Approximately US$5.3 billion debt affected
New York, June 24, 2010 -- Moody's Investors Service announced today that it has downgraded
the ratings of notes from 12 TRUP CDO transactions: Alesco Preferred
Funding VII, Ltd., Alesco Preferred Funding VIII,
Ltd., Alesco Preferred Funding XI, Ltd.,
Alesco Preferred Funding XIV, Ltd., Alesco Preferred
Funding XV, Ltd., Preferred Term Securities VII,
Ltd., Preferred Term Securities X, Ltd.,
Preferred Term Securities XIV, Ltd., Preferred Term
Securities XX, Ltd., Preferred Term Securities XXV,
Ltd., Trapeza CDO I, LLC, and Trapeza CDO IX,
Ltd.
According to Moody's, the rating actions taken on the notes
are mainly the result of significant increase in the actual and assumed
defaults and deferrals of the trust preferred securities held in their
portfolios. This par loss has resulted in loss of overcollateralization
for the tranches affected and an increase of their expected losses.
For the majority of these transactions, the last rating actions
occurred in March 2009. Since then, the assumed defaulted
amounts have increased significantly, with a large portion of transactions
experiencing an increase of the assumed defaulted amount of more than
100%.
Moody's also gave consideration to the Event of Default analysis
for Trapeza CDO I, LLC. Although Trapeza CDO I, LLC
has not declared an Event of Default to date, Moody's notes
the current Class A/B Overcollateralization level is 102.026%.
The transaction would declare an Event of Default if this level falls
below 100%. Since this transaction is close to triggering
an Event of Default, additional modeling scenarios were considered
in this case assuming that acceleration has been declared.
The assumed defaulted amounts and model WARF are provided for each transaction
in the text below. The credit deterioration exhibited by these
portfolios is a reflection of the continued pressure in the banking sector
as the number of bank failures and interest deferrals of trust preferred
securities issued by banks has continued to increase. According
to FDIC data, 83 U.S. banks have failed to date this
year, while 140 banks failed in 2009, as compared to 25 in
all of 2008. In Moody's opinion, the banking sector
outlook remains negative.
The portfolios of these CDOs are mainly composed of trust preferred securities
issued by small to medium sized U.S. community bank and
insurance companies that are generally not publicly rated by Moody's.
To evaluate their credit quality, Moody's derives credit scores
for these non-publicly rated assets and evaluates the sensitivity
of the rated transactions to their volatility, as described in Moody's
Rating Methodology "Updated Approach to the usage of Credit Estimates
in rated Transactions", October 2009. The effect of
the stress testing of these credit scores varies between 1 and 3 notches,
especially for more concentrated pools.
The deal performance information and rating action data are listed as
follows:
Alesco Preferred Funding VII, Ltd.
Issued in 4/2005 and maturing on 7/2035
Current Model WARF[1]: 1744
Current Assumed Defaulted Amount: $177,856,000
Model WARF for March 2009 rating actions[2]: 1350
Assumed Defaulted Amount for March 2009 rating actions: $109,300,000
U.S.$177,000,000 Class A-1-B
First Priority Senior Secured Floating Rate Notes Due 2035 Notes (current
balance of $163,077,128.41), Downgraded
to Baa3; previously on March 27, 2009 Downgraded to A3;
U.S.$70,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2035 Notes (current balance
of $153,535,381.52), Downgraded to Ba3;
previously on March 27, 2009 Downgraded to Ba1.
ALESCO PREFERRED FUNDING VIII, LTD.
Issued in 8/2005 and maturing on 12/2035
Current Model WARF: 1395
Current Assumed Defaulted Amount: $231,569,000
Model WARF for March 2009 rating actions: 1618
Assumed Defaulted Amount for March 2009 rating actions: $115,500,000
U.S.$110,000,000 Class A-1A Notes
(current balance of $102,693,269.09),
Downgraded to Baa2; previously on March 27, 2009 Downgraded
to A3;
U.S.$255,000,000 Class A-1B Notes
(current balance of $238,061,669.25),
Downgraded to Baa2; previously on March 27, 2009 Downgraded
to A3;
U.S.$70,000,000 Class A-2 Notes,
Downgraded to Ba2; previously on March 27, 2009 Downgraded
to Ba1;
U.S.$50,000,000 Class B-1 Notes
(current balance of $50,450,518.26), Downgraded
to Ca; previously on March 27, 2009 Downgraded to Caa1;
U.S.$5,000,000 Class B-2 Notes
(current balance of $5,204,167.59), Downgraded
to Ca; previously on March 27, 2009 Downgraded to Caa1;
U.S.$78,500,000 Class C-1 Notes
(current balance of $79,537,143.45), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$7,500,000 Class C-2 Notes
(current balance of $7,826,893.80), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$12,000,000 Class C-3 Notes
(current balance of $12,540,909.71), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$18,000,000 Class D-1 Notes
(current balance of $18,375,862.33), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$4,500,000 Class D-2 Notes
(current balance of $4,737,683.57), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$14,500,000 Class E Notes (current
balance of $14,858,589.65) Downgraded to C;
previously on March 27, 2009 Downgraded to Ca.
Alesco Preferred Funding XI, Ltd.
Issued in 6/2006 and maturing on 12/2036
Current Model WARF: 1981
Current Assumed Defaulted Amount: $157,248,000
Model WARF for March 2009 rating actions: 1623
Assumed Defaulted Amount for March 2009 rating actions: $72,600,000
U.S. $174,000,000 Class A-1A First
Priority Senior Secured Floating Rate Notes due December 23, 2036
(current balance of $158,404,644), Downgraded
to Baa2; previously on March 27, 2009 Downgraded to A3;
U.S. $176,000,000 Class A-1B First
Priority Delayed Draw Senior Secured Floating Rate Notes due December
23, 2036 (current balance of $160,225,387),
Downgraded to Baa2; previously on March 27, 2009 Downgraded
to A3;
U.S. $95,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due December 23, 2036,
Downgraded to Ba3; previously on March 27, 2009 Downgraded
to Ba3;
U.S. $55,000,000 Class B Deferrable Third
Priority Secured Floating Rate Notes due December 23, 2036 (current
balance of $55,798,640), Downgraded to Ca;
previously on March 27, 2009 Downgraded to Caa1;
U.S. $40,500,000 Class C-1 Deferrable
Fourth Priority Mezzanine Secured Floating Rate Notes due December 23,
2036 (current balance of $41,461,725), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S. $12,000,000 Class C-2 Deferrable
Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due December
23, 2036 (current balance of $13,129,128),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca;
U.S. $50,500,000 Class C-3 Deferrable
Fourth Priority Mezzanine Secured Fixed Rate Notes due December 23,
2036 (current balance of $55,306,360), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S.$27,000,000 Combination Notes Due
2036, Downgraded to C; previously on April 28, 2009 Downgraded
to Ca.
Alesco Preferred Funding XIV, Ltd.
Issued in 12/2006 and maturing on 9/2037
Current Model WARF: 1699
Current Assumed Defaulted Amount: $282,700,000
Model WARF for March 2009 rating actions: 1842
Assumed Defaulted Amount for March 2009 rating actions: $113,700,000
U.S. $12,000,000 Class X First Priority
Senior Secured Floating Rate Notes Due 2016, Downgraded to Baa3;
previously on March 27, 2009 Downgraded to A3;
U.S. $430,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2037 (current balance
of $408,872,608.63), Downgraded to Baa3;
previously on March 27, 2009 Downgraded to A3;
U.S. $80,500,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2037, Downgraded
to Ba3; previously on March 27, 2009 Downgraded to Ba1;
U.S. $103,000,000 Class B Deferrable
Third Priority Secured Floating Rate Notes Due 2037 (current balance of
$104,308,170.18), Downgraded to Ca;
previously on March 27, 2009 Downgraded to Caa1;
U.S. $50,000,000 Class C-1 Deferrable
Fourth Priority Mezzanine Secured Floating Rate Notes Due 2037 (current
balance of $50,942,790.43), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S. $32,000,000 Class C-2 Deferrable
Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037 (current
balance of $34,022,229.48), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S. $21,000,000 Class C-3 Deferrable
Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes Due 2037 (current
balance of $22,346,663.36), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca.
ALESCO Preferred Funding XV, Ltd.
Issued in 3/2007 and maturing on 12/2037
Current Model WARF: 1989
Current Assumed Defaulted Amount: $245,100,000
Model WARF for March 2009 rating actions: 1911
Assumed Defaulted Amount for March 2009 rating actions: $83,000,000
U.S. $362,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes due December 2037 (current
balance of $352,111,703.10), Downgraded
to Ba2; previously on March 27, 2009 Downgraded to A3;
U.S. $78,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due December 2037, Downgraded
to Caa2; previously on March 27, 2009 Downgraded to Ba2;
U.S. $35,000,000 Class B-1 Deferrable
Third Priority Secured Floating Rate Notes due December 2037 (current
balance of $35,399,046.84), Downgraded
to Ca; previously on March 27, 2009 Downgraded to Caa2;
U.S. $35,000,000 Class B-2 Deferrable
Third Priority Secured Monthly Pay Floating Rate Notes due December 2037
(current balance of $35,253,616.92), Downgraded
to Ca; previously on March 27, 2009 Downgraded to Caa2;
U.S. $75,000,000 Class C-1 Deferrable
Fourth Priority Mezzanine Secured Floating Rate Notes due December 2037
(current balance of $76,337,100.81), Downgraded
to C; previously on March 27, 2009 Downgraded to Ca;
U.S. $7,000,000 Class C-2 Deferrable
Fourth Priority Mezzanine Secured Fixed/Floating Rate Notes due December
2037 (current balance of $7,432,912.51),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca.
Preferred Term Securities VII
Issued in 9/2002 and maturing on 10/2032
Current Model WARF: 980
Current Assumed Defaulted Amount: $154,000,000
Model WARF for March 2009 rating actions: 2037
Assumed Defaulted Amount for March 2009 rating actions: $79,000,000
U.S.$120,000,000 Floating Rate Class
A-2 Senior Notes Due October 3, 2032 Notes (current balance
of $32,831,405.53), Downgraded to A2;
previously on March 27, 2009 Downgraded to Aa2.
Preferred Term Securities X, Ltd.
Issued in 6/2003 and maturing on 7/2033
Current Model WARF: 1446
Current Assumed Defaulted Amount: $220,595,000
Model WARF for March 2009 rating actions: 1878
Assumed Defaulted Amount for March 2009 rating actions: $81,500,000
U.S. $287,000,000 Floating Rate Class
A1 Senior Notes Due July 3, 2033 (current balance of $224,503,426.61),
Downgraded to Baa3; previously on March 27, 2009 Downgraded
to A2;
U.S. $67,000,000 Floating Rate Class
A2 Senior Notes Due July 3, 2033, Downgraded to Ba3;
previously on March 27, 2009 Downgraded to Ba1;
U.S. $2,000,000 Fixed/Floating Rate Class
A3 Senior Notes Due July 3, 2033, Downgraded to Ba3;
previously on March 27, 2009 Downgraded to Ba1;
U.S. $88,000,000 Floating Rate Class
B1 Mezzanine Notes Due July 3, 2033 (current balance of $89,667,870.88),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca;
U.S. $19,000,000 Fixed/Floating Rate
Class B2 Mezzanine Notes Due July 3, 2033, (current balance
of $19,360,108.48), Downgraded to C;
previously on March 27, 2009 Downgraded to Ca;
U.S. $70,500,000 Fixed/Floating Rate
Class B3 Mezzanine Notes Due July 3, 2033, (current balance
of $71,836,192.00), Downgraded to C;
previously on March 27, 2009 Downgraded to Ca.
Preferred Term Securities XIV, Ltd.
Issued in 6/2004 and maturing on 6/2034
Current Model WARF: 1596
Current Assumed Defaulted Amount: $126,500,000
Model WARF for March 2009 rating actions: 1559
Assumed Defaulted Amount for March 2009 rating actions: $39,000,000
U.S. $257,800,000 Floating Rate Class
A-1 Senior Notes Due June 24, 2034 (current balance $241,771,349.55),
Downgraded to Baa1; previously on March 27, 2009 Downgraded
to A2.
Preferred Term Securities XX, Ltd.
Issued in 12/2005 and maturing on 3/2038
Current Model WARF: 1822
Current Assumed Defaulted Amount: $163,000,000
Model WARF for March 2009 rating actions: 1899
Assumed Defaulted Amount for March 2009 rating actions: $75,000,000
U.S. $332,300,000 Floating Rate Class
A-1 Senior Notes Due 2038 (current balance of $309,149,566),
Downgraded to Ba2; previously on March 27, 2009 Downgraded
to Baa1;
U.S. $84,600,000 Floating Rate Class
A-2 Senior Notes Due 2038 (current balance of $82,399,336),
Downgraded to B2; previously on March 27, 2009 Downgraded to
Ba2;
U.S. $75,500,000 Floating Rate Class
B Mezzanine Notes Due 2038 (current balance of $74,120,524),
Downgraded to C; previously on March 27, 2009 Downgraded to
Caa3;
U.S. $42,850,000 Floating Rate Class
C Mezzanine Notes Due 2038 (current balance of $43,223,530),
Downgraded to C; previously on March 27, 2009 Downgraded to
Ca.
Preferred Term Securities XXV, Ltd.
Issued in 3/2006 and maturing on 6/2037
Current Model WARF: 1552
Current Assumed Defaulted Amount: $325,600,000
Model WARF for March 2009 rating actions: 1420
Assumed Defaulted Amount for March 2009 rating actions: $139,000,000
U.S. $482,600,000 Floating Rate Class
A-1 Senior Notes Due June 22, 2037 (current balance of 459,516,575),
Downgraded to Ba3; previously on March 27, 2009 Downgraded
to Baa3;
U.S. $129,400,000 Floating Rate Class
A-2 Senior Notes Due June 22, 2037 (current balance of $127,091,526),
Downgraded to B3; previously on March 27, 2009 Downgraded to
Ba2;
U.S. $61,400,000 Floating Rate Class
B-1 Mezzanine Notes Due June 22, 2037 (current balance of
$61,379,205), Downgraded to C; previously
on March 27, 2009 Downgraded to Caa2;
U.S. $25,000,000 Fixed/Floating Rate
Class B-2 Mezzanine Notes Due June 22, 2037 (current balance
of $26,239,760), Downgraded to C; previously
on March 27, 2009 Downgraded to Caa2;
U.S. $82,300,000 Floating Rate Class
C-1 Mezzanine Notes Due June 22, 2037 (current balance of
$83,880,472), Downgraded to C; previously
on March 27, 2009 Downgraded to Ca;
U.S. $18,500,000 Fixed/Floating Rate
Class C-2 Mezzanine Notes Due June 22, 2037 (current balance
of $19,892,698), Downgraded to C; previously
on March 27, 2009 Downgraded to Ca.
Trapeza CDO I, LLC
Issued in 11/2002 and maturing on 11/2032
Current Model WARF: 1144
Current Assumed Defaulted Amount: $75,479,000
Model WARF for March 2009 rating actions: 1649
Assumed Defaulted Amount for March 2009 rating actions: $43,479,000
U.S.$161,500,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2032 Notes (current balance
of $23,668,780.87), Downgraded to Baa1;
previously on March 27, 2009 Confirmed at Aa3;
U.S.$20,000,000 Class A-2 First
Priority Senior Secured Fixed Rate Notes Due 2032 Notes (current balance
of $2,931,118.36), Downgraded to Baa1;
previously on March 27, 2009 Confirmed at Aa3;
U.S.$54,600,000 Class B-1 Second
Priority Senior Secured Floating Rate Notes Due 2032 Notes, Downgraded
to B3; previously on March 27, 2009 Downgraded to Ba1;
U.S.$2,000,000 Class B-2 Second
Priority Senior Secured Floating Rate Notes Due 2032 Notes, Downgraded
to B3; previously on March 27, 2009 Downgraded to Ba1;
U.S.$16,000,000 Class B-3 Second
Priority Senior Secured Fixed Rate Notes Due 2032 Notes, Downgraded
to B3; previously on March 27, 2009 Downgraded to Ba1;
U.S.$29,600,000 Class C-1 Third
Priority Secured Floating Rate Notes Due 2032 Notes (current balance of
$30,721,594.87), Downgraded to C;
previously on November 12, 2008 Downgraded to Ca;
U.S.$10,000,000 Class C-2 Third
Priority Secured Fixed Rate Notes Due 2032 Notes (current balance of $10,656,845.17),
Downgraded to C; previously on November 12, 2008 Downgraded
to Ca;
U.S.$16,500,000 Class D Mezzanine Secured
Floating Rate Notes Due 2032 Notes (current balance of $14,802,859.27),
Downgraded to C; previously on November 12, 2008 Downgraded
to Ca.
Trapeza CDO IX, Ltd.
Issued in 1/2006 and maturing on 1/2040
Current Model WARF: 2034
Current Assumed Defaulted Amount: $32,500,000
Model WARF for March 2009 rating actions: 1260
Assumed Defaulted Amount for March 2009 rating actions: $18,000,000
U.S. $162,000,000 Class A-1 (current
balance of $158,571,777), Downgraded to Baa1;
previously on March 27, 2009 Downgraded to A1;
U.S. $27,000,000 Class A-2,
Downgraded to Ba2; previously on March 27, 2009 Downgraded
to Baa3;
U.S. $23,000,000 Class A-3,
Downgraded to B1; previously on March 27, 2009 Downgraded to
Ba3;
U.S. $23,000,000 Class B-1 (current
balance of $23,095,918), Downgraded to Ca;
previously on March 27, 2009 Downgraded to Caa3;
U.S. $10,000,000 Class B-2 (current
balance of $10,041,703), Downgraded to Ca;
previously on March 27, 2009 Downgraded to Caa3;
U.S. $25,000,000 Class B-3 (current
balance of $25,385,000), Downgraded to Ca;
previously on March 27, 2009 Downgraded to Caa3.
The principal methodologies used in rating and monitoring these transactions
are described in the following publications, which can also be found
at www.moodys.com in the Rating Methodologies sub-directory
under the Research & Ratings tab:
Moody's Approach to Rating U.S. Bank Trust Preferred Security
CDOs, June 2010.
Moody's Approach to Rating Insurance Trust Preferred Security CDOs,
June 2010.
Updated Approach to the Usage of Credit Estimates in Rated Transactions,
October 2009.
Other methodologies and factors that may have been considered in the process
of rating these issuers can also be found in the Rating Methodologies
sub-directory on Moody's website. In addition, Moody's
publishes a weekly summary of structured finance credit, ratings
and methodologies, available to all registered users of our website,
at www.moodys.com/SFQuickCheck.
[1] The model WARF assumes a 25% WARF stress and credit estimate
stress for all transactions.
[2]The model WARF for all previous rating actions of these deals
includes a 25% WARF stress but no credit estimate stresses for
all transactions.
New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Rodrigo Araya
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades the ratings of 12 TRUP CDOs
