Moody's puts TRUP CDOs exposed to US banks on downgrade review
182 tranches affected across 72 Trust Preferred CDOs
New York, July 22, 2008 -- Moody's has placed under review 182 tranches across 72 Trust Preferred
(TRUP) CDOs. The review was prompted by the substantial increase
in the number of banks that are deferring on their TRUP coupon payments.
Moody's notes that currently there are 31 banks deferring payments
which represent 4% of the underlying collateral held in TRUP CDOs.
In addition three of the 31 banks that are deferring payment have gone
into receivership. Although banks that are deferring payments can
defer such payments for a period of up to five years without being considered
a default, each TRUP CDO treats deferring banks as defaulted securities
for enhancement level test purposes. While historically most banks
that deferred payment in these TRUP CDOs have come back to pay current,
Moody's expects that in the current environment more banks deferring
payments may eventually default. Furthermore in the current environment,
Moody's anticipates the future number of banks deferring payments
could increase in these TRUP CDOs. Moody's will continue
to monitor the potential increase of banks deferring payments as well
as the default rate of the banks.
A tranche was placed on review if it met one or both of the following
criteria:
1.) The subordination level of a rated TRUP CDO tranche is less
than two times the current par amount of bank deferrals in the TRUP CDO;
or.
2.) The subordination level of a rated TRUP CDO tranche is less
than the sum of a) par amount of TRUPS currently deferring, b) the
par amount of TRUPS issued by banks that Moody's believes are likely to
defer, c) TRUPs issued by Real Estate Investment Trusts and d) bonds
or loans issued by homebuilders.
In addition, all rated tranches of Regional Diversified Funding
2005-1 Ltd. were being placed on review for possible downgrade
due to its substantial exposure, through resecuritization,
to TRUP CDO tranches that are themselves under review for possible downgrade
or may experience credit deterioration in the future.
Moody's is in the process of evaluating the risk of deferral by
the banks represented in these TRUP CDOs by examining their key financial
ratios and other sources of information. Moody's review will
also consider the extent that a TRUP CDO has concentrated exposure to
banks in areas in which real estate prices have corrected the most.
Since March of 2000, Moody's has rated 103 trust preferred
(TRUP) CDOs, representing close to $55 billion, backed
by small and medium sized US bank, insurance, and REIT issuers.
Seventy percent of these TRUP CDOs are backed by US banks.
Issuer: ALESCO Preferred Funding I, Ltd.
Class Description: U.S.$56,700,000
Class B-1 Mezzanine Secured Floating Rate Notes Due 2033,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$45,000,000
Class B-2 Mezzanine Secured Fixed/Floating Rate Notes Due 2033,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding II, Ltd.
Class Description: Class B-1 Mezzanine Secured Floating Rate
Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class B-2 Mezzanine Secured Fixed/Floating
Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: ALESCO PREFERRED FUNDING III, LTD.
Class Description: Class B-1 Mezzanine Secured Floating Rate
Notes,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: Class B-2 Mezzanine Secured Fixed/Floating
Rate Notes,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding IV, Ltd.
Class Description: Class B-1 Mezzanine Secured Floating Rate
Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class B-2 Mezzanine Secured Fixed/Floating
Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class B-3 Mezzanine Secured Fixed/Floating
Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding V, Ltd.
Class Description: Class C-1 Deferrable Mezzanine Secured
Floating Rate Notes Due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class D Deferrable Subordinate Secured Floating
Rate Notes Due 2034,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding VI, Ltd.
Class Description: Class C-1 Deferrable Mezzanine Secured
Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-2 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-3 Deferrable Mezzanine Secured
Fixed/Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-4 Deferrable Mezzanine Secured
Fixed Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class D-1 Deferrable Subordinate Secured
Floating Rate Notes Due 2035,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Class Description: Class D-2 Deferrable Subordinate Secured
Fixed/Floating Rate Notes Due 2035,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Alesco Preferred Funding VII, Ltd.
Class Description: U.S.$123,500,000
Class C-1 Deferrable Mezzanine Secured Floating Rate Notes Due
2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Class C-2 Deferrable Mezzanine Secured Fixed/Floating Rate Notes
Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$5,000,000
Class C-3 Deferrable Mezzanine Secured Fixed/Floating Rate Notes
Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$5,500,000
Class C-4 Deferrable Mezzanine Secured Fixed/Floating Rate Notes
Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class C-5 Deferrable Mezzanine Secured Fixed Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: ALESCO PREFERRED FUNDING VIII, LTD.
Class Description: Class C-1 Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-2 Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class C-3 Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class D-1 Notes,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Class Description: Class D-2 Notes,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Class Description: Class E Notes-1,
Prior Rating: Baa3
Current Rating: Baa3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding IX, Ltd.
Class Description: U.S.$54,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$48,500,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$12,500,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$7,000,000
Class C-4 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Alesco Preferred Funding X, Ltd.
Class Description: U.S.$99,800,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$67,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XI, Ltd.
Class Description: U.S.$40,500,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes due December 23, 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$12,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes due December 23, 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$50,500,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed Rate
Notes due December 23, 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XII, Ltd.
Class Description: U.S.$60,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XIII, Ltd.
Class Description: U.S.$27,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$33,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding XIV, Ltd.
Class Description: U.S.$103,000,000
Class B Deferrable Third Priority Secured Floating Rate Notes Due 2037,
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$50,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$32,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$21,000,000
Class C-3 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes Due 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Alesco Preferred Funding XV, LTD.
Class Description: U.S. $35,000,000
Class B-1 Deferrable Third Priority Secured Floating Rate Notes
due December 2037,
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S. $35,000,000
Class B-2 Deferrable Third Priority Secured Monthly Pay Floating
Rate Notes due December 2037,
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S. $75,000,000
Class C-1 Deferrable Fourth Priority Mezzanine Secured Floating
Rate Notes due December 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $7,000,000
Class C-2 Deferrable Fourth Priority Mezzanine Secured Fixed/Floating
Rate Notes due December 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: ALESCO Preferred Funding® XVI, Ltd.
Class Description: U.S. $85,250,000
Class C Deferrable Third Priority Mezzanine Secured Floating Rate Notes
Due 2038,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: I-Preferred Term Securities IV, Ltd.
Class Description: U.S. $6,200,000
Floating Rate Class D Subordinate Notes Due June 24, 2034,
Prior Rating: Ba2
Current Rating: Ba2, Review for Possible Downgrade
Issuer: MM Community Funding Ltd.
Class Description: Class B Floating Rate Senior Notes Due 2031,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: MM Community Funding IX, Ltd.
Class Description: U.S. $50,000,000
Class B-1 Floating Rate Senior Subordinate Notes due 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $60,000,000
Class B-2 Fixed/Floating Rate Senior Subordinate Notes due 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: MMCAPS Funding I, Ltd.
Class Description: U.S. $77,000,000
Fixed Rate Mezzanine Notes, due 6/15/31,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: MMCAPS Funding XVII, Ltd.
Class Description: U.S.$35,475,000
Class C-1 Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$35,475,000
Class C-2 Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: MMCapS Funding XVIII, Ltd.
Class Description: U.S.$55,900,000
Class C-1 Floating Rate Deferrable Interest Notes Due 2039,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$12,000,000
Class C-2 Fixed/Floating Rate Deferrable Interest Notes Due 2039,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$4,000,000
Class C-3 Fixed Rate Deferrable Interest Notes Due 2039,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: MMCapS Funding XIX, Ltd.
Class Description: U.S. $79,000,000
Class C Floating Rate Senior Subordinate Notes Due 2038,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities, Ltd.
Class Description: U.S. $90,000,000
Fixed Rate Mezzanine Notes,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Preferred Term Securities II, Ltd
Class Description: U.S. $93,000,000
Fixed Rate Mezzanine Notes, due 3/1/31,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Preferred Term Securities VII
Class Description: U.S. 177,900,000 Floating
Rate Mezzanine Notes Due October 3, 2032,
Prior Rating: A1
Current Rating: A1, Review for Possible Downgrade
Issuer: Preferred Term Securities VIII, Ltd
Class Description: U.S. $58,700,000
Floating Rate Class B-1 Mezzanine Notes Due January 3, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $30,700,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due January 3,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $75,000,000
Fixed/Floating Rate Class B-3 Mezzanine Notes Due January 3,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities IX, Ltd.
Class Description: U.S.$86,000,000
Floating Rate Class B-1 Mezzanine Notes Due April 3, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$16,250,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due April 3,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$66,250,000
Fixed/Floating Rate Class B-3 Mezzanine Notes Due April 3,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities X, Ltd.
Class Description: U.S.$88,000,000
Floating Rate Class B 1 Mezzanine Notes Due July 3, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$19,000,000
Fixed/Floating Rate Class B 2 Mezzanine Notes Due July 3, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$70,500,000
Fixed/Floating Rate Class B 3 Mezzanine Notes Due July 3, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XI, Ltd.
Class Description: U.S.$124,500,000
Floating Rate Class B 1 Mezzanine Notes Due September 24, 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Fixed/Floating Rate Class B 2 Mezzanine Notes Due September 24,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$65,500,000
Fixed/Floating Rate Class B 3 Mezzanine Notes Due September 24,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XII, Ltd.
Class Description: U.S.$204,400,000
Floating Rate Class B-1 Mezzanine Notes Due December 24,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$20,500,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due December 24,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$37,700,000
Fixed/Floating Rate Class B-3 Mezzanine Notes Due December 24,
2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XIII, LTD.
Class Description: U.S.$98,350,000
Floating Rate Class B-1 Mezzanine Notes Due March 24, 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $21,450,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due March 24,
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$44,000,000
Fixed/Floating Rate Class B-3 Mezzanine Notes Due March 24,
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XIV, Ltd.
Class Description: U.S.$117,000,000
Floating Rate Class B-1 Mezzanine Notes Due June 24, 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$10,800,000
Fixed/Floating Rate Class B-2 Mezzanine Notes Due June 24,
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Fixed/Floating Rate Class B-3 Mezzanine Notes Due June 24,
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XV
Class Description: U.S. $114.5 million
Floating Rate Class B-1 Mezzanine Notes due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $22 million Fixed/Floating
Rate Class B-2 Mezzanine Notes due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $36 million Fixed/Floating
Rate Class B-3 Mezzanine Notes due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XVI, Ltd.
Class Description: U.S. $77.65 million
Floating Rate Class C Mezzanine Notes due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XVII, Ltd.
Class Description: U.S. $65.6 million
Floating Rate Class C Mezzanine Notes due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XVIII, Ltd.
Class Description: U.S. $80.0 million
Floating Rate Class C Mezzanine Notes due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XIX, Ltd.
Class Description: U.S. $82,800,000
Floating Rate Class C Mezzanine Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Preferred Term Securities XXII, Ltd.
Class Description: U.S.$77,250,000
Floating Rate Class C-1 Mezzanine Notes Due September 22,
2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$71,650,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due September 22,
2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXIII, Ltd.
Class Description: U.S.$81,200,000
Floating Rate Class C-1 Mezzanine Notes Due December 22,
2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$28,000,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22,
2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$52,800,000
Floating Rate Class C-FP Mezzanine Notes Due December 22,
2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXIV, Ltd.
Class Description: U.S.$65,650,000
Floating Rate Class C-1 Mezzanine Notes Due March 22, 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$54,250,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due March 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXV, Ltd.
Class Description: U.S.$82,300,000
Floating Rate Class C-1 Mezzanine Notes Due June 22, 2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$18,500,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due June 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXVI, Ltd.
Class Description: U.S. $71,500,000
Floating Rate Class C-1 Mezzanine Notes Due September 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $39,500,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due September 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXVII, Ltd.
Class Description: U.S. $24,000,000
Floating Rate Class C-1 Mezzanine Notes Due December 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $18,000,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due December 22,
2037,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Preferred Term Securities XXVIII, Ltd.
Class Description: U.S. $36,000,000
Floating Rate Class C-1 Mezzanine Notes Due March 22, 2038,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $8,000,000
Fixed/Floating Rate Class C-2 Mezzanine Notes Due March 22,
2038,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Regional Diversified Funding Ltd.
Class Description: US$225,000,000 Fixed Rate
Senior Notes due March 15, 2030
Prior Rating: A1
Current Rating: A1, Review for Possible Downgrade
Issuer: Regional Diversified Funding 2004-1LTD.
Class Description: U.S. $22,000,000
Class B-1 Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $95,000,000
Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: REGIONAL DIVERSIFIED FUNDING 2005-1 LTD.
Class Description: U.S. $170,000,000
Class A-1a Floating Rate Senior Notes Due 2036,
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $10,000,000
Class A-1b Fixed Rate Senior Notes Due 2036,
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $70,000,000
Class A-2 Floating Rate Senior Notes Due 2036,
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Class Description: U.S. $79,000,000
Class B-1 Floating Rate Senior Subordinate Notes Due 2036,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $10,000,000
Class B-2 Fixed Rate Senior Subordinate Notes Due 2036,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Soloso CDO 2005-1 Ltd.
Class Description: U.S. $40.0 million
Class A-3L Floating Rate Notes Due October 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $19.0 million
Class A-3A Fixed/Floating Rate Notes Due October 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $19.0 million
A-3B Fixed/Floating Rate Notes Due October 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: Class U.S. $30.5
million Class B-1L Floating Rate Notes Due October 2035,
Prior Rating: Baa3
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Soloso CDO 2007-1 Ltd.
Class Description: U.S. $40,000,000
Class A-3L Floating Rate Notes Due October 2037,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $25,000,000
Class A-3F Fixed/Floating Rate Notes Due October 2037,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: TPREF FUNDING II Ltd.
Class Description: U.S. $196.0 million
of Class B Floating Rate Subordinate Notes due 2032,
Prior Rating: A1
Current Rating: A1, Review for Possible Downgrade
Issuer: TPREF Funding III, Ltd.
Class Description: Class B-1 Floating Rate Senior Subordinated
Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class B-2 Floating Rate Senior Subordinate
Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Trapeza CDO I, LLC
Class Description: U.S.$29,600,000
Class C-1 Third Priority Secured Floating Rate Notes Due 2032,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class C-2 Third Priority Secured Fixed Rate Notes Due 2032,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$16,500,000
Class D Mezzanine Secured Floating Rate Notes Due 2032,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Trapeza CDO II, LLC
Class Description: US $43.5MM Class C-1 Fourth
Priority Secured Floating Rate Notes due 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: US $54.8MM Class C-2 Fourth
Priority Secured Fixed/Floating Rate Notes due 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: US $18.7MM Class D Mezzanine Secured
Floating Rate Notes due 2033,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Trapeza CDO III, LLC
Class Description: U.S. $31,2500,000
Class C-1 Third Priority Secured Fixed Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $31,250,000
Class C-2 Third Priority Senior Secured Fixed/Floating Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $14,500,000
Class D Mezzanine Secured Floating Rate Notes,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Class Description: U.S. $8,000,000
Class E Secured Notes,
Prior Rating: Ba2
Current Rating: Ba2, Review for Possible Downgrade
Issuer: Trapeza CDO IV, LLC
Class Description: U.S.$44,500,000
Class C-1 Fourth Priority Secured Floating Rate Notes Due 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$44,500,000
Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$14,000,000
Class D Mezzanine Secured Floating Rate Notes Due 2034,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Trapeza CDO V, Ltd.
Class Description: U.S.$41,000,000
Class C-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$25,000,000
Class C-1 Fourth Priority Senior Secured Floating Rate Notes Due
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$13,000,000
Class D Mezzanine Secured Floating Rate Notes Due 2034,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Trapeza CDO VI, Ltd.
Class Description: U.S.$39,500,000
Class B-1 Fourth Priority Senior Secured Floating Rate Notes Due
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$56,500,000
Class B-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Trapeza CDO VII, Ltd.
Class Description: Class B-1 Third Priority Secured Floating
Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: Class B-2 Third Priority Senior Secured
Fixed/Floating Rate Notes,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Trapeza CDO IX, Ltd.
Class Description: U.S.$23,000,000
Class B-1 Fourth Priority Secured Floating Rate Notes Due 2040,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$10,000,000
Class B-2 Fourth Priority Secured Fixed/Floating Rate Notes Due
2040,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S.$25,000,000
Class B-3 Fourth Priority Secured Fixed/Floating Rate Notes Due
2040,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: Trapeza CDO X, Ltd.
Class Description: U.S.$268,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2041,
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S.$69,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2041,
Prior Rating: Aa2
Current Rating: Aa2, Review for Possible Downgrade
Class Description: U.S.$31,000,000
Class B Third Priority Secured Deferrable Floating Rate Notes Due 2041,
Prior Rating: Baa3
Current Rating: Baa3, Review for Possible Downgrade
Class Description: U.S.$21,000,000
Class C-1 Fourth Priority Secured Deferrable Floating Rate Notes
Due 2041,
Prior Rating: Caa1
Current Rating: Caa1, Review for Possible Downgrade
Class Description: U.S.$35,000,000
Class C-2 Fourth Priority Secured Deferrable Fixed/Floating Rate
Notes Due 2041,
Prior Rating: Caa1
Current Rating: Caa1, Review for Possible Downgrade
Issuer: Trapeza CDO XI, Ltd.
Class Description: U.S.$53,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2041,
Prior Rating: Aaa
Current Rating: Aaa, Review for Possible Downgrade
Issuer: TRAPEZA EDGE CDO, LTD.
Class Description: U.S.$50,500,000
Class B-1 Fourth Priority Secured Floating Rate Notes Due 2035,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S.$22,500,000
Class B-2 Fourth Priority Secured Fixed Rate Notes Due 2035.,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Issuer: Tropic CDO I Ltd.
Class Description: U.S. $32,000,000
Class A-4 Fixed/Floating Rate Notes Due October 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $48,000,000
Class A-4L Floating Rate Notes Due October 2033,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $25,000,000
Class B-1L Floating Rate Notes Due October 2033,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: Tropic CDO II, LTD
Class Description: U.S. $30,000,000
Class A-4 Fixed/Floating Rate Notes Due April 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $38,000,000
Class A-4L Floating Rate Notes Due April 2034,
Prior Rating: A2
Current Rating: A2, Review for Possible Downgrade
Class Description: U.S. $15,000,000
Class B-1L Floating Rate Notes Due April 2034,
Prior Rating: Baa2
Current Rating: Baa2, Review for Possible Downgrade
Issuer: TROPIC CDO III LTD
Class Description: U.S. $40,500,000
Class A-4A Fixed/Floating Rate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $20,000,000
Class A-4B Fixed/Floating Rate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $19,500,000
Class A-4L Floating Rate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: TROPIC CDO IV LTD.
Class Description: U.S. $35,000,000
Class A-4 Fixed/Floating Rate Notes Due April 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $26,000,000
Class A-4L Floating Rate Notes Due April 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $20,000,000
Class B-1L Floating Rate Notes Due April 2035,
Prior Rating: Baa3
Current Rating: Baa3, Review for Possible Downgrade
Issuer: Tropic CDO V Ltd.
Class Description: U.S. $51,000,000
Class A-2L Deferrable Floating Rate Notes Due July 2036,
Prior Rating: Aa1
Current Rating: Aa1, Review for Possible Downgrade
Class Description: U.S. $62,000,000
Class A-3L Floating Rate Notes Due July 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $45,000,000
Class A-3F Fixed/Floating Rate Notes Due July 2036,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $50,000,000
Class B-1L Floating Rate Notes Due July 2036,
Prior Rating: Baa3
Current Rating: Baa3, Review for Possible Downgrade
Class Description: U.S. $8,000,000
Class B-2L Floating Rate Notes Due July 2036,
Prior Rating: Ba2
Current Rating: Ba2, Review for Possible Downgrade
Issuer: US Capital Funding I LTD
Class Description: $45,000,000 Class B-1
Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: $24,000,000 Class B-2
Fixed/Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: US Capital Funding II LTD
Class Description: $70,000,000 Class B-1
Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: $40,000,000 Class B-2
Fixed/Floating Rate Senior Subordinate Notes Due 2034,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: US Capital Funding III, Ltd.
Class Description: U.S. $39,100,000
Class B-1 Floating Rate Senior Subordinate Notes Due 2035,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $48,000,000
Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2035'
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Issuer: U.S. CAPITAL FUNDING IV, LTD.
Class Description: U.S. $92,250,000
Class B-1 Floating Rate Senior Subordinate Notes Due 2039,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
Class Description: U.S. $12,500,000
Class B-2 Fixed/Floating Rate Senior Subordinate Notes Due 2039,
Prior Rating: A3
Current Rating: A3, Review for Possible Downgrade
New York
John Park
Senior Vice President
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
