Solent CDO hits event of default, reports Moody's

Moody's announced today that it has downgraded the ratings of five classes of notes issued by Halyard CDO I and has left four classes on review for downgrade. The rating actions reflect deterioration in the credit quality of the underlying portfolio, as well as the occurrence on 8 February 2008 of an event of default caused by a failure of the Class A Overcollateralisation Ratio to be greater than or equal to 100%.

Halyard CDO I is a partially-funded CDO of diversified ABS managed by Solent Capital Partners. Halyard may either buy cash obligations or enter into pay-as-you-go credit default swaps referencing mezzanine asset backed securities. Currently the transaction has 71% exposure (69 assets) to US subprime RMBS and 29% (18 assets) to CDO of ABS. About 4% of assets are classified as defaulted.