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Rating Action:

Moody's downgrades TRUP CDOs exposed to US banks

12 Nov 2008
Moody's downgrades TRUP CDOs exposed to US banks

180 tranches affected across 44 Trust Preferred CDOs

New York, November 12, 2008 -- Moody's today has downgraded 180 tranches across 44 Trust Preferred ("TRUP") CDOs. In addition, 88 tranches remain on review for further possible downgrade.

The downgrades are prompted by the exposure of these TRUP CDOs to trust preferred securities issued by small to medium sized U.S. community banks which have or may experience deferral in interest payments and defaults due to the current credit crisis and weak economic conditions. Some TRUP CDO tranches remain on review for possible downgrade for the possibility that an event of default could be triggered within the CDO due to the deferral of payment by many underlying bank trust preferred securities.

These rating actions reflect Moody's assumption that there will be zero recovery on the 31 bank trust preferred securities that are currently deferring interest payment and the 10 banks that were closed by their regulator in these TRUP CDOs. Moody's believes that while the actions proposed by the Troubled Assets Relief Program (TARP) are a positive development for the U.S. banking sector, it may not be sufficient to prevent further deferral of interest payment on their trust preferred securities and defaults for some of the weaker banks in TRUP CDOs. Therefore, Moody's has updated the approach to calculating the default probability and correlation for bank trust preferred securities that back the securities issued by the bank TRUP CDOs.

Moody's updated the approach to calculating the default probability by using two financial ratios for every bank in the collateral portfolio. The first ratio is calculated as follows: (non-current loans plus other real estate owned) divided by (tangible common equity plus allowance for loan losses) ("First Ratio"). The second ratio is calculated as follows: (non-current loans plus other real estate owned plus 20% of current construction and development loans) divided by (tangible common equity plus allowance for loan losses) ("Second Ratio"). If the First Ratio is above 150% or the Second Ratio is above 175%, for purposes of these rating actions, Moody's assumed these banks to be defaulted with a zero recovery. If the First Ratio is above 100% or the Second Ratio is above 130%, Moody's assumed these banks had an implied default probability Rating Factor of 6500 (implied default probability rating of Caa2). Moody's used the second quarter 2008 financials when calculating the First Ratio and Second Ratio. Generally, the First Ratio and Second Ratio were used to identify banks more likely to defer payments on their trust preferred securities or default.

For all other banks in TRUP CDOs without a public rating from Moody's, when calculating the default probability, Moody's used the quantitative V3.1 Risk Calc Model for private banks with the credit cycle adjustment (the "Model"). To account for potential model error and adverse selection, the most favorable implied default probability Rating Factor assumed from the Model was 360, which translates into an implied default probability rating of Baa2. Finally, to account for the increased likelihood of deferral on the bank TRUPs in the current environment, the pool-wide default probability was multiplied by 1.25. Moody's used the second quarter 2008 financials in the Model.

For correlation purposes, Moody's continued to assume five regions for U.S. banks, but no longer making a distinction between banks and thrifts. Also, Moody's increased the assumed inter-asset correlation, which is correlation between bank regions, to 10%. The assumed intra-asset correlation, which is correlation within bank regions, remained at 45%. The update to the default probability assumptions was a much larger driver to these rating actions than the correlation update.

Moody's continued to assume a 10% recovery for bank trust preferred securities in its cash flow analysis which represents the likelihood that some banks that defer interest payments may ultimately pay cumulative interest without defaulting. Moody's also continued to use the correlated binomial to analyze TRUP CDOs. Other than the assumptions noted above, these actions used the approach outlined in Moody's Approach to Rating U.S. Bank Trust Preferred Security CDOs, April 14, 2004.

In order to promote transparency, Moody's encourages the Underwriters and Collateral Managers for all TRUP CDOs to publish the list of collateral securities in each of their respective CDOs. TRUP CDOs with exposure to bank, REITS and insurance trust preferred securities will be reviewed in the coming weeks.

Issuer: ALESCO Preferred Funding I, Ltd.

1) Class Description: U.S.$149,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2033

Prior Rating: Aaa

Prior Rating Date: 10/29/2003

Current Rating: Aa1, Review for Possible Downgrade

2) Class Description: U.S.$66,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2033

Prior Rating: Aaa, Review for Possible Downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa3, Review for Possible Downgrade

3) Class Description: U.S.$56,700,000 Class B-1 Mezzanine Secured Floating Rate Notes Due 2033,

Prior Rating: A3, Review for Possible Downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

4) Class Description: U.S.$45,000,000 Class B-2 Mezzanine Secured Fixed/Floating Rate Notes Due 2033,

Prior Rating: A3, Review for Possible Downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: ALESCO Preferred Funding II, Ltd.

1) Class Description: U.S. $149,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2033

Prior Rating: Aaa

Prior Rating Date: 12/29/2003

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $66,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa3, on review for possible downgrade

3) Class Description: U.S. $56,700,000 Class B-1 Mezzanine Secured Floating Rate Notes,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B2

4) Class Description: U.S. $45,000,000 Class B-2 Mezzanine Secured Fixed/Floating Rate Notes,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B2

Issuer: ALESCO PREFERRED FUNDING III, LTD.

1) Class Description: U.S. $160,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2034

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $70,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2034

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa3, on review for possible downgrade

3) Class Description: U.S. $40,500,000 Class B-1 Mezzanine Secured Floating Rate Notes Due 2034

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: B3

4) Class Description: U.S. $63,500,000 Class B-2 Mezzanine Secured Fixed/Floating Rate Notes Due 2034,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: B3

Issuer: ALESCO Preferred Funding IV, Ltd.

1) Class Description: U.S. $195,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2034

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $63,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2034

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A2, on review for possible downgrade

3) Class Description: U.S. $7,000,000 Class A-3 Second Priority Senior Secured Fixed/Floating Rate Notes Due 2034

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A2, on review for possible downgrade

4) Class Description: U.S. $62,380,000 Class B-1 Mezzanine Secured Floating Rate Notes,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

5) Class Description: U.S. $51,620,000 Class B-2 Mezzanine Secured Fixed/Floating Rate Notes,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

6) Class Description: U.S. $3,000,000 Class B-3 Mezzanine Secured Fixed/Floating Rate Notes,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

Issuer: MM Community Funding Ltd.

1) Class Description: Class B Floating Rate Senior Notes Due 2031,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

Issuer: MM Community Funding II Ltd.

1) Class Description: $205.0 million of Class B Floating Rate Subordinate Notes due 2031,

Prior Rating: A2

Prior Rating Date: 3/14/2008

Current Rating: Baa2, on review for possible downgrade

Issuer: MM Community Funding III Ltd.

1) Class Description: $177.0 million of Class B Floating Rate Subordinate Notes due 2032,

Prior Rating: A1

Prior Rating Date: 3/14/2008

Current Rating: Baa2, on review for possible downgrade

Issuer: MM Community Funding IX, Ltd.

1) Class Description: U.S. $126,000,000 Class A-1 Floating Rate Senior Notes Due 2033

Prior Rating: Aaa

Prior Rating Date: 4/28/2003

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $45,000,000 Class A-2 Floating Rate Senior Notes due 2033

Prior Rating: Aaa

Prior Rating Date: 4/28/2003

Current Rating: A2, on review for possible downgrade

3) Class Description: U.S. $50,000,000 Class B-1 Floating Rate Senior Subordinate Notes due 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

4) Class Description: U.S. $60,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes due 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: MMCAPS Funding I, Ltd.

1) Class Description: U.S. $191,500,000 Fixed Rate Senior Notes, due 6/15/31

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $77,000,000 Fixed Rate Mezzanine Notes, due 6/15/31,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B1

Issuer: MMCapS Funding XIX, Ltd.

1) Class Description: U.S. $220,000,000 Class A-1 Floating Rate Senior Notes Due 2038

Prior Rating: Aaa

Prior Rating Date: 7/24/2008

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $26,000,000 Class A-2 Floating Rate Senior Notes Due 2038

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 7/14/2008

Current Rating: A1, on review for possible downgrade

3) Class Description: U.S. $32,000,000 Class B Floating Rate Senior Notes Due 2038

Prior Rating: Aa2, on review for possible downgrade

Prior Rating Date: 7/14/2008

Current Rating: Ba1

4) Class Description: U.S. $79,000,000 Class C Floating Rate Senior Subordinate Notes Due 2038,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa2

Issuer: MMCAPS Funding XVIII, Ltd.

1) Class Description: U.S.$185,100,000 Class A-1 Floating Rate Notes Due 2039;

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S.$21,800,000 Class A-2 Floating Rate Notes Due 2039

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: A3, on review for possible downgrade

3) Class Description: U.S.$20,100,000 Class B Floating Rate Notes Due 2039

Prior Rating: Aa2, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ba1

4) Class Description: U.S.$55,900,000 Class C-1 Floating Rate Deferrable Interest Notes Due 2039

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

5) Class Description: U.S.$12,000,000 Class C-2 Fixed/Floating Rate Deferrable Interest Notes Due 2039

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

6) Class Description: U.S.$4,000,000 Class C-3 Fixed Rate Deferrable Interest Notes Due 2039

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

Issuer: Preferred Term Securities, Ltd.

1) Class Description: U.S.$201,050,000 of Fixed Rated Senior Notes due September 15, 2030

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $90,000,000 Fixed Rate Mezzanine Notes due September 15, 2030

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: B1

Issuer: Preferred Term Securities II, Ltd

1) Class Description: US$227,750,000 of Floating Rated Senior Notes Due March 1, 2031

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa2, on review for possible downgrade

2) Class Description: US$93,000,000 Fixed Rate Mezzanine Notes Due March 1, 2031

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B3

Issuer: Preferred Term Securities IV, Ltd.

1) Class Description: U.S.$341,000,000 Floating Rate Mezzanine Notes Due December 23, 2031,

Prior Rating: A3

Prior Rating Date: 3/14/2008

Current Rating: Ba3

Issuer: Preferred Term Securities V, Ltd.

1) Class Description: U.S. $201,450,000 Floating Rate Mezzanine Notes, due April 3, 2032,

Prior Rating: Aa3

Prior Rating Date: 3/14/2008

Current Rating: Ba1

Issuer: Preferred Term Securities VI, Ltd.

1) Class Description: U.S. $199,950,000 Floating Rate Mezzanine Notes, due July 3, 2032,

Prior Rating: A1

Prior Rating Date: 3/14/2008

Current Rating: B3

Issuer: Preferred Term Securities VII

1) Class Description: U.S. $120,000,000 Floating Rate Class A-2 Senior Notes due October 3, 2032,

Prior Rating: Aaa

Prior Rating Date: 9/26/2002

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $177,900,000 Floating Rate Mezzanine Notes Due October 3, 2032,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

Issuer: Preferred Term Securities VIII, Ltd

1) Class Description: U.S. $225,000,000 Floating Rate Class A-1 Senior Notes Due 2033,

Prior Rating: Aaa

Prior Rating Date: 12/20/2002

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $100,800,000 Floating Rate Class A-2 Senior Notes Due 2033

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S. $58,700,000 Floating Rate Class B-1 Mezzanine Notes Due January 3, 2033,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: B3

4) Class Description: U.S. $30,700,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due January 3, 2033,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: B3

5) Class Description: U.S. $75,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due January 3, 2033,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2006

Current Rating: B3

Issuer: Preferred Term Securities IX, Ltd.

1) Class Description: U.S.$245,000,000 Floating Rate Class A-1 Senior Notes Due April 3, 2033,

Prior Rating: Aaa

Prior Rating Date: 3/27/2003

Current Rating: Aaa, on review for possible downgrade

2) Class Description: U.S.$42,000,000 Floating Rate Class A-2 Senior Notes Due April 3, 2033

Prior Rating: Aaa

Prior Rating Date: 3/27/2008

Current Rating: Aa1, on review for possible downgrade

3) Class Description: U.S.$33,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due April 3, 2033,

Prior Rating: Aaa

Prior Rating Date: 3/27/2008

Current Rating: Aa1, on review for possible downgrade

4) Class Description: U.S.$86,000,000 Floating Rate Class B-1 Mezzanine Notes Due April 3, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

5) Class Description: U.S.$16,250,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due April 3, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

6) Class Description: U.S.$66,250,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due April 3, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

Issuer: Preferred Term Securities X, Ltd.

1) Class Description: U.S. $287,000,000 Floating Rate Class A-1 Senior Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 6/24/2003

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S $67,000,000 Floating Rate Class A-2 Senior Notes due 2033;

Prior Rating: Aaa

Prior Rating Date: 6/24/2003

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S $2,000,000 Fixed/Floating Rate Class A-3 Senior Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 6/24/2003

Current Rating: Aa2, on review for possible downgrade

4) Class Description: U.S.$88,000,000 Floating Rate Class B 1 Mezzanine Notes Due July 3, 2033,

Prior Rating: A2

Prior Rating Date: 7/22/2008

Current Rating: B3

5) Class Description: U.S.$19,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes Due July 3, 2033,

Prior Rating: A2

Prior Rating Date: 7/22/2008

Current Rating: B3

6) Class Description: U.S.$70,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes Due July 3, 2033,

Prior Rating: A2

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: Preferred Term Securities XI, Ltd.

1) Class Description: U.S. $343,000,000 Floating Rate Class A-1 Senior Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S $70,000,000 Floating Rate Class A-2 Senior Notes due 2033;

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S.$124,500,000 Floating Rate Class B 1 Mezzanine Notes Due September 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B2

4) Class Description: U.S.$13,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes Due September 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B2

5) Class Description: U.S.$65,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes Due September 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B2

Issuer: Preferred Term Securities XII, Ltd.

1) Class Description: U.S. $442,400,000 Floating Rate Class A-1 Senior Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S $64,000,000 Floating Rate Class A-2 Senior Notes due 2033;

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S $10,000,000 Fixed/Floating Rate Class A-3 Senior Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa2, on review for possible downgrade

4) Class Description: U.S $17,000,000 Fixed/Floating Rate Class A-4 Senior Notes due 2033;

Prior Rating: Aaa

Prior Rating Date: 9/19/2003

Current Rating: Aa2, on review for possible downgrade

5) Class Description: U.S.$204,400,000 Floating Rate Class B-1 Mezzanine Notes Due December 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

6) Class Description: U.S.$20,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

7) Class Description: U.S.$37,700,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due December 24, 2033,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: Preferred Term Securities XIII, LTD.

1) Class Description: U.S. $276,250,000 Floating Rate Class A-1 Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 3/31/2004

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S. $27,000,000 Floating Rate Class A-2 Senior Notes Due 2034;

Prior Rating: Aaa

Prior Rating Date: 3/31/2004

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S. $7,750,000 Fixed/Floating Rate Class A-3 Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 3/31/2004

Current Rating: Aa2, on review for possible downgrade

4) Class Description: U.S. $21,500,000 Fixed/Floating Rate Class A-4 Senior Notes Due 2034;

Prior Rating: Aaa

Prior Rating Date: 3/31/2004

Current Rating: Aa2, on review for possible downgrade

5) Class Description: U.S.$98,350,000 Floating Rate Class B-1 Mezzanine Notes Due March 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

6) Class Description: U.S. $21,450,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

7) Class Description: U.S.$44,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due March 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: Preferred Term Securities XIV, Ltd.

1) Class Description: U.S. $257,800,000 Floating Rate Class A-1 Senior Notes due 2034,

Prior Rating: Aaa

Prior Rating Date: 6/30/2004

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S $62,000,000 Floating Rate Class A-2 Senior Notes due 2034;

Prior Rating: Aaa

Prior Rating Date: 6/30/2004

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S.$117,000,000 Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

4) Class Description: U.S.$10,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

5) Class Description: U.S.$13,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due June 24, 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

Issuer: Regional Diversified Funding 2004-1LTD.

1) Class Description: U.S. $144,000,000 Class A-1 Floating Rate Senior Notes Due 2034,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: A3, on review for possible downgrade

2) Class Description: U.S $62,000,000 Floating Rate Class A-2 Senior Notes due 2034;

Prior Rating: Aa2, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Baa2, on review for possible downgrade

3) Class Description: U.S. $22,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa1

4) Class Description: U.S. $95,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa1

Issuer: Regional Diversified Funding, Ltd.

1) Class Description: US$225,000,000 of Fixed Rate Senior Notes due March 15, 2030,

Prior Rating: A1, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B1

Issuer: Soloso CDO 2005-1 Ltd.

1) Class Description: U.S. $170.0 million Class A-1L Floating Rate Notes Due October 2035,

Prior Rating: Aaa

Prior Rating Date: 8/31/2005

Current Rating: A2, on review for possible downgrade

2) Class Description: U.S. $126.0 million Class A-1LA Floating Rate Notes Due October 2035;

Prior Rating: Aaa

Prior Rating Date: 8/31/2005

Current Rating: A1, on review for possible downgrade

3) Class Description: U.S. $39.0 million Class A-1LB Floating Rate Notes Due October 2035,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A3, on review for possible downgrade

4) Class Description: U.S. $45.5 million Class A-2L Deferrable Floating Rate Notes Due October 2035,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B1

5) Class Description: U.S. $40.0 million Class A-3L Floating Rate Notes Due October 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

6) Class Description: U.S. $19.0 million Class A-3A Fixed/Floating Rate Notes Due October 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

7) Class Description: U.S. $19.0 million A-3B Fixed/Floating Rate Notes Due October 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

8) Class Description: Class U.S. $30.5 million Class B-1L Floating Rate Notes Due October 2035,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

Issuer: TPREF FUNDING I Ltd.

1) Class Description: $201.0 million of Class B Floating Rate Subordinate Notes due 2032,

Prior Rating: A2

Prior Rating Date: 7/23/2002

Current Rating: Ba3

Issuer: TPREF FUNDING II Ltd.

1) Class Description: $222.0 million of Class A-1 Floating Rate Senior Notes due 2032,

Prior Rating: Aaa

Prior Rating Date: 10/31/2002

Current Rating: Aaa, on review for possible downgrade

2) Class Description: $222.0 million of Class A-1 Floating Rate Senior Notes due 2032,

Prior Rating: Aaa

Prior Rating Date: 10/31/2002

Current Rating: Aa3, on review for possible downgrade

3) Class Description: U.S. $196.0 million of Class B Floating Rate Subordinate Notes due 2032,

Prior Rating: A1, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ba3

Issuer: TPREF Funding III, Ltd.

1) Class Description: Class A-1 Floating Rate Senior Notes,

Prior Rating: Aaa

Prior Rating Date: 2/28/2003

Current Rating: Aaa, on review for possible downgrade

2) Class Description: Class A-2 Floating Rate Senior Notes,

Prior Rating: Aaa

Prior Rating Date: 2/28/2003

Current Rating: Aa1, on review for possible downgrade

3) Class Description: Class B-1 Floating Rate Senior Subordinated Notes,

Prior Rating: A2

Prior Rating Date: 2/28/2003

Current Rating: B2

4) Class Description: Class B-2 Floating Rate Senior Subordinate Notes,

Prior Rating: A2

Prior Rating Date: 2/28/2003

Current Rating: B2

Issuer: Trapeza CDO I, LLC

1) Class Description: U.S. $161.5 million of Class A-1 First Priority Senior Secured Floating Rate Notes due 2032,

Prior Rating: Aaa

Prior Rating Date: 11/27/2002

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S 20.0 million of Class A-2 First Priority Senior Secured Fixed Rate Notes due 2032,

Prior Rating: Aaa

Prior Rating Date: 11/27/2002

Current Rating: Aa3, on review for possible downgrade

3) Class Description: U.S $54.6.0 million of Class B-1 Second Priority Senior Secured Floating Rate Notes due 2032,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Baa2, on review for possible downgrade

4) Class Description: U.S $2.0 million of Class B-2 Second Priority Senior Secured Floating Rate Notes due 2032,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Baa2, on review for possible downgrade

5) Class Description: U.S $16.0 million of Class B-3 Second Priority Senior Secured Fixed Rate Notes due 2032,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Baa2, on review for possible downgrade

6) Class Description: U.S.$29,600,000 Class C-1 Third Priority Secured Floating Rate Notes Due 2032,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

7) Class Description: U.S.$10,000,000 Class C-2 Third Priority Secured Fixed Rate Notes Due 2032,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

8) Class Description: U.S.$16,500,000 Class D Mezzanine Secured Floating Rate Notes Due 2032,

Prior Rating: Ba3, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

Issuer: Trapeza CDO II, LLC

1) Class Description: U.S. $132,000,000 of Class A1A First Priority Senior Secured Floating Rate Notes due 2033,

Prior Rating: Aaa

Prior Rating Date: 3/31/2003

Current Rating: Aaa, on review for possible downgrade

2) Class Description: U.S $100,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes due 2033,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S $27,000,000 of Class B Third Priority Senior Secured Floating Rate Notes due 2033,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: A1, on review for possible downgrade

4) Class Description: US $43.5MM Class C-1 Fourth Priority Secured Floating Rate Notes due 2033,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

5) Class Description: US $54.8MM Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes due 2033,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Caa2

6) Class Description: US $18.7MM Class D Mezzanine Secured Floating Rate Notes due 2033,

Prior Rating: Ba1, on review for possible downgrade

Prior Rating Date: 9/16/2008

Current Rating: Ca

Issuer: Trapeza CDO III, LLC

1) Class Description: U.S. $108.5 million of Class A1A First Priority Senior Secured Floating Rate Notes due 2034,

Prior Rating: Aaa

Prior Rating Date: 6/24/2003

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S $71.5 million of Class A1B Second Priority Senior Secured Floating Rate Notes due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A3, on review for possible downgrade

3) Class Description: U.S $25.0 million of Class B Third Priority Senior Secured Floating Rate Notes due 2034,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Baa3, on review for possible downgrade

4) Class Description: U.S. $31,250,000 Class C-1 Third Priority Secured Fixed Rate Notes,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

5) Class Description: U.S. $31,250,000 Class C-2 Third Priority Senior Secured Fixed/Floating Rate Notes,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

6) Class Description: U.S. $14,500,000 Class D Mezzanine Secured Floating Rate Notes,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: C

7) Class Description: U.S. $8,000,000 Class E Secured Notes,

Prior Rating: Ba2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: C

Issuer: Trapeza CDO IV, LLC

1) Class Description: U.S.$145,000,000 Class A1A First Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 10/29/2003

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S.$95,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A3, on review for possible downgrade

3) Class Description: U.S.$33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Baa3, on review for possible downgrade

4) Class Description: U.S.$44,500,000 Class C-1 Fourth Priority Secured Floating Rate Notes Due 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

5) Class Description: U.S.$44,500,000 Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due 2034,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

6) Class Description: U.S.$14,000,000 Class D Mezzanine Secured Floating Rate Notes Due 2034,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: C

Issuer: Trapeza CDO V, Ltd.

1) Class Description: U.S.$120,000,000 Class A1A First Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 12/29/2003

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S.$50,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A1, on review for possible downgrade

3) Class Description: U.S.$33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A3, on review for possible downgrade

4) Class Description: U.S.$25,000,000 Class C-1 Fourth Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Ca

5) Class Description: U.S.$41,000,000 Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due 2034,

Prior Rating: Baa2, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Ca

6) Class Description: U.S.$13,000,000 Class D Mezzanine Secured Floating Rate Notes Due 2034,

Prior Rating: Ba3, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: C

Issuer: Trapeza CDO VI, Ltd.

1) Class Description: U.S.$155,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 4/28/2004

Current Rating: Aa1, on review for possible downgrade

2) Class Description: U.S.$21,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa2, on review for possible downgrade

3) Class Description: U.S.$59,350,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Aa3, on review for possible downgrade

4) Class Description: U.S.$39,500,000 Class B-1 Fourth Priority Secured Floating Rate Notes Due 2034,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B3

5) Class Description: U.S.$56,500,000 Class B-2 Fourth Priority Secured Fixed/Floating Rate Notes Due 2034,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: B3

Issuer: Trapeza CDO VII, Ltd.

1) Class Description: U.S. $194,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035,

Prior Rating: Aaa

Prior Rating Date: 11/09/2004

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S. $32,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035,

Prior Rating: Aaa

Prior Rating Date: 11/09/2004

Current Rating: Baa1, on review for possible downgrade

3) Class Description: Class B-1 Third Priority Secured Floating Rate Notes,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

4) Class Description: Class B-2 Third Priority Senior Secured Fixed/Floating Rate Notes,

Prior Rating: A2, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

Issuer: Tropic CDO II, LTD

1) Class Description: U.S. $145,000,000 of Class A-1L Floating Rate Notes due 2034,

Prior Rating: Aaa

Prior Rating Date: 10/21/2003

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S. $50,000,000 of Class A-2L Floating Rate Notes due 2034,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: A2, on review for possible downgrade

3) Class Description: U.S. $35,000,000 of Class A-3L Floating Rate Notes due 2034,

Prior Rating: Aa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Baa3, on review for possible downgrade

4) Class Description: U.S. $38,000,000 Class A-4L Floating Rate Notes Due April 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Caa3

5) Class Description: U.S. $30,000,000 Class A-4 Fixed/Floating Rate Notes Due April 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Caa3

6) Class Description: U.S. $15,000,000 Class B-1L Floating Rate Notes Due April 2034,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Ca

Issuer: TROPIC CDO III LTD

1) Class Description: U.S. $158,000,000 of Class A-1L Floating Rate Notes due 2034,

Prior Rating: Aaa

Prior Rating Date: 2/27/2004

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $45,000,000 of Class A-2L Floating Rate Notes due 2034,

Prior Rating: Aaa

Prior Rating Date: 2/27/2004

Current Rating: A1, on review for possible downgrade

3) Class Description: U.S. $31,000,000 of Class A-3L Floating Rate Notes due 2034,

Prior Rating: Aa1

Prior Rating Date: 2/27/2004

Current Rating: Ba2

4) Class Description: U.S. $40,500,000 Class A-4A Fixed/Floating Rate Notes Due 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

5) Class Description: U.S. $20,000,000 Class A-4B Fixed/Floating Rate Notes Due 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

6) Class Description: U.S. $19,500,000 Class A-4L Floating Rate Notes Due 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

Issuer: TROPIC CDO IV LTD.

1) Class Description: U.S. $160,000,000 Class A-1L Floating Rate Notes Due April 2035,

Prior Rating: Aaa

Prior Rating Date: 12/01/2004

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $40,000,000 Class A-2L Floating Rate Notes Due April 2035,

Prior Rating: Aaa

Prior Rating Date: 12/01/2004

Current Rating: A2, on review for possible downgrade

3) Class Description: U.S. $37,500,000 Class A-3L Deferrable Floating Rate Notes Due April 2035,

Prior Rating: Aa1

Prior Rating Date: 12/01/2004

Current Rating: Baa3, on review for possible downgrade

4) Class Description: U.S. $26,000,000 Class A-4L Floating Rate Notes Due April 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

5) Class Description: U.S. $35,000,000 Class A-4 Fixed/Floating Rate Notes Due April 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

6) Class Description: U.S. $20,000,000 Class B-1L Floating Rate Notes Due April 2035,

Prior Rating: Baa3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Ca

Issuer: US Capital Funding I LTD

1) Class Description: U.S. $100,000,000 Class A-1 Floating Rate Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 2/27/2004

Current Rating: Aa2, on review for possible downgrade

2) Class Description: U.S. $24,000,000 Class A-2 Floating Rate Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 2/27/2004

Current Rating: A2, on review for possible downgrade

3) Class Description: $45,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Caa1

4) Class Description: $24,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: Baa1, on review for possible downgrade

Prior Rating Date: 8/14/2008

Current Rating: Caa1

Issuer: US Capital Funding II LTD

1) Class Description: U.S. $171,000,000 Class A-1 Floating Rate Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 6/30/2004

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S. $33,500,000 Class A-2 Floating Rate Senior Notes Due 2034,

Prior Rating: Aaa

Prior Rating Date: 6/30/2004

Current Rating: A2, on review for possible downgrade

3) Class Description: U.S. $70,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

4) Class Description: U.S. $40,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: B3

Issuer: US Capital Funding III, Ltd.

1) Class Description: U.S. $111,000,000 Class A-1 Floating Rate Senior Notes Due 2035,

Prior Rating: Aaa

Prior Rating Date: 11/30/2004

Current Rating: Aa3, on review for possible downgrade

2) Class Description: U.S. $23,000,000 Class A-2 Floating Rate Senior Notes Due 2035,

Prior Rating: Aaa

Prior Rating Date: 11/30/2004

Current Rating: A3, on review for possible downgrade

3) Class Description: U.S. $39,100,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa1

4) Class Description: U.S. $48,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2035,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa1

Issuer: U.S. CAPITAL FUNDING IV, LTD.

1) Class Description: U.S. $200,000,000 Class A-1 Floating Rate Senior Notes Due 2039,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: A2, on review for possible downgrade

2) Class Description: U.S. $14,000,000 Class A-2 Floating Rate Senior Notes Due 2039,

Prior Rating: Aaa, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Baa3, on review for possible downgrade

3) Class Description: U.S. $92,250,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2039,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

4) Class Description: U.S. $12,500,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2039,

Prior Rating: A3, on review for possible downgrade

Prior Rating Date: 7/22/2008

Current Rating: Caa3

New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
James Brennan
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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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