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Rating Action:

Moody's downgrades three combination notes exposed to TRUP CDOs

18 Nov 2010

Approximately USD 12.9 million of debt securities affected

New York, November 18, 2010 -- Moody's Investors Service announced today that it has downgraded three combination note securities whose underlying components are significantly linked to bank and insurance trust preferred CDO ("TRUP CDO") tranches.

Issuer: PreTSL Combination Certificates

U.S. $7,715,000 Combination Certificates, Series P XVIII-3 (current rated balance of $5,363,151), Downgraded to Ca (sf); previously on April 28, 2009 Downgraded to Caa3 (sf);

Issuer: PreTSL Combination Trust I

U.S. $10,000,000 Combination Certificates , Series P XX-2 (current rated balance of $7,129,425), Downgraded to Aa2 (sf); previously on April 28, 2009 Downgraded to Aa1 (sf);

Issuer: PreTSL Combination

U.S. $500,000 Combination Certificates, Series P XXII-1 (current rated balance if $406,438), Downgraded to Aa2 (sf); previously on April 28, 2009 Downgraded to Aa1 (sf).

RATINGS RATIONALE

PreTSL Combination Certificates Series P XVIII-3, Series P XX-2, and Series PXXII-1 are combination note securities whose ratings are based primarily on the credit quality of their respective underlying components and the legal structure of the transaction.

Today's rating actions are a reflection of the change in the ratings of the underlying securities backing the combination notes. PreTSL U.S. $7,715,000 Combination Certificates, Series P XVIII-3, issued on July 19, 2006, is composed of the Class B Mezzanine Notes and Subordinate Income Notes issued by Preferred Term Securities XVIII, Ltd. As of the last rating action on January 14, 2010, the Class B Mezzanine Notes were downgraded to the current rating of Caa3 (sf).

PreTSL U.S. $10,000,000 Combination Certificates , Series P XX-2, issued on December 15, 2005, is composed of Class A-1 Notes, Income notes, both issued by Preferred Term Securities XX, Ltd., and a treasury strip. As of the last rating action on June 24, 2010, the Class A Notes were downgraded to the current rating of Ba2 (sf).

PreTSL U.S. $500,000 Combination Certificates, Series P XXII-1, issued on June 15, 2006, is composed of Class A-1 Senior Notes, Subordinate Income Notes, both issued by Preferred Term Securities XXII, Ltd., and a treasury strip. As of the last rating action on January 14, 2010, the Class A-1 Notes were downgraded to the current rating of Baa1 (sf).

The transaction portfolios collateralizing the underlying tranches issued by Preferred Term Securities XVIII, Ltd., Preferred Term Securities XX, Ltd., and Preferred Term Securities XXII, Ltd. are mainly composed of trust preferred securities issued by small to medium sized U.S. community banks and insurance companies that are generally not publicly rated by Moody's. Additionally, the portfolio for Preferred Term Securities XX, Ltd. has a small portion of REIT and ABS CDO securities. To evaluate the assets' 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.

In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers as well the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision.

The principal methodologies used in these ratings were "Using the Structured Note Methodology to Rate CDO Combo-Notes" published in February 2004, "Moody's Approach to Rating U.S. Bank Trust Preferred Security CDOs" published in June 2010, "Moody's Approach to Rating Insurance Trust Preferred Security CDOs" published in June 2010, and "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009.

Due to the impact of revised and updated key assumptions referenced in these rating methodologies, key model inputs used by Moody's in its analysis, such as par, weighted average rating factor, Moody's Asset Correlation, and weighted average recovery rate, may be different from the trustee's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook".

The transaction's underlying portfolio was modeled, according to our rating approach, using CDOROM v.2.6 to develop the loss distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model. CDOROM v.2.6 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement.

Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, public information, confidential and proprietary Moody's Investors Service information, and confidential and proprietary Moody's Analytics information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

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.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Karen Gollins
Associate Analyst
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 Investors Service
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New York, NY 10007
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Moody's downgrades three combination notes exposed to TRUP CDOs
No Related Data.
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​
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