Moody's upgrades the ratings on TruPS CDO notes issued by Soloso CDO 2005-1

New York, June 26, 2012 -- Moody's Investors Service announced today that it has upgraded the ratings on the following notes issued by Soloso CDO 2005-1:

Class A-1L Floating Rate Notes Due October 2035 (current balance $143,222,231.81) , Upgraded to Ba2(sf); previously on Apr 20, 2011 Downgraded to B1(sf);

Class A-1LA Floating Rate Notes Due October 2035 (current balance $100,009,813.21), Upgraded to Ba1(sf); previously on Apr 20, 2011 Downgraded to Ba3(sf)

Class A-1LB Floating Rate Notes Due October 2035 (current balance $39,000,000.00) , Upgraded to B1(sf); previously on Apr 20, 2011 Downgraded to B3(sf)

RATIONALE

According to Moody's, the rating actions taken on the notes are primarily a result of deleveraging of the Class A-1L and Class A-1LA Notes and an increase in the transaction's overcollateralization ratios as well as the improvement in the credit quality of the underlying portfolio since the last rating action in April 2011

Moody's notes that the Class A-1L Notes notes have been paid down by approximately 6.4% or $9.2 million and the Class A-1LA notes have been paid down by approximately 9% or $9 million since the last rating action, as a result of diversion of excess interest proceeds. As a result of this deleveraging, the Class A-1 par coverage improved to 100.66% from 91.77% since the last rating action, as calculated by Moody's. Based on the latest trustee report dated April 2012, the Senior Coverage Ratio, Class A-2 Coverage Ratio, Class A-3 Coverage Ratio and Class B Coverage Ratio are reported at 110.72% (limit 115.00%), 95.35% (limit 112.00%), 76.34% (limit 105.00%) and 70.68% (limit 103.50%), respectively, versus January 2011 levels of 107.77%, 93.57%, 76.01% and 70.76%, respectively. Going forward, the Class A-1L, Class A-1LA and Class A-1LB notes will continue to benefit from the diversion of excess interest and the expiration of the interest rate swap in July 2015.

Moody's also notes that the deal benefited from an improvement in the credit quality of the underlying portfolio. Based on Moody's calculation, the weighted average rating factor (WARF) improved to 1093 compared to 1404 as of the last rating action date. The Moody's cumulative assumed defaulted amount has declined to $178.08 million from $201.98 million as of the last rating action date. The decline is due to improvement in the credit quality and the financial ratios of the banks that issued the five assets that were assumed to be defaulted in the last rating action.

Due to the impact of revised and updated key assumptions referenced in our rating methodology, 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 its base case, Moody's analyzed the underlying collateral pool to have a performing par of $284.1 million, defaulted/deferring par of $178.08 million, a weighted average default probability of 24.37% (implying a WARF of 1093), Moody's Asset Correlation of 21.57%, and a weighted average recovery rate upon default of 10%. In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of triggering an Event of Default, recent deal performance under current market conditions, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs 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.

Soloso CDO 2005-1 issued on August 24, 2005, is a collateralized debt obligation backed by a portfolio of bank trust preferred securities.

The portfolio of this CDO is mainly comprised of trust preferred securities (TruPS) issued by small to medium sized U.S. community banks that are generally not publicly rated by Moody's. To evaluate the credit quality of bank TruPS without public ratings, Moody's uses RiskCalc model, an econometric model developed by Moody's KMV, to derive their credit scores. Moody's evaluation of the credit risk for a majority of bank obligors in the pool relies on FDIC financial data received as of Q4-2011.

The principal methodology used in this rating was "Moody's Approach to Rating TRUP CDOs" published in May 2011. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The transaction's portfolio was modeled using CDOROM v.2.8 to develop the default distribution from which the Moody's Asset Correlation parameter was obtained. This parameter was then used as an input in a cash flow model using CDOEdge. CDOROM v.2.8 is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement.

Moody's performed a number of sensitivity analyses of the results to certain key factors driving the ratings. We analyzed the sensitivity of the model results to changes in the portfolio WARF (representing an improvement or a deterioration in the credit quality of the collateral pool), assuming that all other factors are held equal. If the WARF is increased by 157 points from the base case of 1093,the model-implied rating of the A-1LA notes is one notch worse than the base case result. Similarly, if the WARF is decreased by 193 points, the model-implied rating of the A-1LA notes is one notch better than the base case result.

Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as our outlook on the banking sector remains negative, although there have been some recent signs of stabilization.

The pace of FDIC bank failures continues to decline in 2012 compared to 2011, 2010 and 2009, and some of the previously deferring banks have resumed interest payment on their trust preferred securities.

Further information on Moody's analysis of this transaction is available on www.moodys.com.

REGULATORY DISCLOSURES

The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are endorsed by Moody's Investors Service Ltd., One Canada Square, Canary Wharf, London E 14 5FA, UK, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

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 the 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 did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

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Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

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.

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Sarah Christine Dolan Associate Analyst Structured Finance Group Moody'sInvestors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653Rodrigo Araya Senior Vice President Structured Finance Group JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653 Releasing Office: Moody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007 U.S.A. JOURNALISTS: 212-553-0376 SUBSCRIBERS: 212-553-1653(C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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