1

SEPTEMBER 2010 SEPTEMBER 30,2010 INTERNATIONAL STRUCTURED FINANCE RATING : 1. 1 1.1 1 1.2 CSO 2 2. CSO 3 2.1 3 2.2 4 2.3 EL 6 3. CSO 8 4. 9 4.1 9 4.2 EL 9 5. 9 6. CSO 10 7. 10 7.1 10 7.2 CSO 11 7.3 12 8. 12 8.1 12 8.2 12 9. 13 : 03-5408-4100 CSO CDO Moody's Approach to Rating Corporate Collateralized Synthetic Obligations 1. 1.1 1990 CSOCorporate Collateralized Synthetic Obligations=CDO 1 (CDS)CSO 2 CSO CDO CSO CSO 3 CDS CSO CDOROMTMCDOROM CSO 4 CSO 03-5408-4152 SVP- yusuke.seki@moodys.com 1 CDO 2000 CDO 2 3 4 2008 12 "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations"2009 1 15

1.2 CSO CSO»»» 1 (CDO 5 2 CDO CDO CDO CDO 1 CDS 1 CSO CDO CDO CSO SPV(Special Purpose Vehicle CDS CDS 2 5 2 SEPTEMBER 2010 CSO CDO

2 CSO CDO 2. CSO 2.1 CSO Expected LossEL EL EL CDO CSO CSO CSO CDOROM CDOROM CDOROM EL CSO EL CSO 3 SEPTEMBER 2010 CSO CDO

2.2 6 2.2.1 2.2.1.1 7 CDS (PDR)PDR CSO 8 Caa 2.2.1.2 9 CSO 2 1 1 1 6 CDOROM moodys.com 7 CDOROM Input Description 8 CDOROM Input Description 9 "Rating Transitions and Defaults Conditional on Rating Outlook Revisited: 1995-2005 (December, 2005)" 4 SEPTEMBER 2010 CSO CDO

2.2.1.3 CSO 2 1.3 CSO CSO 10 CDOROM 2 11 CDOROM 2.2.2 12 i) 2 ii) 2 2 13 14 100% 15 10 "Moody's Approach to Evaluating Distressed Exchanges (March 2009)"( 2009 5 11 CDOROM 12,"Corporate Asset Correlations Update: A Summary of Changes and Their Rationale (August 26, 2009)" 13 CDOROM 14 "Moody's Revisits its Methodology for Emerging Market CDOs (April 11, 2007)" 15 CDOROM 5 SEPTEMBER 2010 CSO CDO

CDOROM 16 2.2.3 CSOCDOROM (mean)(standard deviation) 17 100% CDS 18 CDOROM CSOISDA 30 90 19 2.3 EL 2.3.1 CSO CSO EL CDO CDOROM CSO EL EL 2.3.2 -CDOROM CDOROM 20 2.2.2 21 2.2.3 22 16 CDOROM CDOROM 17 10%CDOROM 18 CDOROM "Moody's Approach to Rating Digital Credit Default Swaps (July 16, 2004)" 19 30 20 CDOROM 21 22 CDOROM 6 SEPTEMBER 2010 CSO CDO

2.3.3 CSO 100% CDOROM 23 2.3.4 EL CSO EL EL Lj Present Value, PV L max 0 j, PV PV PV j PV L j max 0, Lj PV Lj=Max0, PVj 24 60% CSO EL CDOROM 1 EL N N j1 L j EL EL EL 99% 25 23 CDOROM CDOROM 24 "Moody's Approach to Modelling "Exotic" Synthetic CDOs with CDOROMTM (February 1, 2007)" 1 25 CDOROM 7 SEPTEMBER 2010 CSO CDO

2.3.5 26 2.3.5.1 EL WAL EL EL 5.0 EL Aa1 Aa2 Aa2 CSOWALWAL 27 5 CSO WAL 5 WAL CSOWAL 2.3.5.2 CSOCDOROM CSOEL MM) 28 0 20 AaaCaMM 3.0 Aa2 ELMM 4.0 Aa3 MM Aaa 3. CSO CSO EL EL EL 26 CDOROM 27 CDOROM 28 "Moody's Metric and Its Uses (June 22, 2006)""Managed Synthetic CDOs: Moody's CDOROMTM Guidelines (August 30, 2005)" CDO: CDOROMTM 2006 5 8 SEPTEMBER 2010 CSO CDO

4. 29 4.1 2 CDS 4.2 EL EL CDS ABS ABS(GIC) EL CDOROM EL CDS CSO LIBOR 1 LIBOR 3 LIBOR CSO CSO i)ii) iii) EL 5. CDS EL CSO CDS EL 29 "Understanding Collateral Risks for Funded Synthetics in CDOs (June 8, 2006)" CDO 2006 11 9 SEPTEMBER 2010 CSO CDO

6. CSO CDO EL CSOCDOROM CDOROM CDOROM EL 30 CDOROMEL CDO CSOCDOROMEL 31 CDOROM 32 7. 7.1 33 7.1.1 2.2.3 ISDA 34 CSO CDS 30 "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines (August 30, 2005)" CDO: CDOROMTM 2006 5 31 CDOROM EL MM 32 "Managed Synthetic CDOs: Moody's CDOROMTM Guidelines (August 30, 2005)" CDO: CDOROMTM 2006 5 "Collateral Manager Incentives, CDS Trading and Value Extraction in Synthetic CDOs (November 21, 2007)" 33 "Moody's Approach To Rating Synthetic CDOs (July 29, 2003)" : CDO 2003 10 34 "Historical Recoveries in Synthetic CDOs: Valuation and the Cheapest-to-deliver (February 25, 2004)" 10 SEPTEMBER 2010 CSO CDO

7.1.2 CDS 35 36 2,000 7.1.3 ISDA ISDACDS Markit/Creditex CDS CSO 37 7.2 CSO 38 ISDA CDS (EOD) EL ISDA CDS CDS CDS EL CSO CDS CDS CSOCDS CDS 39 4.2 EL 35 "CDO Rating Factors Vol...No.2 Quotation Amount in Synthetic CDOs (March 1, 2005)" 36 37 "Usage of Credit Event Auction Final Price in CSOs (March 25, 2009)" 38 CSO CDS CSO EL EL 39 CDOROM 11 SEPTEMBER 2010 CSO CDO

7.3 CSO ISDA CSO 8. 8.1 CSO 40 CSO 41 8.2 CSO CSO CSO CDOROM CDOROM 40 "Moody's Approach: Preparing CDO Managers for Moody's Operations Reviews (December 23, 2002)":CDO 2003 3 41 CSO 12 SEPTEMBER 2010 CSO CDO

9. CSO CSO CSO CSO CSO» CSO (a)(b) (c)» CSO» CSO CSO 13 SEPTEMBER 2010 CSO CDO

1 0 1 2 3 4 5 6 7 Aaa 0.0000% 0.0001% 0.0002% 0.0007% 0.0018% 0.0029% 0.0040% 0.0052% Aa1 0.0000% 0.0006% 0.0030% 0.0100% 0.0210% 0.0310% 0.0420% 0.0540% Aa2 0.0000% 0.0014% 0.0080% 0.0260% 0.0470% 0.0680% 0.0890% 0.1110% Aa3 0.0000% 0.0030% 0.0190% 0.0590% 0.1010% 0.1420% 0.1830% 0.2270% A1 0.0000% 0.0058% 0.0370% 0.1170% 0.1890% 0.2610% 0.3300% 0.4060% A2 0.0000% 0.0109% 0.0700% 0.2220% 0.3450% 0.4670% 0.5830% 0.7100% A3 0.0000% 0.0389% 0.1500% 0.3600% 0.5400% 0.7300% 0.9100% 1.1100% Baa1 0.0000% 0.0900% 0.2800% 0.5600% 0.8300% 1.1000% 1.3700% 1.6700% Baa2 0.0000% 0.1700% 0.4700% 0.8300% 1.2000% 1.5800% 1.9700% 2.4100% Baa3 0.0000% 0.4200% 1.0500% 1.7100% 2.3800% 3.0500% 3.7000% 4.3300% Ba1 0.0000% 0.8700% 2.0200% 3.1300% 4.2000% 5.2800% 6.2500% 7.0600% Ba2 0.0000% 1.5600% 3.4700% 5.1800% 6.8000% 8.4100% 9.7700% 10.7000% Ba3 0.0000% 2.8100% 5.5100% 7.8700% 9.7900% 11.8600% 13.4900% 14.6200% B1 0.0000% 4.6800% 8.3800% 11.5800% 13.8500% 16.1200% 17.8900% 19.1300% B2 0.0000% 7.1600% 11.6700% 15.5500% 18.1300% 20.7100% 22.6500% 24.0100% B3 0.0000% 11.6200% 16.6100% 21.0300% 24.0400% 27.0500% 29.2000% 31.0000% Caa1 0.0000% 17.3816% 23.2341% 28.6386% 32.4788% 36.3137% 38.9667% 41.3854% Caa2 0.0000% 26.0000% 32.5000% 39.0000% 43.8800% 48.7500% 52.0000% 55.2500% Caa3 0.0000% 50.9902% 57.0088% 62.4500% 66.2420% 69.8212% 72.1110% 74.3303% Ca 0.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% C 0.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 100.0000% 14 SEPTEMBER 2010

2 MHO RML OA IG NIG Corp-MR TRUE TRUE TRUE 5.00% 5.00% 10.00% Corp-MMR TRUE TRUE TRUE 5.00% 5.00% 10.00% Corp-OR+MHO TRUE TRUE 5.00% 10.00% 15.00% Corp-OR TRUE 12.50% 10.00% 15.00% Corp-NoR 0.00% 5.00% 10.00% Corp-MR+OA TRUE TRUE TRUE TRUE 17.50% 5.00% 10.00% Corp-MMR+OA TRUE TRUE TRUE TRUE 17.50% 5.00% 10.00% Corp-OR+MHO+OA TRUE TRUE TRUE 17.50% 10.00% 15.00% Corp-OR+OA TRUE TRUE 25.00% 10.00% 15.00% Corp-NoR+OA 0.00% 5.00% 10.00% Sov-MR TRUE TRUE TRUE TRUE 5.00% 10.00% 10.00% Sov-MMR TRUE TRUE TRUE TRUE 5.00% 10.00% 10.00% Sov-OR+MHO TRUE TRUE TRUE 5.00% 15.00% 15.00% Sov-OR TRUE TRUE 12.50% 15.00% 15.00% Sov-NoR TRUE 0.00% 15.00% 15.00% Sov-OR+MHO+BO TRUE TRUE TRUE TRUE 5.00% 15.00% 15.00% Sov-OR+BO TRUE TRUE TRUE 5.00% 15.00% 15.00% N/A 0.00% 0.00% 0.00% Corp = Corporate exposure Sov = Sovereign exposure MR = Modified Restructuring MMR = Modified Modified Restructuring OR = Old Restructuring NoR = No Restructuring OA = Obligation Acceleration MHO = Multiple Holder Obligation BO = Bond Only RML = Restructuring Maturity Limitation 15 SEPTEMBER 2010 CSO CDO

Report Number: SF397(Japanese) Copyright 2010 Moodys Investors Service, Inc./ All rights reserved. MJKKMJKK MJKK (a)(b) (a) (b) MJKK Moodys Corporation (MCO ) Moodys Overseas Holdings Inc. MJKK MJKK CP MJKK MJKK 20 3 5,000 MJKK MCO MJKK MJKK MCO MJKK MCO 5% SEC www.moodys.com "Shareholder Relations-Corporate Governance-Director and Shareholder Affiliation Policy" 336969 Moodys Investors Service Pty Limited ABN 61 003 399 657 2001 761G 2001 761G 16 SEPTEMBER 2010 CSO CDO