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Rating Action:

Moody's downgrades TRUP CDOs exposed to US banks and insurance companies

27 Mar 2009

429 tranches affected across 89 Trust Preferred CDOs

New York, March 27, 2009 -- Moody's has downgraded 429 tranches across 89 Trust Preferred ("TRUP") CDOs. The downgrades are prompted by the exposure of these TRUP CDOs to trust preferred securities issued by small to medium sized U.S. community bank and insurance companies. Due to the continued credit crisis and weak economic conditions, the number of interest payment deferrals and defaults has sharply increased in the past year and is expected to continue to rise. As a result, the number of assumed problematic banks has increased from roughly 200 in November 2008 to about 300 as of today. This corresponds to a significant increase in FDIC problematic banks from 171 last September to 252 at year-end.

Moody's believes that while the various actions proposed by the Federal Reserve, Treasury, and FDIC are positive developments for the financial sector, it may not be sufficient to prevent further deferral of interest payment on their trust preferred securities for the weaker banks and insurance companies in TRUP CDOs.

Today's rating actions are the result of using a combination of the following analysis: (1) Coverage level and problem bank analysis (2) Event of default analysis (3) Cash-flow analysis (4) Pass-through of the underlying portfolio credit analysis (5) Break-even analysis.

Coverage Level and problem bank analysis

For each rated tranche, Moody's calculated a coverage ratio. The coverage ratio was the performing collateral par over the current tranche being evaluated, including more senior tranches. The performing collateral excluded all Moody's defaulted par. To calculate the Moody's defaulted par, Moody's assumed there will be zero recovery on the 99 bank trust preferred securities in the 89 rated TRUP CDOs that are currently deferring interest payment or were closed by their regulator. The coverage ratios are used in benchmarking the general rating levels for tranches across the capital structure of these transactions. For example, for super senior tranches, Moody's generally requires more than 400% coverage to achieve a Aaa rating, more than 200% coverage to achieve a Aa rating level or more than 150% to achieve a single-A rating level.

Moody's also calculated 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.

These cutoffs for the First Ratio and Second Ratio were used to identify about 200 banks and thrifts that Moody's considered problematic of the roughly 8400 FDIC insured US banks and thrifts. Moody's also used the quantitative V3.1 Risk Calc Model for private banks, with an adjustment to account for our position in the current credit cycle downturn (the "Model") to identify another 100 US banks and thrifts that scored poorly and were assumed defaulted with a zero recovery. Most banks that have been closed by the FDIC have deferred on their trust preferred securities, had levels above the First Ratio or Second Ratio, or scored poorly in the Model. In addition, there are three insurance companies that are currently deferring interest payment or have defaulted. Moody's assumed these insurance names were defaulted with zero recovery.

Event of Default analysis

To date, there are no Moody's rated TRUP CDOs that have declared an Event of Default ("EOD"). The most likely reason a TRUP CDO would trigger an EOD is non-payment of interest on a non-deferrable tranche or a senior coverage test falling below 100% caused by deferral of payment by a sufficient number of the underlying securities. EOD vary across TRUP CDOs and was taken into account for each rating action. For these rating actions, Moody's assumed liquidation would not result if EOD occurs because most of the underlying collateral does not have an active market making it difficult to sell the portfolio. Instead, if EOD occurs, Moody's assumed the controlling class would rather elect to accelerate cash flows from the underlying performing securities.

There are uncertainties with EOD and although no tranches remain on review for possible downgrade, further downgrades may be warranted if an EOD is triggered within the TRUP CDO. Generally speaking, for deals with a material EOD risk, the junior Aaa tranches' rating was capped at Ba1.

Cash Flow Modeling Analysis

Moody's looked at scenarios from its cash flow model using the correlated binomial distribution with a higher emphasis on scenarios in which deferrals were spiked in the first year of the analysis. The major inputs into the cash flow model are the default probability, correlations, and recovery rates.

To calculate the default probability of banks, Moody's first removed all assumed defaults. Next, two financial ratios were calculated for every bank in the collateral portfolio. 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, which translates into an implied default probability rating of Caa2. Although these banks were not considered defaulted, the likelihood of moving to default is high. For any bank which was not publicly rated or which did not exceed the First or Second Ratio thresholds outlined above, default probability was determined using the Model. To account for the inherent limitations of statistical models 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. This is about equal to the 30 year historical U.S. bank default rate. 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. Although there is not any historical context to evaluate the likeliness of bank deferrals, Moody's ultimately believes there will be more deferrals than defaults.

For insurance companies, Moody's now supplements the use of the quantitative insurance model developed by MKMV for estimating default probabilities of unrated companies with an independent fundamental review by an analyst from Moody's rating estimates team. Similar to our approach to the modeling of banks, Moody's accounts for model limitations and adverse selection by capping the implied default probability Rating Factor. The cap is set at Baa3, one notch below the Baa2 level for banks because of the uncertainties of the investment portfolios for the insurance companies. Also, similarly to account for the increased likelihood of deferral/default in the current environment, the pool-wide default probability was multiplied by 1.25. Much like banks, Moody's believes there will be more deferrals than defaults in the current environment.

For correlation, Moody's discontinued the practice of granting diversity credit for the distinction between banks and thrifts. Moody's also increased the assumed correlation between bank regions, to 10% from 0%. The assumed correlation between banks within any one of the five US regions remained at 45%. Moody's modified the correlation approach for insurance companies by breaking out P&C issuers by region opposed to 12 product lines. Moody's assumed five property/casualty ("P&C") regions, which are the same regions used for banks, and one life/health ("L&H") classification. The correlation for P&C issuers, L&H issuers, and bank issuers in the same region was 45%. The inter-industry correlation between P&C issuers, L&H issuers, and bank issuers in different regions was 10%. Among these various modifications to our rating parameters, the update to the default probability assumptions was a much larger driver than the correlation update.

Moody's continued to assume a 10% recovery rate for bank trust preferred securities in its cash flow analysis. This recovery rate represents the likelihood that some banks that defer interest payments may ultimately pay cumulative interest without defaulting. Moody's also continued to assume a 5% recovery rate for insurance companies in its cash flow analysis due to less support by the industry to problem insurance companies.

Other than the assumptions noted above, the cash flow model also used the approach outlined in Moody's Approach to Rating U.S. Bank Trust Preferred Security CDOs, April 14, 2004 and Moody's Approach to Rating Insurance Trust Preferred Security CDOs, April 1, 2004.

Pass-through analysis

For some TRUP CDOs, especially the early vintage bank TRUP CDOs, a pass through to the underlying default probabilities was assumed for the current rating. For some of these TRUP CDOs, a substantial number of issuers called their TRUPs at par and only a few issuers remain in the portfolio to support one tranche of debt. Most of these calls occurred many years ago when there was an active TRUP CDO market. Going forward, Moody's does not anticipate future calls of TRUP securities.

Break-even analysis

Moody's looked at scenarios to see how many underlying TRUPs could default before a loss would be realized on a tranche. This analysis was mainly used as a supplement to the other methods to make sure the current subordination was sufficient for each assigned rating.

In order to promote market 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 REITS will be reviewed in the coming weeks.

ALESCO Preferred Funding I, Ltd.

Current Model WARF [1]: 1,624

Current Assumed Defaulted Amount: $52,500,000

Model WARF for November 2008 rating actions [1] [2]: 1473

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ALESCO Preferred Funding II, Ltd.

Current Model WARF [1]: 1,439

Current Assumed Defaulted Amount: $50,000,000

Model WARF for November 2008 rating actions [1] [2]: 978

Assumed Defaulted Amount (November 2008 rating actions): $40,000,000

U.S. $150,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes, Downgraded to Aa3; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $66,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa3 on review for possible downgrade

U.S. $64,300,000 Class B-1 Mezzanine Secured Floating Rate Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

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ALESCO Preferred Funding III, LTD.

Current Model WARF [1]: 1,619

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Model WARF for November 2008 rating actions [1] [2]: 1488

Assumed Defaulted Amount (November 2008 rating actions): $35,000,000

U.S. $160,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 on Review for possible downgrade

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ALESCO Preferred Funding IV, Ltd.

Current Model WARF [1]: 1,979

Current Assumed Defaulted Amount: $80,027,000

Model WARF for November 2008 rating actions [1] [2]: 1843

Assumed Defaulted Amount (November 2008 rating actions): $38,000,000

U.S. $195,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes, Downgraded to A3; previously on 11/12/2008 Downgraded to Aa2 on Review for possible downgrade

U.S. $63,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to Ba3; previously on 11/12/2008 Downgraded to A2 on Review for possible downgrade

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ALESCO Preferred Funding V, Ltd.

Current Model WARF [1]: 1,227

Current Assumed Defaulted Amount: $64,000,000

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U.S. $42,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Ba1; previously on 9/16/2008 Aaa on review for possible downgrade

U.S. $10,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2034, Downgraded to B1; previously on 9/16/2008 Aa2 on review for possible downgrade

U.S. $42,350,000 Class C-1 Deferrable Mezzanine Secured Floating Rate Notes Due 2034, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $37,700,000 Class C-2 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2034, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $4,450,000 Class C-3 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2034, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $6,300,000 Class D Deferrable Subordinate Secured Floating Rate Notes Due 2034, Downgraded to Ca; previously on 9/16/2008 Downgraded to Ba2 on Review for possible downgrade

ALESCO Preferred Funding VI, Ltd.

Current Model WARF [1]: 1,781

Current Assumed Defaulted Amount: $134,300,000

U.S. $365,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Baa1; previously on 12/27/2004 Assigned Aaa

U.S. $50,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $20,000,000 Class A-3 Second Priority Senior Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $23,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due 2035, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $12,000,000 Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Caa1; previously on 8/14/2008 Aa2 On review for possible downgrade

U.S. $57,500,000 Class C-1 Deferrable Mezzanine Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $46,000,000 Class C-2 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $10,000,000 Class C-3 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $27,000,000 Class C-4 Deferrable Mezzanine Secured Fixed Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $17,000,000 Class D-1 Deferrable Subordinate Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba2 on Review for possible downgrade

U.S. $3,000,000 Class D-2 Deferrable Subordinate Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba2 on Review for possible downgrade

Alesco Preferred Funding VII, Ltd.

Current Model WARF [1]: 1,350

Current Assumed Defaulted Amount: $109,300,000

U.S. $188,000,000 Class A-1-A First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to A3; previously on 11/23/2008 Aaa on review for possible downgrade

U.S. $177,000,000 Class A-1-B First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to A3; previously on 4/28/2005 Assigned Aaa

U.S. $70,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $35,000,000 Class B Third Priority Secured Floating Rate Notes Due 2035, Downgraded to B1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $123,500,000 Class C-1 Deferrable Mezzanine Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $13,000,000 Class C-2 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $5,000,000 Class C-3 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $5,500,000 Class C-4 Deferrable Mezzanine Secured Fixed/Floating Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $10,000,000 Class C-5 Deferrable Mezzanine Secured Fixed Rate Notes Due 2035, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

ALESCO PREFERRED FUNDING VIII, LTD.

Current Model WARF [1]: 1,618

Current Assumed Defaulted Amount: $115,500,000

U.S. $110,000,000 Class A-1A Notes, Downgraded to A3; previously on 8/31/2005 Assigned Aaa

U.S. $255,000,000 Class A-1B Notes, Downgraded to A3; previously on 8/31/2005 Assigned Aaa

U.S. $70,000,000 Class A-2 Notes, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $50,000,000 Class B-1 Notes, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $5,000,000 Class B-2 Notes, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $78,500,000 Class C-1 Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $7,500,000 Class C-2 Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $12,000,000 Class C-3 Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $18,000,000 Class D-1 Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $4,500,000 Class D-2 Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $14,500,000 Class E Notes, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba3 on Review for possible downgrade

ALESCO Preferred Funding IX, Ltd.

Current Model WARF [1]: 1,623

Current Assumed Defaulted Amount: $99,500,000

U.S. $365,000,000 Class A-1 First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2036-1, Downgraded to A3; previously on 12/22/2005 Assigned Aaa

U.S. $59,000,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2036 U.S. $3,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $3,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due 2036 U.S. $51,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due 2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $51,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes Due 2036, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $7,000,000 Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $54,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa3 on Review for possible downgrade

U.S. $48,500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa3 on Review for possible downgrade

U.S. $12,500,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa3 on Review for possible downgrade

U.S. $7,000,000 Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa3 on Review for possible downgrade

Alesco Preferred Funding X, Ltd.

Current Model WARF [1]: 1,881

Current Assumed Defaulted Amount: $93,650,000

U.S. $489,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2036, Downgraded to A3; previously on 3/30/2006 Assigned Aaa

U.S. $119,500,000 Class A-2A Second Priority Senior Secured Floating Rate Notes Due 2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $10,000,000 Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $82,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2036, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $99,800,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $67,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

ALESCO Preferred Funding XI, Ltd.

Current Model WARF [1]: 2,054

Current Assumed Defaulted Amount: $72,600,000

U.S. $174,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes due December 23, 2036, Downgraded to A3; previously on 6/30/2006 Assigned Aaa

U.S. $176,000,000 Class A-1B First Priority Delayed Draw Senior Secured Floating Rate Notes due December 23, 2036, Downgraded to A3; previously on 6/30/2006 Assigned Aaa

U.S. $95,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due December 23, 2036, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $55,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes due December 23, 2036, Downgraded to Caa1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $40,500,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes due December 23, 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $12,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due December 23, 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $50,500,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed Rate Notes due December 23, 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

ALESCO Preferred Funding XII, Ltd.

Current Model WARF [1]: 1,887

Current Assumed Defaulted Amount: $102,000,000

U.S. $370,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Baa1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $87,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $70,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Downgraded to Caa3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $60,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $10,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $10,000,000 Class X First Priority Senior Secured Floating Rate Notes Due 2016, Downgraded to Baa1; previously on 10/30/2006 Assigned Aaa

ALESCO Preferred Funding XIII, Ltd.

Current Model WARF [1]: 1,869

Current Assumed Defaulted Amount: $98,000,000

U.S. $250,800,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Baa1; previously on 12/22/2006 Assigned Aaa

U.S. $55,200,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $80,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Downgraded to Caa3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $27,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $33,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $7,500,000 Class X First Priority Senior Secured Floating Rate Notes Due 2016, Downgraded to Baa1; previously on 12/22/2006 Assigned Aaa

Alesco Preferred Funding XIV, Ltd.

Current Model WARF [1]: 1,842

Current Assumed Defaulted Amount: $113,700,000

U.S. $430,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to A3; previously on 12/22/2006 Assigned Aaa

U.S. $80,500,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2037, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $103,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037, Downgraded to Caa1; previously on 7/22/2008 Aa2 on review for possible downgrade

U.S. $12,000,000 Class X First Priority Senior Secured Floating Rate Notes Due 2016, Downgraded to A3; previously on 12/22/2006 Assigned Aaa

U.S. $50,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $32,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $21,000,000 Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

ALESCO Preferred Funding XV, Ltd.

Current Model WARF [1]: 1,911

Current Assumed Defaulted Amount: $83,000,000

U.S. $362,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes due December 2037, Downgraded to A3; previously on 3/29/2007 Assigned Aaa

U.S. $78,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes due December 2037, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $35,000,000 Class B-1 Deferrable Third Priority Secured Floating Rate Notes due December 2037, Downgraded to Caa2; previously on 8/14/2008 Downgraded to Aa3 on Review for possible downgrade

U.S. $35,000,000 Class B-2 Deferrable Third Priority Secured Monthly Pay Floating Rate Notes due December 2037, Downgraded to Caa2; previously on 8/14/2008 Downgraded to Aa3 on Review for possible downgrade

U.S. $75,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes due December 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $7,000,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due December 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

ALESCO Preferred Funding XVI, Ltd.

Current Model WARF [1]: 1,963

Current Assumed Defaulted Amount: $72,000,000

U.S. $349,000,000 Class A First Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to Baa3; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $20,000,000 Class B Deferrable Second Priority Secured Fixed/Floating Rate Notes Due 2038, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $85,250,000 Class C Deferrable Third Priority Mezzanine Secured Floating Rate Notes Due 2038, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba2 on Review for possible downgrade

Alesco Preferred Funding XVII, Ltd.

Current Model WARF [1]: 1,935

Current Assumed Defaulted Amount: $59,000,000

U.S. $236,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to Baa3; previously on 11/8/2007 Assigned Aaa

U.S. $16,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2038, Downgraded to B1; previously on 9/4/2008 Aaa on review for possible downgrade

U.S. $44,000,000 Class B Deferrable Third Priority Secured Floating Rate Notes Due 2038, Downgraded to Ca; previously on 9/4/2008 Aa2 on review for possible downgrade

U.S. $42,000,000 Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating Rate Notes Due 2038, Downgraded to Ca; previously on 9/4/2008 A3 on review for possible downgrade

U.S. $500,000 Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2038, Downgraded to Ca; previously on 9/4/2008 A3 on review for possible downgrade

Dekania CDO II, Ltd.

Current Model WARF [1]: 1,814

Current Assumed Defaulted Amount: $0

U.S. $200,000,000 Class A-1, Downgraded to Aa3; previously on 4/30/2004 Assigned Aaa

ICONS, Ltd.

Current Model WARF [1]: 2,485

Current Assumed Defaulted Amount: $0

Class I Component Note, Downgraded to A1; previously on 5/27/2004 Assigned Aaa

Class II Component Note, Downgraded to Ba1; previously on 5/27/2004 Assigned Aa1

U.S. $8,000,000 CLASS C-1 DEFERRABLE MEZZANINE NOTES DUE 2034, Downgraded to Caa1; previously on 5/27/2004 Assigned A3

U.S. $20,000,000 CLASS C-2 DEFERRABLE MEZZANINE NOTES DUE 2034, Downgraded to Caa1; previously on 5/27/2004 Assigned A3

U.S. $6,000,000 CLASS C-3 DEFERRABLE MEZZANINE NOTES DUE 2034, Downgraded to Caa1; previously on 5/27/2004 Assigned A3

InCapS Funding II, Ltd.

Current Model WARF [1]: 1,826

Current Assumed Defaulted Amount: $21,500,000

U.S. $118,500,000 Class A-1 Floating Rate Senior Notes Due 2034, Downgraded to Aa3; previously on 1/5/2004 Assigned Aaa

U.S. $50,500,000 Class A-2 Floating Rate Senior Notes Due 2034, Downgraded to A2; previously on 1/5/2004 Assigned Aaa

I-Preferred Term Securities III, Ltd.

Current Model WARF [1]: 2,266

Current Assumed Defaulted Amount: $20,000,000

Class A-1 Senior Notes due November 2033 (Uninsured), Downgraded to Aa3; previously on 6/30/2004 Assigned Aaa

U.S. $40,000,000 Class A-2 Senior Notes due November 2033, Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa

U.S. $15,000,000 Class A-3 Senior Notes due November 2033, Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa

U.S. $10,000,000 Class A-4 Senior Notes due November 2033, Downgraded to Baa2; previously on 6/30/2004 Assigned Aaa

U.S. $51,000,000Class B-1 Mezzanine Notes due November 2033, Downgraded to B2; previously on 6/30/2004 Assigned A3

U.S. $27,690,000 Class B-2 Mezzanine Notes due November 2033, Downgraded to B2; previously on 6/30/2004 Assigned A3

U.S. $57,500,000 Class B-3 Mezzanine Notes due November 2033, Downgraded to B2; previously on 6/30/2004 Assigned A3

I-Preferred Term Securities IV, Ltd.

Current Model WARF [1]: 1,072

Current Assumed Defaulted Amount: $0

U.S. $162,500,000 Floating Rate Class A-1 Senior Notes Due June 24, 2034, Downgraded to Aa2; previously on 5/17/2004 Assigned Aaa

U.S. $37,000,000 Floating Rate Class A-2 Senior Notes Due June 24, 2034, Downgraded to Baa1; previously on 5/17/2004 Assigned Aaa

U.S. $13,900,000 Fixed/Floating Rate Class A-3 Senior Notes Due June 24, 2034, Downgraded to Baa1; previously on 5/17/2004 Assigned Aaa

U.S. $54,650,000 Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034, Downgraded to Ba2; previously on 5/17/2004 Assigned Aa3

U.S. $25,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24, 2034, Downgraded to Ba2; previously on 5/17/2004 Assigned Aa3

U.S. $12,450,000 Floating Rate Class C Mezzanine Notes Due June 24, 2034, Downgraded to Caa1; previously on 5/17/2004 Assigned Baa2

U.S. $6,200,000 Floating Rate Class D Subordinate Notes Due June 24, 2034, Downgraded to Caa2; previously on 7/22/2008 Ba2 on review for possible downgrade

MM Community Funding Ltd.

Current Model WARF [1]: 3,005

Current Assumed Defaulted Amount: $27,000,000

Model WARF for November 2008 rating actions [1] [2]: 1644

Assumed Defaulted Amount (November 2008 rating actions): $21,000,000

Class A Floating Rate Senior Notes Due 2031, Downgraded to Aa1; previously on 7/12/2001 Assigned Aaa

Class B Floating Rate Senior Notes Due 2031, Downgraded to Caa2; previously on 11/12/2008 Downgraded to Ba3

MM Community Funding II, Ltd.

Current Model WARF [1]: 445

Current Assumed Defaulted Amount: $28,000,000

Model WARF for November 2008 rating actions [1] [2]: 346

Assumed Defaulted Amount (November 2008 rating actions): $28,000,000

Class B Floating Rate Senior Notes, Confirmed at Baa2; previously on 11/12/2008 Downgraded to Baa2 and on review for possible downgrade

MM COMMUNITY FUNDING III, LTD.

Current Model WARF [1]: 603

Current Assumed Defaulted Amount: $13,000,000

Model WARF for November 2008 rating actions [1] [2]: 590

Assumed Defaulted Amount (November 2008 rating actions): $13,000,000

U.S. $177,000,000 Class B Floating Rate Senior Subordinate Notes Due 2032, Downgraded to Baa3; previously on 11/12/2008 Downgraded to Baa2 and on review for possible downgrade

MM Community Funding IX, Ltd.

Current Model WARF [1]: 2,259

Current Assumed Defaulted Amount: $31,250,000

Model WARF for November 2008 rating actions [1] [2]: 1707

Assumed Defaulted Amount (November 2008 rating actions): $15,250,000

U.S. $126,000,000 Class A-1 Floating Rate Senior Notes Due 2033, Confirmed at Aa2; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $45,000,000 Class A-2 Floating Rate Senior Notes due 2033, Downgraded to Baa1; previously on 11/12/2008 Downgraded to A2 and on review for possible downgrade

U.S. $50,000,000 Class B-1 Floating Rate Senior Subordinate Notes due 2033, Downgraded to Caa3; previously on 11/12/2008 Downgraded to B3

U.S. $60,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes due 2033, Downgraded to Caa3; previously on 11/12/2008 Downgraded to B3

MMCAPS Funding I, Ltd.

Current Model WARF [1]: 777

Current Assumed Defaulted Amount: $39,000,000

Model WARF for November 2008 rating actions [1] [2]: 692

Assumed Defaulted Amount (November 2008 rating actions): $29,000,000

U.S. $191,500,000 Fixed Rate Senior Notes, due 6/15/31, Downgraded to A3; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $77,000,000 Fixed Rate Mezzanine Notes, due 6/15/31, Downgraded to Ca; previously on 11/12/2008 Downgraded to B1

MMCAPS Funding XVII, Ltd.

Current Model WARF [1]: 1,572

Current Assumed Defaulted Amount: $22,350,000

U.S. $162,000,000 Class A-1, Downgraded to A2; previously on 9/30/2005 Assigned Aaa

U.S. $19,500,000 Class A-2, Downgraded to Ba1; previously on 9/30/2005 Assigned Aaa

U.S. $33,000,000 Class B, Downgraded to Ba3; previously on 9/30/2005 Assigned Aa2

U.S. $35,475,000 Class C-1, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

U.S. $35,475,000 Class C-2, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

MMCAPS Funding XVIII, Ltd.

Current Model WARF [1]: 1,592

Current Assumed Defaulted Amount: $42,500,000

Model WARF for November 2008 rating actions [1] [2]: 1626

Assumed Defaulted Amount (November 2008 rating actions): $17,500,000

U.S. $185,100,000 Class A-1 Floating Rate Notes Due 2039, Downgraded to A3; previously on 11/12/2008 Downgraded to Aa3 on Review for possible downgrade

U.S. $21,800,000 Class A-2 Floating Rate Notes Due 2039, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

U.S. $20,100,000 Class B Floating Rate Notes Due 2039, Downgraded to B2; previously on 11/12/2008 Downgraded to Ba1

MMCAPS Funding XIX, Ltd.

Current Model WARF [1]: 2,129

Current Assumed Defaulted Amount: $23,500,000

Model WARF for November 2008 rating actions [1] [2]: 1550

Assumed Defaulted Amount (November 2008 rating actions): $13,500,000

U.S. $220,000,000 Class A-1 Floating Rate Senior Notes Due 2038, Downgraded to A3; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $26,000,000 Class A-2 Floating Rate Senior Notes Due 2038, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A1 on Review for possible downgrade

U.S. $32,000,000 Class B Floating Rate Senior Notes Due 2038, Downgraded to B2; previously on 11/12/2008 Downgraded to Ba1

U.S. $79,000,000 Class C Floating Rate Senior Subordinate Notes Due 2038, Downgraded to Caa3; previously on 11/12/2008 Downgraded to Caa2

Preferred Term Securities I, Ltd.

Current Model WARF [1]: 1,349

Current Assumed Defaulted Amount: $36,000,000

Model WARF for November 2008 rating actions [1] [2]: 987

Assumed Defaulted Amount (November 2008 rating actions): $36,000,000

U.S. $201,050,000 Fixed Rate Senior Notes, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $90,000,000 Fixed Rate Mezzanine Notes, Downgraded to Caa1; previously on 11/12/2008 Downgraded to B1

Preferred Term Securities II, Ltd

Current Model WARF [1]: 1,266

Current Assumed Defaulted Amount: $64,500,000

Model WARF for November 2008 rating actions [1] [2]: 1108

Assumed Defaulted Amount (November 2008 rating actions): $41,000,000

U.S. $227,750,000 Floating Rate Senior Notes, due 3/1/31, Downgraded to Baa1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $93,000,000 Fixed Rate Mezzanine Notes, due 3/1/31, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities IV, Ltd.

Current Model WARF [1]: 1,625

Current Assumed Defaulted Amount: $38,000,000

Model WARF for November 2008 rating actions [1] [2]: 1729

Assumed Defaulted Amount (November 2008 rating actions): $32,000,000

U.S. $341,000,000 Class M Floating Rate Mezzanine Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

Preferred Term Securities V, Ltd.

Current Model WARF [1]: 1,481

Model WARF for November 2008 rating actions [1] [2]: 905

U.S. $201,450,000 Floating Rate Mezzanine Notes, due April 3, 2032, Downgraded to Ba3; previously on 11/12/2008 Downgraded to Ba1

Preferred Term Securities VI, Ltd.

Current Model WARF [1]: 5,374

Model WARF for November 2008 rating actions [1] [2]: 3002

U.S. $199,950,000 Floating Rate Mezzanine Notes Due July 3, 2032, Downgraded to Caa1; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities VII

Current Model WARF [1]: 2,037

Current Assumed Defaulted Amount: $79,000,000

Model WARF for November 2008 rating actions [1] [2]: 2234

Assumed Defaulted Amount (November 2008 rating actions): $49,000,000

U.S. $120,000,000 Floating Rate Class A-2 Senior Notes Due October 3, 2032, Downgraded to Aa2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $177,900,000 Floating Rate Mezzanine Notes Due October 3, 2032, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa2

Preferred Term Securities VIII, Ltd

Current Model WARF [1]: 3,016

Current Assumed Defaulted Amount: $45,000,000

Model WARF for November 2008 rating actions [1] [2]: 1900

Assumed Defaulted Amount (November 2008 rating actions): $34,000,000

U.S. $225,000,000 Floating Rate Class A-1 Senior Notes Due January 3, 2033, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $100,800,000 Floating Rate Class A-2 Senior Notes Due January 3, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and On review for possible downgrade

U.S. $58,700,000 Floating Rate Class B-1 Mezzanine Notes Due January 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $30,700,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due January 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $75,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due January 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities IX, Ltd.

Current Model WARF [1]: 2,057

Current Assumed Defaulted Amount: $32,140,000

Model WARF for November 2008 rating actions [1] [2]: 1566

Assumed Defaulted Amount (November 2008 rating actions): $14,500,000

U.S. $245,000,000 Floating Rate Class A-1 Senior Notes Due April 3, 2033, Downgraded to Aa3; previously on 11/12/2008 Aaa on review for possible downgrade

U.S. $42,000,000 Floating Rate Class A-2 Senior Notes Due April 3, 2033, Downgraded to Baa2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $33,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due April 3, 2033, Downgraded to Baa2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $86,000,000 Floating Rate Class B-1 Mezzanine Notes Due April 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

U.S. $16,250,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due April 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

U.S. $66,250,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due April 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

Preferred Term Securities X, Ltd.

Current Model WARF [1]: 1,878

Current Assumed Defaulted Amount: $81,500,000

Model WARF for November 2008 rating actions [1] [2]: 1696

Assumed Defaulted Amount (November 2008 rating actions): $24,500,000

U.S. $287,000,000 Floating Rate Class A 1 Senior Notes Due July 3, 2033, Downgraded to A2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $67,000,000 Floating Rate Class A 2 Senior Notes Due July 3, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $2,000,000 Fixed/Floating Rate Class A 3 Senior Notes Due July 3, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $88,000,000 Floating Rate Class B 1 Mezzanine Notes Due July 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $19,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes Due July 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $70,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes Due July 3, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities XI, Ltd.

Current Model WARF [1]: 1,724

Current Assumed Defaulted Amount: $83,250,000

Model WARF for November 2008 rating actions [1] [2]: 1867

Assumed Defaulted Amount (November 2008 rating actions): $8,000,000

U.S. $343,000,000 Floating Rate Class A 1 Senior Notes Due September 24, 2033, Downgraded to A2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $70,000,000 Floating Rate Class A 2 Senior Notes Due September 24, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $124,500,000 Floating Rate Class B 1 Mezzanine Notes Due September 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

U.S. $13,000,000 Fixed/Floating Rate Class B 2 Mezzanine Notes Due September 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

U.S. $65,500,000 Fixed/Floating Rate Class B 3 Mezzanine Notes Due September 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

Preferred Term Securities XII, Ltd.

Current Model WARF [1]: 1,489

Current Assumed Defaulted Amount: $97,000,000

Model WARF for November 2008 rating actions [1] [2]: 1688

Assumed Defaulted Amount (November 2008 rating actions): $22,000,000

U.S. $442,400,000 Floating Rate Class A-1 Senior Notes Due December 24, 2033, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $64,000,000 Floating Rate Class A-2 Senior Notes Due December 24, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $10,000,000 Fixed/Floating Rate Class A-3 Senior Notes Due December 24, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $17,000,000 Fixed/Floating Rate Class A-4 Senior Notes Due December 24, 2033, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $204,400,000 Floating Rate Class B-1 Mezzanine Notes Due December 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $20,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $37,700,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due December 24, 2033, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities XIII, LTD.

Current Model WARF [1]: 1,492

Current Assumed Defaulted Amount: $41,250,000

Model WARF for November 2008 rating actions [1] [2]: 1574

Assumed Defaulted Amount (November 2008 rating actions): $19,000,000

U.S. $276,250,000 Floating Rate Class A-1 Senior Notes Due March 24, 2034, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $27,000,000 Floating Rate Class A-2 Senior Notes Due March 24, 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $7,750,000 Fixed/Floating Rate Class A-3 Senior Notes Due March 24, 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $21,500,000 Fixed/Floating Rate Class A-4 Senior Notes Due March 24, 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $98,350,000 Floating Rate Class B-1 Mezzanine Notes Due March 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $21,450,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $44,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due March 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Preferred Term Securities XIV, Ltd.

Current Model WARF [1]: 1,559

Current Assumed Defaulted Amount: $39,000,000

Model WARF for November 2008 rating actions [1] [2]: 1126

Assumed Defaulted Amount (November 2008 rating actions): $5,000,000

U.S. $257,800,000 Floating Rate Class A-1 Senior Notes Due June 24, 2034, Downgraded to A2; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

U.S. $62,000,000 Floating Rate Class A-2 Senior Notes Due June 24, 2034, Downgraded to Ba2; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $117,000,000 Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

U.S. $10,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

U.S. $13,000,000 Fixed/Floating Rate Class B-3 Mezzanine Notes Due June 24, 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Ba3

Preferred Term Securities XV

Current Model WARF [1]: 1,540

Current Assumed Defaulted Amount: $81,750,000

U.S. $323,100,000 Class A-1 Senior Notes, Downgraded to A2; previously on 9/24/2004 Assigned Aaa

U.S. $63,400,000 Class A-2 Senior Notes, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $15,000,000 Class A-3 Senior Notes, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $114,500,000 Class B-1 Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

U.S. $22,000,000 Class B-2 Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

U.S. $36,000,000 Class B-3 Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

Preferred Term Securities XVI, Ltd.

Current Model WARF [1]: 1,590

Current Assumed Defaulted Amount: $59,080,000

U.S. $327.25 million Class A-1 Senior Notes, Downgraded to A2; previously on 12/27/2004 Assigned Aaa

U.S. $69.9 million Class A-2 Senior Notes, Downgraded to Ba2; previously on 12/27/2004 Assigned Aaa

U.S. $12 million Class A-3 Senior Notes, Downgraded to Ba2; previously on 12/27/2004 Assigned Aaa

U.S. $63.65 million Class B Mezzanine Notes, Downgraded to B3; previously on 12/27/2004 Assigned Aa2

U.S. $77.65 million Class C Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

Preferred Term Securities XVII, Ltd.

Current Model WARF [1]: 1,672

Current Assumed Defaulted Amount: 45,820,000

U.S. $270,800,000 Class A-1 Senior Notes, Downgraded to A2; previously on 3/31/2005 Assigned Aaa

U.S. $62,000,000 Class A-2 Senior Notes, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $58,400,000 Class B Mezzanine Notes, Downgraded to B3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $65,600,000 Class C Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

Preferred Term Securities XVIII, Ltd.

Current Model WARF [1]: 1,561

Current Assumed Defaulted Amount: 54,000,000

U.S. $372,100,000 Class A-1 Senior Notes, Downgraded to A2; previously on 6/28/2005 Assigned Aaa

U.S. $87,900,000 Class A-2 Senior Notes, Downgraded to Ba1; previously on 6/28/2005 Assigned Aaa

U.S. $78,800,000 Class B Mezzanine Notes, Downgraded to B2; previously on 6/28/2005 Assigned Aa2

U.S. $80,000,000 Class C Mezzanine Notes, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

Preferred Term Securities XIX, Ltd.

Current Model WARF [1]: 1,630

Current Assumed Defaulted Amount: $62,000,000

U.S. $385,300,000 Floating Rate Class A-1 Senior Notes Due 2035, Downgraded to A3; previously on 9/28/2005 Assigned Aaa

U.S. $98,100,000 Floating Rate Class A-2 Senior Notes Due 2035, Downgraded to Ba1; previously on 9/28/2005 Assigned Aaa

U.S. $87,600,000 Floating Rate Class B Mezzanine Notes Due 2035, Downgraded to B3; previously on 9/28/2005 Assigned Aa2

U.S. $82,800,000 Floating Rate Class C Mezzanine Notes Due 2035, Downgraded to Ca; previously on 7/22/2008 A2 on review for possible downgrade

Preferred Term Securities XX, Ltd.

Current Model WARF [1]: 1,899

Current Assumed Defaulted Amount: 75,000,000

U.S. $332,300,000 Floating Rate Class A-1 Senior Notes Due 2038, Downgraded to Baa1; previously on 12/22/2005 Assigned Aaa

U.S. $84,600,000 Floating Rate Class A-2 Senior Notes Due 2038, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $75,500,000 Floating Rate Class B Mezzanine Notes Due 2038, Downgraded to Caa3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $42,850,000 Floating Rate Class C Mezzanine Notes Due 2038, Downgraded to Ca; previously on 7/2/2008 A3 on review for possible downgrade

Preferred Term Securities XXI, Ltd.

Current Model WARF [1]: 1,653

Current Assumed Defaulted Amount: 130,000,000

U.S. $413,500,000 Floating Rate Class A-1 Senior Notes Due 2038, Downgraded to Baa3; previously on 3/6/2006 Assigned Aaa

U.S. $105,300,000 Floating Rate Class A-2 Senior Notes Due 2038, Downgraded to Ba3; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $46,000,000 Floating Rate Class B-1 Mezzanine Notes Due 2038, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $35,800,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due 2038, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $48,500,000 Floating Rate Class C-1 Mezzanine Notes Due 2038, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $28,350,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due 2038, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

Preferred Term Securities XXII, Ltd.

Current Model WARF [1]: 1,266

Current Assumed Defaulted Amount: 158,000,000

U.S. $762,500,000 Class A-1, Downgraded to A2; previously on 6/30/2006 Assigned Aaa

U.S. $201,800,000 Class A-2, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $65,000,000 Class B-1, Downgraded to B3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $50,000,000 Class B-2, Downgraded to B3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $30,300,000 Class B-3, Downgraded to B3; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $77,250,000 Class C-1, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

U.S. $71,650,000 Class C-2, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 on Review for possible downgrade

Preferred Term Securities XXIII, Ltd.

Current Model WARF [1]: 1,742

Current Assumed Defaulted Amount: 97,100,000

U.S. $544,000,000 Floating Rate Class A-1 Senior Notes Due December 22, 2036, Downgraded to A2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $141,000,000 Floating Rate Class A-2 Senior Notes Due December 22, 2036, Downgraded to Baa1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $33,500,000 Fixed Rate Class A-X Notes Due September 22, 2011, Downgraded to A2; previously on 9/28/2006 Assigned Aaa

U.S. $321,000,000 Floating Rate Class A-FP Senior Notes Due December 22, 2036, Downgraded to A2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $67,400,000 Floating Rate Class B-1 Mezzanine Notes Due December 22, 2036, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $31,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 22, 2036, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $57,600,000 Floating Rate Class B-FP Mezzanine Notes Due December 22, 2036, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $81,200,000 Floating Rate Class C-1 Mezzanine Notes Due December 22, 2036, Downgraded to Caa3; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $28,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22, 2036, Downgraded to Caa3; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $52,800,000 Floating Rate Class C-FP Mezzanine Notes Due December 22, 2036, Downgraded to Caa3; previously on 7/22/2008 A3 on review for possible downgrade

Preferred Term Securities XXIV, Ltd.

Current Model WARF [1]: 1,504

Current Assumed Defaulted Amount: 69,800,000

U.S. $577,800,000 Floating Rate Class A-1 Senior Notes Due March 22, 2037, Downgraded to A1; previously on 12/21/2006 Assigned Aaa

U.S. $152,800,000 Floating Rate Class A-2 Senior Notes Due March 22, 2037, Downgraded to Ba1; previously on 12/21/2006 Assigned Aaa

U.S. $85,800,000 Floating Rate Class B-1 Mezzanine Notes Due March 22, 2037, Downgraded to B2; previously on 12/21/2006 Assigned Aa2

U.S. $20,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 22, 2037, Downgraded to B2; previously on 12/21/2006 Assigned Aa2

U.S. $65,650,000 Floating Rate Class C-1 Mezzanine Notes Due March 22, 2037, Downgraded to Caa3; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $54,250,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due March 22, 2037, Downgraded to Caa3; previously on 7/22/2008 A3 on review for possible downgrade

Preferred Term Securities XXV, Ltd.

Current Model WARF [1]: 1,420

Current Assumed Defaulted Amount: 139,000,000

U.S. $482,600,000 Floating Rate Class A-1 Senior Notes Due June 22, 2037, Downgraded to Baa3; previously on 9/16/2008 Aaa on review for possible downgrade

U.S. $129,400,000 Floating Rate Class A-2 Senior Notes Due June 22, 2037, Downgraded to Ba2; previously on 9/16/2008 Aaa on review for possible downgrade

U.S. $61,400,000 Floating Rate Class B-1 Mezzanine Notes Due June 22, 2037, Downgraded to Caa2; previously on 9/16/2008 Aa2 on review for possible downgrade

U.S. $25,000,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 22, 2037, Downgraded to Caa2; previously on 9/16/2008 Aa2 on review for possible downgrade

U.S. $82,300,000 Floating Rate Class C-1 Mezzanine Notes Due June 22, 2037, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $18,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due June 22, 2037, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

Preferred Term Securities XXVI, Ltd.

Current Model WARF [1]: 1,382

Current Assumed Defaulted Amount: 83,500,000

U.S. $530,250,000 Floating Rate Class A-1 Senior Notes Due September 22, 2037, Downgraded to A1; previously on 9/16/2008 Aaa on review for possible downgrade

U.S. $140,250,000 Floating Rate Class A-2 Senior Notes Due September 22, 2037, Downgraded to Ba1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $59,900,000 Floating Rate Class B-1 Mezzanine Notes Due September 22, 2037, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $37,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due September 22, 2037, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $71,500,000 Floating Rate Class C-1 Mezzanine Notes Due September 22, 2037, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $39,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due September 22, 2037, Downgraded to Ca; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

Preferred Term Securities XXVII, Ltd.

Current Model WARF [1]: 1,718

Current Assumed Defaulted Amount: 22,500,000

U.S. $171,000,000 Floating Rate Class A-1 Senior Notes Due December 22, 2037, Downgraded to A3; previously on 9/27/2007 Assigned Aaa

U.S. $40,000,000 Floating Rate Class A-2 Senior Notes Due December 22, 2037, Downgraded to Ba1; previously on 9/27/2007 Assigned Aaa

U.S. $40,500,000 Floating Rate Class B Mezzanine Notes Due December 22, 2037, Downgraded to B3; previously on 9/27/2007 Assigned Aa2

U.S. $24,000,000 Floating Rate Class C-1 Mezzanine Notes Due December 22, 2037, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $18,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22, 2037, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

Preferred Term Securities XXVIII, Ltd.

Current Model WARF [1]: 1,614

Current Assumed Defaulted Amount: 42,000,000

U.S. $191,000,000 Floating Rate Class A-1 Senior Notes Due March 22, 2038, Downgraded to A3; previously on 11/8/2007 Assigned Aaa

U.S. $45,700,000 Floating Rate Class A-2 Senior Notes Due March 22, 2038, Downgraded to Ba1; previously on 11/8/2007 Assigned Aaa

U.S. $44,400,000 Floating Rate Class B Mezzanine Notes Due March 22, 2038, Downgraded to Caa1; previously on 11/8/2007 Assigned Aa2

U.S. $36,000,000 Floating Rate Class C-1 Mezzanine Notes Due March 22, 2038, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

U.S. $8,000,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due March 22, 2038, Downgraded to Ca; previously on 7/22/2008 A3 on review for possible downgrade

Regional Diversified Funding Ltd.

Current Model WARF [1]: 1,925

Current Assumed Defaulted Amount: 25,500,000

Model WARF for November 2008 rating actions [1] [2]: 1489

Assumed Defaulted Amount (November 2008 rating actions): 15,000,000

Fixed Rate Senior Notes Due March 15, 2030, Downgraded to Ca; previously on 11/12/2008 Downgraded to B1

Regional Diversified Funding 2004-1LTD.

Current Model WARF [1]: 2,347

Current Assumed Defaulted Amount: 66,000,000

Model WARF for November 2008 rating actions [1] [2]: 1884

Assumed Defaulted Amount (November 2008 rating actions): 47,000,000

U.S. $144,000,000 Class A-1 Floating Rate Senior Notes Due 2034, Downgraded to Baa1; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

U.S. $62,000,000 Class A-2 Floating Rate Senior Notes Due 2034, Downgraded to Ba3; previously on 11/12/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $22,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa1

U.S. $95,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa1

REGIONAL DIVERSIFIED FUNDING 2005-1 LTD.

Current Model WARF [1]: 2,244

Current Assumed Defaulted Amount: 93,200,000

U.S. $170,000,000 Class A-1a Floating Rate Senior Notes Due 2036, Downgraded to B1; previously on 8/14/2008 Downgraded to Aa1 on Review for possible downgrade

U.S. $10,000,000 Class A-1b Fixed Rate Senior Notes Due 2036, Downgraded to B1; previously on 8/14/2008 Downgraded to Aa1 on Review for possible downgrade

U.S. $70,000,000 Class A-2 Floating Rate Senior Notes Due 2036, Downgraded to B3; previously on 8/14/2008 Downgraded to Aa1 on Review for possible downgrade

U.S. $79,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

U.S. $10,000,000 Class B-2 Fixed Rate Senior Subordinate Notes Due 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba1 on Review for possible downgrade

Soloso CDO 2005-1 Ltd.

Current Model WARF [1]: 1,781

Current Assumed Defaulted Amount: 69,000,000

Model WARF for November 2008 rating actions [1] [2]: 1721

Assumed Defaulted Amount (November 2008 rating actions): 49,000,000

U.S. $170.0 million Class A-1L Floating Rate Notes Due October 2035, Downgraded to Baa3; previously on 11/12/2008 Downgraded to A2 and on review for possible downgrade

U.S. $126.0 million Class A-1LA Floating Rate Notes Due October 2035, Downgraded to Baa2; previously on 11/12/2008 Downgraded to A1 and on review for possible downgrade

U.S. $39.0 million Class A-1LB Floating Rate Notes Due October 2035, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

U.S. $45.5 million Class A-2L Deferrable Floating Rate Notes Due October 2035, Downgraded to B3; previously on 11/12/2008 Downgraded to B1

U.S. $19.0 million Class A-3A Fixed/Floating Rate Notes Due October 2035, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $19.0 million Class A-3B Fixed/Floating Rate Notes Due October 2035, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $40.0 million Class A-3L Floating Rate Notes Due October 2035, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

Soloso CDO 2007-1, Ltd.

Current Model WARF [1]: 1,613

Current Assumed Defaulted Amount: 78,250,000

U.S. $263,000,000 Class A-1LA Floating Rate Notes Due October 2037, Downgraded to Baa3; previously on 6/29/2007 Assigned Aaa

U.S. $83,000,000 Class A-1LB Floating Rate Notes Due October 2037, Downgraded to Ba2; previously on 6/29/2007 Assigned Aaa

U.S. $68,000,000 Class A-2L Deferrable Floating Rate Notes Due October 2037, Downgraded to Caa2; previously on 6/29/2007 Assigned Aa2

U.S. $40,000,000 Class A-3L Floating Rate Notes Due October 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to A3 on Review for possible downgrade

U.S. $25,000,000 Class A-3F Fixed/Floating Rate Notes Due October 2037, Downgraded to Ca; previously on 8/14/2008 Downgraded to A3 on Review for possible downgrade

TPREF FUNDING I LTD.

Current Model WARF [1]: 1,872

Current Assumed Defaulted Amount: 30,000,000

Model WARF for November 2008 rating actions [1] [2]: 1506

Assumed Defaulted Amount (November 2008 rating actions): 30,000,000

U.S. $201,000,000 Class B Floating Rate Senior Subordinate Notes due 2032, Downgraded to Caa3; previously on 11/12/2008 Downgraded to Ba3

TPREF FUNDING II Ltd.

Current Model WARF [1]: 2,566

Current Assumed Defaulted Amount: 30,000,000

Model WARF for November 2008 rating actions [1] [2]: 1672

Assumed Defaulted Amount (November 2008 rating actions): 23,000,000

Class A-1 Floating Rate Senior Notes, Confirmed at Aaa; previously on 11/12/2008 Aaa on review for possible downgrade

Class A-2 Floating Rate Senior Notes, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

Class B Floating Rate Senior Subordinate Notes, Downgraded to Caa3; previously on 11/12/2008 Downgraded to Ba3 and on review for possible downgrade

TPREF Funding III, Ltd.

Current Model WARF [1]: 2,144

Current Assumed Defaulted Amount: 27,000,000

Model WARF for November 2008 rating actions [1] [2]: 1356

Assumed Defaulted Amount (November 2008 rating actions): 26,000,000

Class A-1 Floating Rate Senior Notes, Downgraded to Aa1; previously on 11/12/2008 Aaa on review for possible downgrade

Class A-2 Floating Rate Senior Notes, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa1 and on review for possible downgrade

Class B-1 Floating Rate Senior Subordinated Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

Class B-2 Floating Rate Senior Subordinate Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to B2

Trapeza CDO I, LLC

Current Model WARF [1]: 1,649

Current Assumed Defaulted Amount: 43,479,000

Model WARF for November 2008 rating actions [1] [2]: 1490

Assumed Defaulted Amount (November 2008 rating actions): 26,000,000

U.S. $161,500,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2032, Confirmed at Aa3; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $20,000,000 Class A-2 First Priority Senior Secured Fixed Rate Notes Due 2032, Confirmed at Aa3; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $54,600,000 Class B-1 Second Priority Senior Secured Floating Rate Notes Due 2032, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Baa2 and on review for possible downgrade

U.S. $2,000,000 Class B-2 Second Priority Senior Secured Floating Rate Notes Due 2032, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Baa2 and on review for possible downgrade

U.S. $16,000,000 Class B-3 Second Priority Senior Secured Fixed Rate Notes Due 2032, Downgraded to Ba1; previously on 11/12/2008 Downgraded to Baa2 and on review for possible downgrade

Trapeza CDO II, LLC

Current Model WARF [1]: 1,931

Current Assumed Defaulted Amount: 37,631,000

Model WARF for November 2008 rating actions [1] [2]: 1601

Assumed Defaulted Amount (November 2008 rating actions): 20,330,000

U.S. $132,000,000 Class A1A First Priority Senior Secured Floating Rate Notes due 2033, Confirmed at Aaa; previously on 11/12/2008 Aaa On review for possible downgrade

U.S. $100,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes due 2033, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $27,000,000 Class B Third Priority Senior Secured Floating Rate Notes due 2033, Downgraded to Baa3; previously on 11/12/2008 Downgraded to A1 and on review for possible downgrade

Trapeza CDO III, LLC

Current Model WARF [1]: 1,748

Current Assumed Defaulted Amount: 63,170,000

Model WARF for November 2008 rating actions [1] [2]: 1918

Assumed Defaulted Amount (November 2008 rating actions): 26,670,000

U.S. $108,500,000 Class A-1A First Priority Senior Secured Floating Rate Notes, Confirmed at Aa3; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $71,500,000 Class A-1B First Priority Senior Secured Fixed Rate Notes, Downgraded to Baa3; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

U.S. $25,000,000 Class B Second Priority Senior Secured Floating Rate Notes, Downgraded to B1; previously on 11/12/2008 Downgraded to Baa3 on Review for possible downgrade

Trapeza CDO IV, LLC

Current Model WARF [1]: 1,305

Current Assumed Defaulted Amount: 82,000,000

Model WARF for November 2008 rating actions [1] [2]: 1810

Assumed Defaulted Amount (November 2008 rating actions): 24,000,000

U.S. $145,000,000 Class A1A First Priority Senior Secured Floating Rate Notes Due 2034, Confirmed at Aa3; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $95,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

U.S. $33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to B2; previously on 11/12/2008 Downgraded to Baa3 on Review for possible downgrade

Trapeza CDO V, Ltd.

Current Model WARF [1]: 1,664

Current Assumed Defaulted Amount: 62,000,000

Model WARF for November 2008 rating actions [1] [2]: 1431

Assumed Defaulted Amount (November 2008 rating actions): 36,000,000

U.S. $120,000,000 Class A1A First Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Aa3; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $50,000,000 Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A1 on Review for possible downgrade

U.S. $33,000,000 Class B Third Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to B1; previously on 11/12/2008 Downgraded to A3 on Review for possible downgrade

Trapeza CDO VI, Ltd.

Current Model WARF [1]: 1,647

Current Assumed Defaulted Amount: 48,500,000

Model WARF for November 2008 rating actions [1] [2]: 1161

Assumed Defaulted Amount (November 2008 rating actions): 38,000,000

U.S. $155,000,000 Class A-1A First Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Aa3; previously on 11/12/2008 Downgraded to Aa1 and On review for possible downgrade

U.S. $21,000,000 Class A-1B Second Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Baa1; previously on 11/12/2008 Downgraded to Aa2 on Review for possible downgrade

U.S. $59,350,000 Class A-2 Third Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Ba3; previously on 11/12/2008 Downgraded to Aa3 on Review for possible downgrade

U.S. $39,500,000 Class B-1 Fourth Priority Senior Secured Floating Rate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $56,500,000 Class B-2 Fourth Priority Secured Fixed/Floating Rate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

Trapeza CDO VII, Ltd.

Current Model WARF [1]: 1,436

Current Assumed Defaulted Amount: 64,000,000

Model WARF for November 2008 rating actions [1] [2]: 1679

Assumed Defaulted Amount (November 2008 rating actions): 19,000,000

U.S. $194,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes, Downgraded to Baa1; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $32,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes, Downgraded to Ba3; previously on 11/12/2008 Downgraded to Baa1 and on review for possible downgrade

U.S. $56,500,000 Class B-1 Third Priority Secured Floating Rate Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $37,500,000 Class B-2 Third Priority Senior Secured Fixed/Floating Rate Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

TRAPEZA EDGE CDO, LTD.

Current Model WARF [1]: 1,526

Current Assumed Defaulted Amount: 26,720,000

U.S. $194,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to A3; previously on 8/31/2005 Assigned Aaa

U.S. $26,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to Ba1; previously on 8/31/2005 Assigned Aaa

U.S. $32,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2035, Downgraded to B1; previously on 8/31/2005 Assigned Aa2

U.S. $50,500,000 Class B-1 Fourth Priority Secured Floating Rate Notes Due 2035, Downgraded to Ca; previously on 7/22/2008 A2 On review for possible downgrade

U.S. $22,500,000 Class B-2 Fourth Priority Secured Fixed Rate Notes Due 2035, Downgraded to Ca; previously on 7/22/2008 A2 On review for possible downgrade

Trapeza CDO IX, Ltd.

Current Model WARF [1]: 1,260

Current Assumed Defaulted Amount: 18,000,000

U.S. $162,000,000 Class A-1, Downgraded to A1; previously on 1/18/2006 Assigned Aaa

U.S. $27,000,000 Class A-2, Downgraded to Baa3; previously on 1/18/2006 Assigned Aaa

U.S. $23,000,000 Class A-3, Downgraded to Ba3; previously on 1/18/2006 Assigned Aa2

U.S. $23,000,000 Class B-1, Downgraded to Caa3; previously on 7/22/2008 A3 On review for possible downgrade

U.S. $10,000,000 Class B-2, Downgraded to Caa3; previously on 7/22/2008 A3 On review for possible downgrade

U.S. $25,000,000 Class B-3, Downgraded to Caa3; previously on 7/22/2008 A3 On review for possible downgrade

Trapeza CDO X, Ltd.

Current Model WARF [1]: 2,133

Current Assumed Defaulted Amount: 130,548,000

U.S. $268,000,000 Class A-1, Downgraded to Ba3; previously on 7/22/2008 Aa1 on review for possible downgrade

U.S. $69,000,000 Class A-2, Downgraded to B3; previously on 7/22/2008 Aa2 on review for possible downgrade

U.S. $31,000,000 Class B, Downgraded to Ca; previously on 7/22/2008 Baa3 on review for possible downgrade

U.S. $21,000,000 Class C-1, Downgraded to Ca; previously on 7/22/2008 Caa1 on review for possible downgrade

U.S. $35,000,000 Class C-2, Downgraded to Ca; previously on 7/22/2008 Caa1 on review for possible downgrade

Trapeza CDO XI, Ltd.

Current Model WARF [1]: 2,310

Current Assumed Defaulted Amount: 132,250,000

U.S. $281,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Ba3; previously on 11/30/2006 Assigned Aaa

U.S. $53,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Caa1; previously on 8/14/2008 Downgraded to Aa1 on Review for possible downgrade

U.S. $20,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2041, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Aa1 on Review for possible downgrade

U.S. $25,000,000 Class B Fourth Priority Secured Deferrable Floating Rate Notes Due 2041, Downgraded to Ca; previously on 8/14/2008 Downgraded to A2 on Review for possible downgrade

U.S. $33,000,000 Class C Fifth Priority Secured Deferrable Floating Rate Notes Due 2041, Downgraded to C; previously on 8/14/2008 Downgraded to Baa3 on Review for possible downgrade

Trapeza CDO XII, Ltd.

Current Model WARF [1]: 1,824

Current Assumed Defaulted Amount: 39,750,000

U.S. $250,000,000 Class A-1 First Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to A3; previously on 3/27/2007 Assigned Aaa

U.S. $68,000,000 Class A-2 Second Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to Ba1; previously on 3/27/2007 Assigned Aaa

U.S. $19,000,000 Class A-3 Third Priority Senior Secured Floating Rate Notes Due 2042, Downgraded to B1; previously on 3/27/2007 Assigned Aaa

U.S. $49,000,000 Class B Fourth Priority Secured Deferrable Floating Rate Notes Due 2042, Downgraded to Caa3; previously on 3/27/2007 Assigned Aa2

U.S. $38,000,000 Class C-1 Fifth Priority Secured Deferrable Floating Rate Notes Due 2042, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 and on review for possible downgrade

U.S. $9,000,000 Class C-2 Fifth Priority Secured Deferrable Fixed/Floating Rate Notes Due 2042, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa1 and on review for possible downgrade

Trapeza CDO XIII, Ltd.

Current Model WARF [1]: 1,640

Current Assumed Defaulted Amount: 46,500,000

U.S. $375,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2042, Downgraded to A1; previously on 8/29/2007 Assigned Aaa

U.S. $97,000,000 Class A-2a Senior Secured Floating Rate Notes Due 2042, Downgraded to Baa2; previously on 8/29/2007 Assigned Aaa

U.S. $5,000,000 Class A-2b Senior Secured Fixed/Floating Rate Notes Due 2042, Downgraded to Baa2; previously on 8/29/2007 Assigned Aaa

U.S. $21,000,000 Class A-3 Senior Secured Floating Rate Notes Due 2042, Downgraded to Ba1; previously on 8/14/2008 Aaa On review for possible downgrade

U.S. $65,000,000 Class B Secured Deferrable Floating Rate Notes Due 2042, Downgraded to B3; previously on 8/14/2008 Aa2 On review for possible downgrade

U.S. $58,000,000 Class C-1 Secured Deferrable Floating Rate Notes Due 2042, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Baa1 and on review for possible downgrade

U.S. $5,000,000 Class C-2 Secured Deferrable Fixed/Floating Rate Notes Due 2042, Downgraded to Caa3; previously on 8/14/2008 Downgraded to Baa1 and on review for possible downgrade

Tropic CDO I Ltd.

Current Model WARF [1]: 2,506

Current Assumed Defaulted Amount: 53,500,000

U.S. $45,000,000 Class A-1L Floating Rate Notes Due October 2033, Downgraded to A3; previously on 5/2/2003 Assigned Aaa

U.S. 90,000,000 Class A-2L Floating Rate Notes Due October 2033, Downgraded to Ba3; previously on 9/16/2008 Aaa on review for possible downgrade

U.S. $42,000,000 Class A-3L Floating Rate Notes Due October 2033, Downgraded to B3; previously on 9/16/2008 Aa1 on review for possible downgrade

U.S. $32,000,000 Class A-4 Fixed/Floating Rate Notes Due October 2033, Downgraded to Caa3; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $48,000,000 Class A-4L Floating Rate Notes Due October 2033, Downgraded to Caa3; previously on 9/16/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $25,000,000 Class B-1L Floating Rate Notes Due October 2033, Downgraded to Ca; previously on 9/16/2008 Downgraded to Ba2 on Review for possible downgrade

Tropic CDO II, LTD

Current Model WARF [1]: 1,899

Current Assumed Defaulted Amount: 81,000,000

Model WARF for November 2008 rating actions [1] [2]: 1658

Assumed Defaulted Amount (November 2008 rating actions): 46,500,000

U.S. $145,000,000 Class A-1L Floating Rate Notes Due April 2034, Downgraded to A2; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. 50,000,000 Class A-2L Floating Rate Notes Due April 2034, Downgraded to Ba2; previously on 11/12/2008 Downgraded to A2 on Review for possible downgrade

U.S. $35,000,000 Class A-3L Floating Rate Notes Due April 2034, Downgraded to B3; previously on 11/12/2008 Downgraded to Baa3 on Review for possible downgrade

U.S. $30,000,000 Class A-4 Fixed/Floating Rate Notes Due April 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $38,000,000 Class A-4L Floating Rate Notes Due April 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $15,000,000 Class B-1L Floating Rate Notes Due April 2034, Downgraded to C; previously on 11/12/2008 Downgraded to Ca

Tropic CDO III LTD

Current Model WARF [1]: 1,619

Current Assumed Defaulted Amount: 56,500,000

Model WARF for November 2008 rating actions [1] [2]: 2034

Assumed Defaulted Amount (November 2008 rating actions): 20,500,000

U.S. $158,000,000 Class A-1L Floating Rate Notes Due 2034, Downgraded to A2; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. 45,000,000 Class A-2L Floating Rate Notes Due 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A1 and on review for possible downgrade

U.S. $31,000,000 Class A-3L Floating Rate Notes Due 2034, Downgraded to B2; previously on 11/12/2008 Downgraded to Ba2

U.S. $40,500,000 Class A-4A Fixed/Floating Rate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $19,500,000 Class A-4L Floating Rate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $20,000,000 Class A-4B Fixed/Floating Rate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

Tropic CDO IV LTD.

Current Model WARF [1]: 1,835

Current Assumed Defaulted Amount: 56,500,000

Model WARF for November 2008 rating actions [1] [2]: 1795

Assumed Defaulted Amount (November 2008 rating actions): 26,500,000

U.S. $160,000,000 Class A-1L Floating Rate Notes Due April 2035, Downgraded to A3; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $40,000,000 Class A-2L Floating Rate Notes Due April 2035, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A2 and on review for possible downgrade

U.S. $37,500,000 Class A-3L Deferrable Floating Rate Notes Due April 2035, Downgraded to B3; previously on 11/12/2008 Downgraded to Baa3 and on review for possible downgrade

U.S. $35,000,000 Class A-4 Fixed/Floating Rate Notes Due April 2035, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $26,000,000 Class A-4L Floating Rate Notes Due April 2035, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $20,000,000 Class B-1L Floating Rate Notes Due April 2035, Downgraded to C; previously on 11/12/2008 Downgraded to Ca

Tropic CDO V

Current Model WARF [1]: 2,067

Current Assumed Defaulted Amount: 185,500,000

U.S. $220,000,000 Class A-1L1 Floating Rate Notes Due July 2036, Downgraded to Ba1; previously on 8/31/2006 Assigned Aaa

U.S. $220,000,000 Class A-1L2 Floating Rate Notes Due July 2036, Downgraded to Ba2; previously on 8/31/2006 Assigned Aaa

U.S. $94,000,000 Class A-1LB Floating Rate Notes Due July 2036, Downgraded to B1; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $51,000,000 Class A-2L Deferrable Floating Rate Notes Due July 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Aa2 on Review for possible downgrade

U.S. $62,000,000 Class A-3L Floating Rate Notes Due July 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $45,000,000 Class A-3F Fixed/Floating Rate Notes Due July 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Baa2 on Review for possible downgrade

U.S. $50,000,000 Class B-1L Floating Rate Notes Due July 2036, Downgraded to Ca; previously on 8/14/2008 Downgraded to Ba3 on Review for possible downgrade

U.S. $8,000,000 Class B-2L Floating Rate Notes Due July 2036, Downgraded to C; previously on 8/14/2008 Downgraded to Caa3 on Review for possible downgrade

US Capital Funding I LTD

Current Model WARF [1]: 1,166

Current Assumed Defaulted Amount: 9,000,000

Model WARF for November 2008 rating actions [1] [2]: 1003

Assumed Defaulted Amount (November 2008 rating actions): 9,000,000

U.S. $100,000,000 Class A-1 Floating Rate Senior Notes Due 2034, Confirmed at Aa2; previously on 11/12/2008 Downgraded to Aa2 and on review for possible downgrade

U.S. $24,000,000 Class A-2 Floating Rate Senior Notes Due 2034, Downgraded to Baa2; previously on 11/12/2008 Downgraded to A2 on Review for possible downgrade

US Capital Funding II LTD

Current Model WARF [1]: 1,397

Current Assumed Defaulted Amount: 32,000,000

Model WARF for November 2008 rating actions [1] [2]: 1032

Assumed Defaulted Amount (November 2008 rating actions): 9,500,000

U.S. $171,000,000 Class A-1 Floating Rate Senior Notes Due 2034, Downgraded to A1; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $33,500,000 Class A-2 Floating Rate Senior Notes Due 2034, Downgraded to Ba1; previously on 11/12/2008 Downgraded to A2 and on review for possible downgrade

U.S. $70,000,000 Class B-1 Floating Rate Senior Subordinate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

U.S. $40,000,000 Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034, Downgraded to Ca; previously on 11/12/2008 Downgraded to B3

US Capital Funding III, Ltd.

Current Model WARF [1]: 1,155

Current Assumed Defaulted Amount: 30,000,000

Model WARF for November 2008 rating actions [1] [2]: 924

Assumed Defaulted Amount (November 2008 rating actions): 22,000,000

U.S. $111,000,000 Class A-1 Notes, Confirmed at Aa3; previously on 11/12/2008 Downgraded to Aa3 and on review for possible downgrade

U.S. $23,000,000 Class A-2 Notes, Downgraded to Baa2; previously on 11/12/2008 Downgraded to A3 and on review for possible downgrade

U.S. $39,100,000 Class B-1 Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa1

U.S. $48,000,000 Class B-2 Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa1

U.S. CAPITAL FUNDING IV, LTD.

Current Model WARF [1]: 1,502

Current Assumed Defaulted Amount: 68,600,991

Model WARF for November 2008 rating actions [1] [2]: 1313

Assumed Defaulted Amount (November 2008 rating actions): 62,400,991

U.S. $200,000,000 Class A-1 Notes, Downgraded to Baa3; previously on 11/12/2008 Downgraded to A2 on Review for possible downgrade

U.S. $14,000,000 Class A-2 Notes, Downgraded to Ba3; previously on 11/12/2008 Downgraded to Baa3 on Review for possible downgrade

U.S. $92,250,000 Class B-1 Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. $12,500,000 Class B-2 Notes, Downgraded to Ca; previously on 11/12/2008 Downgraded to Caa3

U.S. CAPITAL FUNDING V, LTD.

Current Model WARF [1]: 2,608

Current Assumed Defaulted Amount: 45,500,000

U.S. $193,000,000 Class A-1 Floating Rate Senior Notes Due 2040, Downgraded to Ba1; previously on 10/30/2006 Assigned Aaa

U.S. $30,000,000 Class A-2 Floating Rate Senior Notes Due 2040, Downgraded to Ba3; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $42,000,000 Class A-3 Floating Rate Senior Notes Due 2040, Downgraded to B2; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $48,000,000 Class B-1 Deferrable Floating Rate Senior Subordinate Notes Due 2040, Downgraded to Caa3; previously on 7/2/2008 A3 on review for possible downgrade

U.S. $10,000,000 Class B-2 Deferrable Fixed/Floating Rate Senior Subordinate Notes Due 2040, Downgraded to Caa3; previously on 7/2/2008 A3 on review for possible downgrade

U.S. Capital Funding VI, Ltd.

Current Model WARF [1]: 2,738

Current Assumed Defaulted Amount: 98,100,000

U.S. $375,000,000 Class A-1 Floating Rate Senior Notes Due 2043, Downgraded to Ba2; previously on 8/14/2008 Aaa on review for possible downgrade

U.S. $60,000,000 Class A-2 Floating Rate Senior Notes Due 2043, Downgraded to B1; previously on 8/14/2008 Aa2 on review for possible downgrade

U.S. $80,000,000 Class B-1 Deferrable Floating Rate Senior Subordinate Notes Due 2043, Downgraded to Caa3; previously on 7/2/2008 A3 on review for possible downgrade

U.S. $32,000,000 Class B-2 Deferrable Fixed/Floating Rate Senior Subordinate Notes Due 2043, Downgraded to Caa3; previously on 7/2/2008 A3 On review for possible downgrade

___________________________________________________________________________________________

[1] - excluding all assumed defaults, but including the 1.25 stress.

[2] - Moody's is updating the December 10, 2008 press release on TRUP CDOs which published additional information from the November 12, 2008 TRUPS CDO rating actions ("November Rating Actions"). This update is a result of a data processing issue in the Model. The Model requires annualization of financial statements prior to calculating an expected default frequency ("EDF"). The preferred methodology is to annualize financial statements by summing the most recent four quarterly statements. Due to a data processing issue, the financials for Q2 2008 were doubled to produce annualized statements rather than the preferred rolling-four-quarters methodology. The EDFs have been updated using the rolling-four-quarters methodology and will result in updated WARF and assumed defaulted par amounts from the December 10, 2008 press release. The restatement of the WARF and assumed defaulted par amount from the December 10, 2008 press release did not result in any change to the November Rating Actions.

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

Moody's downgrades TRUP CDOs exposed to US banks and insurance companies
No Related Data.
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