New York, September 22, 2011 -- Moody's Investors Service announced today that it has taken rating actions
on the following structured note transactions listed below (the "Transactions"):
Deal Name: Structured Investments Corporation III
$273,000,000 SIC III Series 2005-7 ESUN Notes
Due 2012, Confirmed at A3 (sf); previously on June 3,
2011 A3 (sf), Placed Under Review for Possible Downgrade;
Underlying securities: $273,000,000 Zero Coupon
Notes due 28 November 2012 issued by Citigroup Funding Inc.
Deal Name: Currency-ADjusted Enhanced Trust Securities
U.S. $335,000,000 4.80%
Currency-ADjusted Enhanced Trust Securities, Series 2003-1
due 2013; Confirmed at A1; previously on June 3, 2011
A1, Placed Under Review for Possible Downgrade;
Underlying securities: Swap Counterparty, Citibank,
N.A.
Deal Name: Pass-Through Auction Market Preferred Securities,
Series 2007-1
U.S. $65,000,000 Class A Certificates,
Confirmed at Ba3 (sf); previously on June 3, 2011 Ba3 (sf),
Placed Under Review for Possible Upgrade;
U.S. $16,250,000 Class B Certificates,
Confirmed at Ba3 (sf); previously on June 3, 2011 Ba3 (sf),
Placed Under Review for Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc.
Non-Cum. Pfd. Stk. Series 2 & 5
Deal Name: Wachovia Preferred Pass-Through Trust 2006-B
Class A Money Market Preferred Trust Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Class B Leveraged Preferred Trust Certificates, Confirmed at Ba3
(sf); previously on June 3, 2011 Ba3 (sf), Placed Under
Review for Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. E
Deal Name: ABN AMRO North America Holding Preferred Capital Repackaging
Trust I
6.473% Fixed/Floating Noncummulative Trust Securities,
Confirmed at Ba3; previously on June 3, 2011 Ba3, Placed
Under Review for Possible Upgrade;
Underlying securities: BAC AAH Capital Funding LLC II
Deal Name: Auction Pass-Through Trust 2006-12
$70,000,000 Class A Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$35,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. D
Deal Name: Auction Pass-Through Trust 2006-3
$120,000,000 Class A Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: MERRILL LYNCH & CO., INC.
Ser. 4
Deal Name: Auction Pass-Through Trust 2006-4
$120,000,000 Class A Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: MERRILL LYNCH & CO., INC.
Ser. 4
Deal Name: Auction Pass-Through Trust 2007-2
$120,000,000 Class A Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc.
Non-Cum. Pfd. Stk. Series 5
Deal Name: Auction Pass Through Trust 2007-3
$120,000,000 Class A Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc.
Non-Cum. Pfd. Stk. Series 5
Deal Name: Auction Pass-Through Trust 2007-4
$120,000,000 Class A Certificates, Confirmed
at Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
$30,000,000 Class B Certificates, Confirmed at
Ba3 (sf); previously on June 3, 2011 Ba3 (sf), Placed
Under Review for Possible Upgrade;
Underlying securities: Merrill Lynch & Co., Inc.
Non-Cum. Pfd. Stk. Series 5
Deal Name: Auction Pass-Through Trust 2007-5
Class A Certificates, Confirmed at Ba3 (sf); previously on
June 3, 2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Class B Certificates, Confirmed at Ba3 (sf); previously on
June 3, 2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Underlying securities: Bank of America Corporation Cum Non-Pref,
Ser E
Deal Name: Auction Rate Securities Trust 2007-1
U.S. $60,000,000 Class A Auction Rate
Trust Certificates, Confirmed at Ba3 (sf); previously on June
3, 2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
U.S. $15,000,000 Class B Leveraged Trust
Certificates, Confirmed at Ba3 (sf); previously on June 3,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Underlying securities: Merrill Lynch Floating Rate Non-Cumulative
Preferred Stock, Series 5
Deal Name: Auction Rate Securities Trust 2007-2
U.S. $40,000,000 Class A Auction Rate
Trust Certificates, Confirmed at Ba3 (sf); previously on June
3, 2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
U.S. $10,000,000 Class B Leveraged Trust
Certificates, Confirmed at Ba3 (sf); previously on June 3,
2011 Ba3 (sf), Placed Under Review for Possible Upgrade;
Underlying securities: BANK OF AMERICA CORPORATION Ser. E
Deal Name: MMP Stock Cust Rcpts, ABN AMRO,Series X
$70 MMP Stock Cust Rcpts, ABN AMRO, Series X,
Confirmed at Ba3; previously on June 3, 2011 Ba3, Placed
Under Review for Possible Upgrade;
Underlying securities: BAC AAH Capital Funding LLC X
Deal Name: MMP Stock Cust Rcpts, ABN AMRO,Series XI
$70 MMP Stock Cust Rcpts, ABN AMRO, Series XI,
Confirmed at Ba3; previously on June 3, 2011 Ba3, Placed
Under Review for Possible Upgrade;
Underlying securities: BAC AAH Capital Funding LLC XI
Deal Name: SATURNS Trust No. 2001-6
U.S. $63,370,000 Certificates Due 2026;
Downgraded to Ba1; previously on April 23, 2009 downgraded
to Baa3;
Underlying securities: BankAmerica Institutional Capital A
Deal Name: PREFERREDPLUS Trust Series CCR-1
PREFERREDPLUS 8.05% Trust Certificates Series CCR-1,
Downgraded to Ba1; previously on May 14, 2009 downgraded to
Baa3;
Underlying securities: COUNTRYWIDE CAPITAL III Ser. B
RATINGS RATIONALE
The transactions are structured note whose ratings are based on the ratings
of the Underlying Securities and the legal structure of the transaction.
Today's rating action of Bofa/Merrill Lynch and Citibank underlying securities
whose ratings were affirmed or downgraded on September 21, 2011.
See link to the September 21 rating action:
http://www.moodys.com/research/Moodys-downgrades-Citigroup-Inc-to-P-2-Citibank-Prime-1--PR_226520
http://www.moodys.com/research/Moodys-downgrades-Bank-of-America-Corp-to-Baa1P-2-Bank--PR_226511
The principal methodology used in this rating was "Moody's Approach to
Rating Repackaged Securities" published in April 2010. Please see
the Credit Policy page on www.moodys.com for a copy of this
methodology.
Further information on Moody's analysis of this transaction is available
on www.moodys.com.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, and public information.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating
analyst and the Moody's legal entity that has issued each of the
ratings.
Moody's adopts all necessary measures so that the information it uses
in assigning a 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 Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Ainat Koller
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Leon Mogunov
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes rating actions on structured notes affected by the reviews of BofA and Citi's ratings