. B-2 AA-/Watch Neg
Carina CDO Ltd. C-1 A/Watch Neg
Carina CDO Ltd. C-2 A-/Watch Neg
Carina CDO Ltd. D-1 BBB+/Watch Neg
Carina CDO Ltd. D-2 BBB/Watch Neg
Carina CDO Ltd. D-3 BBB-/Watch Neg
Carina CDO Ltd. X-1 BBB/Watch Neg
Carina CDO Ltd. X-2 BBB-/Watch Neg
Sagittarius CDO I Ltd. C A/Watch Neg
Sagittarius CDO I Ltd. D-1 BBB+/Watch Neg
Sagittarius CDO I Ltd. D-2 BBB/Watch Neg
Sagittarius CDO I Ltd. D-3 BBB-/Watch Neg
Sagittarius CDO I Ltd. E BBB-/Watch Neg
Sagittarius CDO I Ltd. X BBB-/Watch Neg
Sherwood III ABS CDO Ltd. A1J AAA/Watch Neg
Sherwood III ABS CDO Ltd. A2 AA/Watch Neg
Sherwood III ABS CDO Ltd. A3 A/Watch Neg
Sherwood III ABS CDO Ltd. B BBB/Watch Neg
Sherwood III ABS CDO Ltd. C BB/Watch Neg
Vertical ABS CDO 2007-1 Ltd. A1J AAA/Watch Neg
Vertical ABS CDO 2007-1 Ltd. A2 AA/Watch Neg
Vertical ABS CDO 2007-1 Ltd. A3 A/Watch Neg
Vertical ABS CDO 2007-1 Ltd. B1 BBB/Watch Neg
Vertical ABS CDO 2007-1 Ltd. B2 BBB-/Watch Neg
Vertical ABS CDO 2007-1 Ltd. C BB/Watch Neg
Vertical ABS CDO 2007-1 Ltd. I BBB-/Watch Neg
Webster CDO I Ltd. A-1LB AAA/Watch Neg
Webster CDO I Ltd. A-2L AA/Watch Neg
Webster CDO I Ltd. A-3L A/Watch Neg
Webster CDO I Ltd. A-4L BBB+/Watch Neg
Webster CDO I Ltd. B-1L BBB/Watch Neg
Webster CDO I Ltd. B-2L BBB-/Watch Neg |
