Moody's downgrades and places on review TRUP CDOs exposed to US banks
157 tranches affected across 44 Trust Preferred CDOs
New York, August 14, 2008 -- Moody's has downgraded 77 tranches, all of which remain on
review for further possible downgrade, across 25 Trust Preferred
(TRUP) CDOs. Moody's also placed on Review for Possible Downgrade
an additional 80 tranches in TRUP CDOs, including 50 Aaa tranches
and 30 Aa rated tranches.
The downgrades are prompted by the exposure of these TRUP CDOs to trust
preferred securities issued by five banks taken over by their regulators
in recent months. This rating action reflects Moody's assumption
that that there will be zero recovery on the trust preferred securities
issued by these banks. In addition, Moody's assumes recoveries
will be low on some of the other trust preferred securities currently
deferring coupon payments in the collateral pools backing these securitizations.
While historically many banks that have deferred payment on trust preferred
securities have ultimately resumed payment, Moody's expects
many banks deferring in the current environment are unlikely to become
current again.
The initiation of the additional review for possible downgrades reflects
a general concern that the risk of deferrals is increasing for bank issuers
of trust preferred securities. The specific TRUP CDO tranches placed
on review for downgrade were selected because: (1) at least 3%
of their collateral pools were deferring coupons and (2) preliminary testing
revealed their ratings could be affected by a modest increase in the pool-wide
default probability assumption used for trust preferred securities that
are currently performing.
Moody's review will focus on the implications of adjustments that may
be necessary in pool-wide default probability and asset correlation
assumptions to reflect the current environment. In addition,
Moody's will seek to identify which securitization may have unusually
high concentration exposures to banks in regions in which real estate
prices have depreciated the most. In light of these revised assumptions,
Moody's anticipates further pressure on TRUP CDO ratings,
especially the mezzanine and subordinated tranches.
Since March of 2000, Moody's has rated 103 trust preferred
(TRUP) CDOs, representing close to $55 billion, backed
by small and medium sized US bank, insurance, and REIT issuers.
Seventy percent of these TRUP CDOs are backed by US banks.
Issuer: ALESCO Preferred Funding I, Ltd.
Class Description: U.S.$66,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2033
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding II, Ltd.
Class Description: Class A-2 Second Priority Senior Secured
Floating Rate Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class B-1 Mezzanine Secured Floating Rate
Notes
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Class Description: Class B-2 Mezzanine Secured Fixed/Floating
Rate Notes
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Issuer: ALESCO PREFERRED FUNDING III, LTD.
Class Description: Class A-2 Second Priority Senior Secured
Floating Rate Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding IV, Ltd.
Class Description: Class A-2 Second Priority Senior Secured
Floating Rate Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class A-3 Second Priority Senior Secured
Fixed/Floating Rate Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding VI, Ltd.
Class Description: Class A-2 Second Priority Senior Secured
Floating Rate Notes Due 2035
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class A-3 Second Priority Senior Secured
Fixed/Floating Rate Notes Due 2035
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class B-1 Deferrable Third Priority Secured
Floating Rate Notes Due 2035
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class B-2 Deferrable Third Priority Secured
Fixed/Floating Rate Notes Due 2035
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class C-1 Deferrable Mezzanine Secured
Floating Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-4 Deferrable Mezzanine Secured
Fixed Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class D-1 Deferrable Subordinate Secured
Floating Rate Notes Due 2035
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Ba2, Review for Possible Downgrade
Class Description: Class D-2 Deferrable Subordinate Secured
Fixed/Floating Rate Notes Due 2035
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Ba2, Review for Possible Downgrade
Issuer: Alesco Preferred Funding VII, Ltd.
Class Description: U.S.$70,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2035
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$35,000,000
Class B Third Priority Secured Floating Rate Notes Due 2035
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$123,500,000
Class C-1 Deferrable Mezzanine Secured Floating Rate Notes Due
2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Class C-2 Deferrable Mezzanine Fixed/Floating Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$5,000,000
Class C-3 Deferrable Mezzanine Secured Fixed/Floating Rate Notes
Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$5,500,000
Class C-4 Deferrable Mezzanine Secured Fixed/Floating Rate Notes
Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class C-5 Deferrable Mezzanine Secured Fixed Rate Notes Due 2035
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Issuer: ALESCO PREFERRED FUNDING VIII, LTD.
Class Description: Class A-2 Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class B-1 Notes
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class B-2 Notes
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class C-1 Note
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-2 Notes
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-3 Notes
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class D-1 Notes
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: Class D-2 Notes
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: Class E Notes-1
Prior Rating: Baa3, Review for Possible Downgrade
Current Rating: Ba3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding IX, Ltd.
Class Description: U.S.$59,000,000
Class A-2A Second Priority Senior Secured Floating Rate Notes Due
2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$3,000,000
Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes
Due 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$51,000,000
Class B-1 Deferrable Third Priority Secured Floating Rate Notes
Due 2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$7,000,000
Class B-2 Deferrable Third Priority Secured Fixed/Floating Rate
Notes Due 2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$54,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Class Description: U.S.$48,500,000
Class C-2 Deferrable Fourth Priority Mezzanine Fixed/Floating Rate
Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Class Description: U.S.$12,500,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Class Description: U.S.$7,000,000
Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Alesco Preferred Funding X, Ltd.
Class Description: U.S.$119,500,000
Class A-2A Second Priority Senior Secured Floating Rate Notes Due
2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class A-2B Second Priority Senior Secured Fixed/Floating Rate Notes
Due 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$82,000,000
Class B Deferrable Third Priority Secured Floating Rate Notes Due 2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$99,800,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$67,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XI, Ltd.
Class Description: U.S.$95,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
December 23, 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$55,000,000
Class B Deferrable Third Priority Secured Floating Rate Notes due December
23, 2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$40,500,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes due December 23, 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$12,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes due December 23, 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$50,500,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed Rate
Notes due December 23, 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XII, Ltd.
Class Description: U.S.$370,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$87,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$70,000,000
Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$60,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa2 Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XIII, Ltd.
Class Description: U.S.$55,200,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$80,000,000
Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XIV, Ltd.
Class Description: U.S.$80,500,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$50,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: U.S.$32,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: U.S.$21,000,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Issuer: Alesco Preferred Funding XV, LTD.
Class Description: U.S. $78,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
December 2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $35,000,000
Class B-1 Deferrable Third Priority Secured Floating Rate Notes
due December 2037
Prior Rating: Aa2, Review for Possible Downgrade
Current Rating: Aa3, Review for Possible Downgrade
Class Description: U.S. $35,000,000
Class B-2 Deferrable Third Priority Secured Monthly Pay Floating
Rate Notes due December 2037
Prior Rating: Aa2, Review for Possible Downgrade
Current Rating: Aa3, Review for Possible Downgrade
Class Description: U.S. $75,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes due December 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: U.S. $7,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes due December 2037
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding® XVI, Ltd.
Class Description: U.S. $349,000,000
Class A First Priority Senior Secured Floating Rate Notes Due 2038
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $20,000,000
Class B Deferrable Second Priority Secured Fixed/Floating Rate Notes Due
2038
Prior Rating: Aa2
Current Rating: Aa3, Review for Possible Downgrade
Class Description: U.S. $85,250,000
Class C Deferrable Third Priority Mezzanine Secured Floating Rate Notes
Due 2038
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba2, Review for Possible Downgrade
Issuer: MMCAPS Funding I, Ltd.
Class Description: U.S. $191,500,000
Fixed Rate Senior Notes, due 6/15/31
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: MMCapS Funding XIX, Ltd.
Class Description: U.S. $26,000,000
Class A-2 Floating Rate Senior Notes Due 2038
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $32,000,000
Class B Floating Rate Senior Notes Due 2038
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: Preferred Term Securities, Ltd.
Class Description: U.S. $201,050,000
Fixed Rate Senior Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: Preferred Term Securities II, Ltd
Class Description: U.S. $227,750,000
Floating Rate Senior Notes, due 3/1/31
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $93,000,000
Fixed Rate Mezzanine Notes, due 3/1/31
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Preferred Term Securities VIII, Ltd.
Class Description: U.S.$100,800,000
Floating Rate Class A-2 Senior Notes Due January 3, 2033,
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: Preferred Term Securities XV
Class Description: Class A-2 Senior Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class A-3 Senior Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: Preferred Term Securities XVII, Ltd.
Class Description: Class A-2 Senior Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class B Mezzanine Notes
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: Preferred Term Securities XX, Ltd.
Class Description: U.S. $84,600,000
Floating Rate Class A-2 Senior Notes Due 2038
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $75,500,000
Floating Rate Class B Mezzanine Notes Due 2038
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: Preferred Term Securities XXI, Ltd.
Class Description: U.S. $105,300,000
Floating Rate Class A-2 Senior Notes Due 2038
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $46,000,000
Floating Rate Class B-1 Mezzanine Notes Due 2038
Prior Rating: Aa2
Current Rating: Aa3, Review for Possible Downgrade
Class Description: U.S. $35,800,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due 2038
Prior Rating: Aa2
Current Rating: Aa3, Review for Possible Downgrade
Class Description: U.S. $48,500,000
Floating Rate Class C-1 Mezzanine Notes Due 2038
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: U.S. $28,350,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due 2038
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Issuer: Preferred Term Securities XXII, Ltd.
Class Description: Class A-2
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class B-1
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class B-2
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class B-3
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: Class C-1
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: Class C-2
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Issuer: Preferred Term Securities XXIII, Ltd.
Class Description: U.S.$544,000,000
Floating Rate Class A-1 Senior Notes Due December 22, 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$141,000,000
Floating Rate Class A-2 Senior Notes Due December 22, 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$321,000,000
Floating Rate Class A-FP Senior Notes Due December 22, 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$67,400,000
Floating Rate Class B-1 Mezzanine Notes Due December 22,
2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$31,000,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 22,
2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$57,600,000
Floating Rate Class B-FP Mezzanine Notes Due December 22,
2036
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: Preferred Term Securities XXVI, Ltd.
Class Description: U.S. $140,250,000
Floating Rate Class A-2 Senior Notes Due September 22, 2037
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $59,900,000
Floating Rate Class B-1 Mezzanine Notes Due September 22,
2037
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S. $37,500,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due September 22,
2037
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: Regional Diversified Funding 2004-1LTD.
Class Description: U.S. $62,000,000
Class A-2 Floating Rate Senior Notes Due 2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: REGIONAL DIVERSIFIED FUNDING 2005-1 LTD.
Class Description: U.S. $170,000,000
Class A-1a Floating Rate Senior Notes Due 2036
Prior Rating: Aaa, Review for Possible Downgrade
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S. $10,000,000
Class A-1b Fixed Rate Senior Notes Due 2036
Prior Rating: Aaa, Review for Possible Downgrade
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S. $70,000,000
Class A-2 Floating Rate Senior Notes Due 2036
Prior Rating: Aaa, Review for Possible Downgrade
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S. $79,000,000
Class B-1 Floating Rate Senior Subordinate Notes Due 2036
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Class Description: U.S. $10,000,000
Class B-2 Fixed Rate Senior Subordinate Notes Due 2036
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Ba1, Review for Possible Downgrade
Issuer: Soloso CDO 2005-1 Ltd.
Class Description: Class A-1LB Floating Rate Notes Due October
2035
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class A-2L Deferrable Floating Rate Notes
Due October 2035
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Issuer: Soloso CDO 2007-1 Ltd.
Class Description: U.S. $40,000,000
Class A-3L Floating Rate Notes Due October 2037
Prior Rating: A2, Review for Possible Downgrade
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $25,000,000
Class A-3F Fixed/Floating Rate Notes Due October 2037
Prior Rating: A2, Review for Possible Downgrade
Current Rating: A3, Review for Possible Downgrade
Issuer: Trapeza CDO III, LLC
Class Description: U.S. $71,500,000
Class A-1B First Priority Senior Secured Fixed Rate Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $25,000,000
Class B Second Priority Senior Secured Floating Rate Notes
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Issuer: Trapeza CDO IV, LLC
Class Description: U.S.$95,000,000
Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$33,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2034
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S.$14,000,000
Class D Mezzanine Secured Floating Rate Notes Due 2034
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Trapeza CDO V, Ltd.
Class Description: U.S.$50,000,000
Class A1B Second Priority Senior Secured Floating Rate Notes Due 2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$33,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2034
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S.$25,000,000
Class C-1 Fourth Priority Senior Secured Floating Rate Notes Due
2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Class Description: U.S.$41,000,000
Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Class D Mezzanine Secured Floating Rate Notes Due 2034
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Ba3, Review for Possible Downgrade
Issuer: Trapeza CDO VI, Ltd.
Class Description: U.S.$21,000,000
Class A-1B Second Priority Senior Secured Floating Rate Notes Due
2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$59,350,000
Class A-2 Third Priority Senior Secured Floating Rate Notes Due
2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$39,500,000
Class B-1 Fourth Priority Senior Secured Floating Rate Notes Due
2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S.$56,500,000
Class B-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa1, Review for Possible Downgrade
Issuer: Trapeza CDO XI, Ltd.
Class Description: U.S.$53,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2041
Prior Rating: Aaa, Review for Possible Downgrade
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S.$20,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2041
Prior Rating: Aaa, Review for Possible Downgrade
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S.$25,000,000
Class B Fourth Priority Secured Deferrable Floating Rate Notes Due 2041
Prior Rating: Aa2, Review for Possible Downgrade
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$33,000,000
Class C Fifth Priority Secured Deferrable Floating Rate Notes Due 2041
Prior Rating: A2, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Trapeza CDO XII, Ltd.
Class Description: U.S. $38,000,000
Class C-1 Fifth Priority Secured Deferrable Floating Rate Notes
Due 2042
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S. $9,000,000
Class C-2 Fifth Priority Secured Deferrable Fixed/Floating Rate
Notes Due 2042
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Issuer: Trapeza CDO XIII, Ltd.
Class Description: U.S. $21,000,000
Class A-3 Senior Secured Floating Rate Notes Due 2042
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $65,000,000
Class B Secured Deferrable Floating Rate Notes Due 2042
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S. $58,000,000
Class C-1 Secured Deferrable Floating Rate Notes Due 2042
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Class Description: U.S. $5,000,000
Class C-2 Secured Deferrable Fixed/Floating Rate Notes Due 2042
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Issuer: Tropic CDO II, LTD
Class Description: U.S. 50,000,000 Class
A-2L Floating Rate Notes Due April 2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $35,000,000
Class A-3L Floating Rate Notes Due April 2034
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S. $38,000,000
Class A-4L Floating Rate Notes Due April 2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $30,000,000
Class A-4 Fixed/Floating Rate Notes Due April 2034
Prior Rating: A2, Review for Possible Downgrade
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $15,000,000
Class B-1L Floating Rate Notes Due April 2034
Prior Rating: Baa2, Review for Possible Downgrade
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Tropic CDO V Ltd.
Class Description: U.S. $94,000,000
Class A-1LB Floating Rate Notes Due July 2036
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $51,000,000
Class A-2L Deferrable Floating Rate Notes Due July 2036
Prior Rating: Aa1, Review for Possible Downgrade
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S. $62,000,000
Class A-3L Floating Rate Notes Due July 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Class Description: U.S. $45,000,000
Class A-3F Fixed/Floating Rate Notes Due July 2036
Prior Rating: A3, Review for Possible Downgrade
Current Rating: Baa2, Review for Possible Downgrade
Class Description: U.S. $50,000,000
Class B-1L Floating Rate Notes Due July 2036
Prior Rating: Baa3, Review for Possible Downgrade
Current Rating: Ba3, Review for Possible Downgrade
Class Description: U.S. $8,000,000
Class B-2L Floating Rate Notes Due July 2036
Prior Rating: Ba2, Review for Possible Downgrade
Current Rating: Caa3, Review for Possible Downgrade
Issuer: US Capital Funding I LTD
Class Description: $24,000,000 Class A-2
Floating Rate Senior Notes Due 2034
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: $45,000,000 Class B-1
Floating Rate Senior Subordinate Notes Due 2034
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Class Description: $24,000,000 Class B-2
Fixed/Floating Rate Senior Subordinate Notes Due 2034
Prior Rating: A3
Current Rating: Baa1, Review for Possible Downgrade
Issuer: U.S. CAPITAL FUNDING IV, LTD.
Class Description: Class A-1 Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: Class A-2 Notes
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: U.S. Capital Funding V, Ltd.
Class Description: U.S.$30,000,000
Class A-2 Floating Rate Senior Notes Due 2040
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S.$42,000,000
Class A-3 Floating Rate Senior Notes Due 2040
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Issuer: U.S. Capital Funding VI, Ltd.
Class Description: U.S. $375,000,000
Class A-1 Floating Rate Senior Notes Due 2043
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $60,000,000
Class A-2 Floating Rate Senior Notes Due 2043
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
New York
Rodrigo Araya
Senior Vice President
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
