Fitch Downgrades 7 Classes from Tropic V CDO Following Payment Default.

CHICAGO -- Fitch Ratings downgrades seven classes of notes issued by Tropic CDO V Ltd. (Tropic V) and removes these notes from Rating Watch Negative. A full list of the rating actions is included at the end of this release.

The downgrades incorporate the transaction's non-payment of the full interest due to the class A-1L1, A-1L2 and A-1LB notes (collectively, the class A-1L notes) on the Oct. 15, 2009 payment date. All available proceeds went to pay partial interest to the class A-1L notes, pro rata. In aggregate, the class A-1L notes received only 77.8% of their $1.1 million interest due.

Tropic V entered into an Event of Default (EOD) on Oct. 22, 2009 as a result of the partial non-payment of interest to the class A-1L notes.

Today's rating actions are attributable to a decreased amount of interest proceeds to service the notes due to continued credit deterioration on the underlying portfolio and a failed interest rate hedging strategy. As of the Oct. 15, 2009 trustee report date, seven issuers representing $88 million were defaulted and an additional 23 issuers representing $181.5 million were deferring. The total amount of lost interest proceeds from defaulted and deferring securities was $3.2 million per payment period, or approximately 38% of the Tropic V expected interest from the collateral portfolio.

Approximately 81.6% of the available interest proceeds were paid to the hedge counterparties according to the last Trustee report. Interest-rate hedging strategies employed at the onset of the deal have moved into deep 'out-of-the-money' positions as three-month LIBOR has dropped to nearly 30 basis points. As such, the CDO must owe the respective hedge counterparties increasingly large swap payments each quarter.

The combined impact of decreased interest proceeds from remaining collateral debt securities, as well as increased payments to the swap counterparties led to an interest shortfall to the senior notes in Tropic V as of the Oct. 15, 2009 payment date.

All of the Tropic V overcollateralization (OC) and interest coverage (IC) tests were failing their respective performance triggers as of the October trustee report. The senior OC ratio was at 104.86% and the senior IC ratio was at 77.84% compared to a test trigger of 127% for both.

Fitch has taken the following rating actions:

--$210,807,686 class A-1L1, downgraded to 'D' from 'A', Watch Negative;

--$212,479,016 class A-1L2, downgraded to 'D' from 'BBB', Watch Negative;

--$94,000,000 class A-1LB, downgraded to 'D' from 'B', Watch Negative;

--$51,000,000 class A-2L, downgraded to 'C' from 'CCC', Watch Negative;

--$62,000,000 class A-3F, downgraded to 'C' from 'CC', Watch Negative;

--$45,000,000 class A-3L, downgraded to 'C' from 'CC', Watch Negative;

--$50,000,000 class B-1L, downgraded to 'C' from 'CC', Watch Negative;

--$8,000,000 class B-2L, remains at 'C'.

These rating actions reflect the application of Fitch's current criteria, which is available at 'www.fitchratings.com', and specifically include the following reports:

--'Fitch Revises Criteria for Reviewing U.S. CDOs Backed by Bank &

Insurance TruPS' (March 25, 2009);

--'Rating Criteria for U.S. Bank and Insurance Trust Preferred CDOs' (Feb.

2, 2005).

Additional information is available at 'www.fitchratings.com'.