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Rating Action:

Moody's downgrades the ratings of 12 TRUP CDOs

24 Jun 2010

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
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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

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

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

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