info

Yes No
Moodys.com
Terms of Use
REGULATORY AFFAIRS
CAREERS
DIVERSITY & INCLUSION
.
ABOUT US
.
CONTACT US
HOME
Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Can't read?
Try a new set
Send Cancel
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
OK
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
OK
Already a customer?
LOG IN
Don't want to see this again?
REGISTER
OR
Accept our Terms of Use to continue to Moodys.com:

PLEASE READ AND SCROLL DOWN!

 

By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

 

Terms of One-Time Website Use

 

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

 

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

 

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

 

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​

I AGREE
Announcement:

Moody's publishes additional information on TRUP CDOs

10 Dec 2008
Moody's publishes additional information on TRUP CDOs

New York, December 10, 2008 -- Moody's is providing additional information from the November 12, 2008 press release on TRUP CDOs (Rating Action). The additional information, shown in the table below, includes the modeled weighted average rating factor (WARF) (including the 1.25 stress) and the assumed defaulted par for each of the 44 TRUP CDOs using the approach described in the Rating Action.

Moody's methodology for bank TRUP CDOs is summarized below. This methodology is the same approach used in the Rating Action.

Moody's approach to calculating the default probability used 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. 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 (implied default probability rating of Caa2). Moody's used the second quarter 2008 financials when calculating the First Ratio and Second Ratio. Generally, the First Ratio and Second Ratio were used to identify banks more likely to defer payments on their trust preferred securities or default.

For all other banks in TRUP CDOs without a public rating from Moody's, when calculating the default probability, Moody's used the quantitative V3.1 Risk Calc Model for private banks with the credit cycle adjustment (the "Model"). To account for potential model error 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. Finally, 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. Moody's used the second quarter 2008 financials in the Model.

For correlation purposes, Moody's continued to assume five regions for U.S. banks, but no longer making a distinction between banks and thrifts. Also, Moody's increased the assumed inter-asset correlation, which is correlation between bank regions, to 10%. The assumed intra-asset correlation, which is correlation within bank regions, remained at 45%. The update to the default probability assumptions was a much larger driver to these rating actions than the correlation update.

Moody's continued to assume a 10% recovery for bank trust preferred securities in its cash flow analysis which represents the likelihood that some banks that defer interest payments may ultimately pay cumulative interest without defaulting. For any bank TRUP issuer currently deferring interest, Moody's assumed that issuer was defaulted with a zero recovery. Moody's also continued to use the correlated binomial to analyze TRUP CDOs. Other than the assumptions noted above, these actions used the approach outlined in Moody's Approach to Rating U.S. Bank Trust Preferred Security CDOs, April 14, 2004.

TRUP CDO: ALESCO Preferred Funding I, Ltd.

WARF*: 1194

Assumed Defaulted Par Amount: $37,500,000

TRUP CDO: ALESCO Preferred Funding II, Ltd.

WARF*: 889

Assumed Defaulted Par Amount: $40,000,000

TRUP CDO: ALESCO Preferred Funding III, LTD.

WARF*: 1333

Assumed Defaulted Par Amount: $25,000,000

TRUP CDO: ALESCO Preferred Funding IV, Ltd.

WARF*: 1740

Assumed Defaulted Par Amount: $28,000,000

TRUP CDO: MM Community Funding Ltd.

WARF*: 1520

Assumed Defaulted Par Amount: $21,000,000

TRUP CDO: MM Community Funding II, Ltd.

WARF*: 392

Assumed Defaulted Par Amount: $28,000,000

TRUP CDO: MM COMMUNITY FUNDING III, LTD.

WARF*: 711

Assumed Defaulted Par Amount: $10,000,000

TRUP CDO: MM Community Funding IX, Ltd.

WARF*: 1608

Assumed Defaulted Par Amount: $9,250,000

TRUP CDO: MMCAPS Funding I, Ltd.

WARF*: 761

Assumed Defaulted Par Amount: $25,000,000

TRUP CDO: MMCAPS Funding XIX, Ltd.

WARF*: 1549

Assumed Defaulted Par Amount: $13,500,000

TRUP CDO: MMCAPS Funding XVIII, Ltd.

WARF*: 1590

Assumed Defaulted Par Amount: $17,500,000

TRUP CDO: Preferred Term Securities I, Ltd.

WARF*: 1070

Assumed Defaulted Par Amount: $36,000,000

TRUP CDO: Preferred Term Securities II, Ltd

WARF*: 1141

Assumed Defaulted Par Amount: $41,000,000

TRUP CDO: Preferred Term Securities IV, Ltd.

WARF*: 1969

Assumed Defaulted Par Amount: $12,000,000

TRUP CDO: Preferred Term Securities V, Ltd.

WARF*: 999

Assumed Defaulted Par Amount: $0

TRUP CDO: Preferred Term Securities VI, Ltd.

WARF*: 3002

Assumed Defaulted Par Amount: $0

TRUP CDO: Preferred Term Securities VII

WARF*: 2373

Assumed Defaulted Par Amount: $49,000,000

TRUP CDO: Preferred Term Securites VIII, Ltd

WARF*: 1967

Assumed Defaulted Par Amount: $30,000,000

TRUP CDO: Preferred Term Securities IX, Ltd.

WARF*: 1428

Assumed Defaulted Par Amount: $10,000,000

TRUP CDO: Preferred Term Securities X, Ltd.

WARF*: 1696

Assumed Defaulted Par Amount: $24,500,000

TRUP CDO: Preferred Term Securities XI, Ltd.

WARF*: 1615

Assumed Defaulted Par Amount: $8,000,000

TRUP CDO: Preferred Term Securities XII, Ltd.

WARF*: 1632

Assumed Defaulted Par Amount: $16,000,000

TRUP CDO: Preferred Term Securities XIII, LTD.

WARF*: 1483

Assumed Defaulted Par Amount: $14,000,000

TRUP CDO: Preferred Term Securities XIV, Ltd.

WARF*: 974

Assumed Defaulted Par Amount: $5,000,000

TRUP CDO: Regional Diversified Funding 2004-1LTD.

WARF*: 1761

Assumed Defaulted Par Amount: $35,000,000

TRUP CDO: Regional Diversified Funding Ltd.

WARF*: 1373

Assumed Defaulted Par Amount: $10,000,000

TRUP CDO: Soloso CDO 2005-1 Ltd.

WARF*: 1732

Assumed Defaulted Par Amount: $39,000,000

TRUP CDO: TPREF FUNDING I LTD.

WARF*: 1429

Assumed Defaulted Par Amount: $30,000,000

TRUP CDO: TPREF FUNDING II Ltd.

WARF*: 1624

Assumed Defaulted Par Amount: $19,000,000

TRUP CDO: TPREF Funding III, Ltd.

WARF*: 1245

Assumed Defaulted Par Amount: $26,000,000

TRUP CDO: Trapeza CDO I, LLC

WARF*: 1668

Assumed Defaulted Par Amount: $26,000,000

TRUP CDO: Trapeza CDO II, LLC

WARF*: 1591

Assumed Defaulted Par Amount: $22,330,000

TRUP CDO: Trapeza CDO III, LLC

WARF*: 1814

Assumed Defaulted Par Amount: $30,670,000

TRUP CDO: Trapeza CDO IV, LLC

WARF*: 1667

Assumed Defaulted Par Amount: $36,000,000

TRUP CDO: Trapeza CDO V, Ltd.

WARF*: 1345

Assumed Defaulted Par Amount: $36,000,000

TRUP CDO: Trapeza CDO VI, Ltd.

WARF*: 1113

Assumed Defaulted Par Amount: $33,000,000

TRUP CDO: Trapeza CDO VII, Ltd.

WARF*: 1730

Assumed Defaulted Par Amount: $0

TRUP CDO: Tropic CDO II, LTD

WARF*: 1742

Assumed Defaulted Par Amount: $36,000,000

TRUP CDO: Tropic CDO III LTD

WARF*: 1908

Assumed Defaulted Par Amount: $20,500,000

TRUP CDO: Tropic CDO IV LTD.

WARF*: 1635

Assumed Defaulted Par Amount: $16,500,000

TRUP CDO: US Capital Funding I LTD

WARF*: 1014

Assumed Defaulted Par Amount: $9,000,000

TRUP CDO: US Capital Funding II LTD

WARF*: 1083

Assumed Defaulted Par Amount: $9,500,000

TRUP CDO: US Capital Funding III, Ltd.

WARF*: 833

Assumed Defaulted Par Amount: $22,000,000

TRUP CDO: US CAPITAL FUNDING IV, LTD.

WARF*: 1294

Assumed Defaulted Par Amount: $57,400,991

* (Including the 1.25 Stress)

For more information please see www.moodys.com.

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

No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. 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 or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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.

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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

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

​
Moodys.com