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16 Jun 2011
New York, June 16, 2011 -- Moody's Investors Service has determined that certain amendments to (i)
a Master Trust Agreement (the "Master Trust Agreement") dated
March 30, 2007, between HSBC Bank USA, National Association
("HSBC"), as trustee, HSBC Trust Company (Delaware),
National Association (as successor to HSBC), and the holders of
Units from time to time of PARCS--R Master Trust (the "Trust"),
(ii) an Amended and Restated Credit Support Annex dated as of April 11,
2008 (the "CSA") between Merrill Lynch International (the
"Swap Counterparty") and the Trust, and (iii) an Asset
Swap Confirmation dated March 30, 2007 between the Swap Counterparty
and the Trust, each dated as of June 16, 2011 (the "Amendments"),
will not in and of themselves at this time cause the current Moody's
ratings of the following interests in the Trust (the "Moody's
Rated Units") to be downgraded, withdrawn, or suspended:
Moody's Rated Units are the following:
U.S. $50,000,000 Class 2007-6
CLO-SS (Fixed Recovery) Units, Due June 20, 2012
U.S. $12,000,000 Class 2007-14
(Fixed Rate Muni FTD) Units, Due December 20, 2017
U.S. $4,000,000 Class 2007-15
Variable Rate Units, Due April 25, 2036
U.S. $4,000,000 Class 2007-16
Variable Rate Units, Due January 25, 2037
U.S. $4,000,000 Class 2007-19
Units, Due July 25, 2037
Capitalized terms not defined herein shall have the meanings ascribed
to them in the respective transaction documents.
Moody's does not express an opinion as to whether the Amendments could
have non-credit-related effects.
On June 2, 2011, the A2 long-term and P-1 short-term
ratings of Merrill Lynch & Co., Inc. as the Swap
Guarantor to the Swap Counterparty were placed on review for possible
downgrade. The review for downgrade action triggered a Moody's
Ratings Event under an Amended and Restated Schedule dated April 11,
2008 (the "Amended and Restated Schedule") to an ISDA Master
Agreement dated March 30, 2007, each between the Swap Counterparty
and the Trust. In the case of a Moody's Ratings Event,
the Swap Counterparty is required to take certain actions within ten Business
Days in order to prevent the occurrence of a "Swap Counterparty
Ratings Termination Event" constituting an Additional Termination
Event as defined in the Amended and Restated Schedule.
The Amendments are being entered into in accordance with Section (h)(i)(e)
of Part 1 of the Amended and Restated Schedule, which states that
the Swap Counterparty will "take such other steps as will,
as confirmed by S&P (in connection with an S&P Ratings Event),
Moody's (in the case of a Moody's Ratings Event) or Fitch
(in connection with a Fitch Ratings Event), not cause a Downgrade
Event with respect to any Classes of Units for which such Rating Agency
is an Applicable Rating Agency."
The Amendments provide that an Independent Amount is added to the current
Credit Support Amount, as defined in the CSA. The Independent
Amount serves as additional collateral to support each of the Moody's
Rated Units. The Independent Amount, consisting of cash,
will be deposited into the Independent Amount Account and is determined
by multiplying 1) the applicable Advance Rate as defined in the CSA minus
50%, 2) an amount determined by dividing the aggregate Purchase
Price of all CLOs then held by the Trust as Portfolio Investments by the
aggregate Principal Balance of all outstanding Units, and 3) the
aggregate Principal Balance of the Moody's Rated Units. This
will result in approximately $14.1 million of additional
cash that will support Moody's Rated Units as of June 16,
2011. The current aggregate Principal Balance of Moody's-Rated
Units is approximately $66.5 million. In the event
the Independent Amount Account is not in place as of June 16, 2011,
the CSA Account will be overcollateralized by approximately an additional
$91.1 million to support all the outstanding Units,
including Units that are not Moody's Rated Units until the time
the Independent Amount Account has been established.
The principal methodologies used in monitoring the ratings of the Moody's
Rated Units are the following:
"Moody's Approach to Rating Corporate Collateralized Synthetic Obligations"
published in December 2008 for the U.S. $50,000,000
Class 2007-6 CLO-SS (Fixed Recovery) Units, Due June
Monte Carlo simulation framework within CDOROM utilizing the ith-to-default
modeling approach for the U.S. $12,000,000
Class 2007-14 (Fixed Rate Muni FTD) Units, Due December 20,
2017. The framework is also described in "Moody's Approach to Rating
ith-to-Default Basket Credit-Linked Notes",
Special Report, published in April 17, 2002.
"Moody's Approach to Rating Repackaged Securities" published in
April 2010 for the
U.S. $4,000,000 Class 2007-15
Variable Rate Units, Due April 25, 2036,
U.S. $4,000,000 Class 2007-16
Variable Rate Units, Due January 25, 2037, and the
U.S. $4,000,000 Class 2007-19
Units, Due July 25, 2037.
The lead analyst and rating office for each of the transactions affected
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
Moody's will continue monitoring the ratings of the Moody's Rated
Units. Any change in these ratings will be publicly disseminated
by Moody's through appropriate media.
Structured Finance Group
Moody's Investors Service
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's: PARCS-R Master Trust Class of Units ratings unaffected by Amendments
250 Greenwich Street
New York, NY 10007
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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