ALLEN & OVERY PRESS RELEASE

Allen & Overy in Tokyo advised Merrill Lynch Japan Securities and UFJ Tsubasa Securites as arrangers of a jumbo synthetic collateralised loan obligation (CLO) transaction, structured to manage credit risk and obtain capital relief for UFJ Bank Limited, one of the Japanese "mega-banks".

The CLO transaction, which closed on 25th March, was originated by UFJ Bank Limited (UFJ) in respect of loans of ¥1 trillion (US$8.3 billion). The Allen & Overy team advised Merrill Lynch and UFJ International plc as joint lead managers of the transaction.

The transaction related to loans originated or assumed by UFJ, to over 6,200 Japanese small and medium-sized corporate borrowers (SMEs), with the risk on the loans in respect of each transaction being divided into first loss, mezzanine and super senior loss portions. The mezzanine portion of the transaction was funded through the issuance of ¥147 billion (US$1.2 billion) of four classes of Credit Linked Notes, rated between Aaa/AAA and Baa3/BBB- by Moody's and Standard & Poor's respectively, issued by Ruby Capital One Limited. The super senior portion was hedged into the swaps markets and UFJ
retained the first loss on the structure.

The transaction was significant, not only for its size but also because it continues the trend, started by Mizuho Corporate Bank in September last year (when Allen & Overy in Tokyo also advised), of Japanese banks using the synthetic CLO product as a means of improving their capital ratios while also managing credit risk.

David Wainer, leading the Allen & Overy Tokyo team, commented: "Following on from the CuBic transaction last year, Allen & Overy has now firmly established itself as the leader in the synthetic securitisation area in Japan by advising on transactions for Mizuho and UFJ. The trend towards the synthetic market in Japan looks set to continue, both in terms of originators accessing the market and the range of underlying assets, as Japanese financial institutions seek innovative ways to restore themselves to a position of financial well-being. Allen & Overy is very pleased to be associated with this effort."

Partners David Wainer and David Shearer and associates Emma Dwyer and Glen Falting of Allen & Overy Tokyo advised the arrangers and managers on the transactions as to English law. Partner Paul Monk assisted by Malcolm Charles of Allen & Overy in London advised J.P. Morgan Corporate Trustee Services Limited as Trustee on the transaction.