Moody's Investors Service has downgraded two classes of notes from the Knight II Funding Ltd. CDO. The effected notes include: the $36M class A-2 floating rate senior notes due 2012 were downgraded to 'Baa1' from 'Aa2'; and the $26.5M class B floating rate senior subordinate notes due 2012 were downgraded to 'B2' from 'Baa2'. According to the rating agency the CDO is currently violating the Weighted Average Rating Test. Furthermore, Moody's stated that in excess of 30% of the pool of collateral is rated Ba2 or lower. In addition, the $404M class A-1 floating rate senior notes due 2012 were affirmed at the 'Aaa' rating.
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