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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.
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