DBRS Changes Trend to Negative on Ridgeway Court Funding II, Ltd.

DBRS assigned a rating of AA (high) to the tranched credit default swap (CDS) referencing the Class A1A note issued by Ridgeway Court Funding II, Ltd. (Ridgeway) on October 17, 2008 with a Stable trend.

Reference Entity: Ridgeway Court Funding II, Ltd.
Reference Obligation: Class A1A
Trade Date: December 26, 2008
Effective Date: January 6, 2009
Attachment Point: 64.0%
Exhaustion Point: 100%
Original Swap Notional: $302,000,000

DBRS has today changed the trend on the CDS to Negative from Stable. The Reference Entity is collateralized primarily by a portfolio of U.S. residential mortgage-backed securities (RMBS). The rating of the CDS only addresses the probability of breaching the Attachment Point at or prior to the Acceleration Date as defined in the CDS confirmation.

The change in trend reflects the deterioration in credit quality of the underlying collateral pool since the transaction was initially assigned a DBRS credit rating.

The applicable public methodologies are The CDO Toolbox Methodology and The Rating U.S. ABS CDO Restructurings, which can be found on our website under Methodologies.

Note:
All figures are in U.S. dollars unless otherwise noted.

This is a Structured Finance rating.