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Announcement:

Moody's: PARCS-R Master Trust Class of Units ratings unaffected by Amendments

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cause the current Moody's ratings of the following interests in the Trust (the "Moody's Rated Units") to be downgraded, withdrawn, or suspended: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 20, 2012

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.

New York
Shana Sethi
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Rodrigo Araya
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's: PARCS-R Master Trust Class of Units ratings unaffected by Amendments
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.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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