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Announcement:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 15, 2005

17 Aug 2005
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 15, 2005

New York, August 17, 2005 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD AUGUST 9, 2005 THROUGH AUGUST 15, 2005:

MOODY'S ASSIGNS PRIME-1 RATING TO LONG BEACH MORTGAGE COMPANY'S STRAND CAPITAL LLC ABCP PROGRAM

Moody's has assigned a Prime-1 rating to the secured liquidity notes ("SLNs") and callable notes ("CN") issued by Strand Capital LLC ("Strand"). Strand is a partially supported, single-seller mortgage loan facility sponsored by Long Beach Mortgage Company ("Long Beach", unrated). Long Beach is a wholly owned subsidiary of Washington Mutual Inc. (A3/Prime-2).

Strand will provide mortgage financing to Long Beach for its portfolio of non-prime mortgage loans through the issuance of up to $5.0 billion in SLNs and CNs. Strand's SLNs and CNs have expected maturity dates up to 180 days and legal final maturity dates of 60 days thereafter.

The SLNs and CNs are backed by non-prime residential first lien mortgages originated by Long Beach. Strand purchases the loans on a revolving basis, in compliance with certain loan-eligibility criteria and portfolio concentration limits.

For further details, please see Moody's press release dated August 12, 2005.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD AUGUST 9, 2005 THROUGH AUGUST 15, 2005:

FIVE PRIME-1-RATED ABCP CONDUITS PURCHASE $2.72 BILLION INTEREST IN CLASS A NOTE BACKED BY RETAIL AUTO CONTRACTS. A SEPARATE PRIME-1-RATED ABCP CONDUIT PURCHASES $235 MILLION INTEREST IN THE CLASS B NOTE.

The notes, which are both privately rated by Moody's, are backed by retail auto contracts originated by an automobile manufacturer. The notes are also supported by transaction-specific credit enhancement, in the form of overcollateralization, as well as a reserve account. The Class A Notes will further benefit from 6.25% of subordination.

The following Prime-1-rated ABCP conduits participated in this transaction:

• Barclays Bank PLC's (Aa1/Prime-1/A-) Sheffield Receivables Corp. ("Sheffield") added a $679 million commitment in the Class A Note with a 10% increase to its program-level credit enhancement.

• Deutsche Bank AG's (Aa3/Prime-1/B-) Gemini Securitization Corp. LLC ("Gemini") acquired a $500 million commitment in the Class A Note with an 8% increase to its program-level credit enhancement.

• Deutsche Bank AG's (Aa3/Prime-1/B-) Rhein-Main Securitization Limited ("Rhein-Main") added a $179 million commitment in the Class A Note with an 8% increase to its program-level credit enhancement.

• Dresdner Bank AG's (A1/Prime-1/C-) Beethoven Funding Corp. ("Beethoven") added a $679 million commitment in the Class A Note with a 10% increase to its program-level credit enhancement.

• The Royal Bank of Scotland plc's (Aa1/Prime-1/A-) Thames Asset Global Securitization No. 1, Inc. ("TAGS") added a $679 million commitment in the Class A Note with a 5% increase to its program-level credit enhancement. Additionally, the transaction benefits from various structural protections such as an ABCP tenor limitation and an ABCP cease issuance upon a downgrade in the rating of the Class A Note.

• PNC Bank N.A.'s (A1/Prime-1/B-) Market Street Funding Corp. ("Market Street") added a $235 million commitment in the Class B Note with a 10% increase to its program-level credit enhancement. The liquidity facility, provided by PNC Bank N.A., fully supports Market Street's interest in the Class B Note.

The liquidity facilities for the Gemini, Rhein-Main, Beethoven, TAGS and Market Street transactions are sized at 102% of the conduits' respective commitments. The liquidity facility for Sheffield is sized at 100% of the commitment plus a floating amount to cover ABCP interest.

CALYON'S ATLANTIC ADDS $200 MILLION LOAN FACILITY AND AMENDS FORMATION STRUCTURE

Atlantic Asset Securitization LLC ("Atlantic"), a partially supported, multiseller ABCP program sponsored by Calyon (Aa2/Prime-1/C), has added a $200 million loan facility to its portfolio. The loan facility is established for two limited partnership funds ("Funds"). The Funds invest in a wide range of industries and transactions such as leverage buyouts and build-ups, strategic capital investments, recapitalizations, and distressed securities. The loan facility provides interim financing for the Funds' investments and is secured by the uncalled capital commitments of the Funds' investors.

This transaction benefits from transaction-specific credit enhancement ranging from 10% to 35%, in the form of overcollateralization. In addition, the transaction has various structural protections to ensure that investors are protected upon deterioration in the performance of the facility. This transaction is partially supported by a liquidity facility, provided by Prime-1-rated Calyon, that funds for non-defaulted assets.

With this transaction, Atlantic's program-level credit enhancement was increased by 10% of its purchase commitment. Atlantic currently has about $6.6 billion in purchase commitments and $621 million in program-level credit enhancement.

In addition to the asset purchase, Atlantic has converted its corporate formation from a corporation to a limited liability company. With this amendment, Atlantic will now operate under the name of Atlantic Asset Securitization LLC.

SACHEN LB'S ORMOND QUAY AMENDS PROGRAMME STRUCTURE

Ormond Quay Funding PLC ("Ormond Quay"), a partially supported, credit arbitrage ABCP programme sponsored and administered by Sachsen LB Europe plc (Aa2/Prime-1/C-), has amended its programme structure to include a Delaware subsidiary with the ability to issue U.S. asset-backed commercial paper notes ("USCP") and U.S. extendible secured liquidity notes ("SLNs"). Ormond Quay's USCP may have maturity dates up to 270 days from initial issuance, and its SLNs will have expected maturity dates up to 250 days from initial issuance and a maximum extension period of 20 days. Ormond Quay was established in May 2004 and prior to this amendment it issued only non-extendible Euro ABCP. With this amendment, Ormond Quay has increased its maximum programme amount to the equivalent of Euro 25 billion.

WESTLB'S PARADIGM AMENDS PROGRAM

Paradigm Funding LLC ("Paradigm"), a partially supported, multiseller conduit sponsored by WestLB AG (Aa2/Prime-1/D-), has amended its program structure to include the following: (i) a change in the form of its program-level credit enhancement from a credit default swap to a financial guaranty insurance policy provided by Aaa-rated Ambac Assurance Corporation ("Ambac"), (ii) a reduction in the program-level credit enhancement from 10% to 8%, and (iii) the establishment of transaction-specific liquidity facilities provided by special purpose entities administered by WestLB ("Liquidity SPEs").

Ambac's obligations under the financial guaranty insurance policy are covered by a program-level liquidity facility provided by WestLB. Paradigm's program-level credit enhancement is sized based on the greater of $200 million or 8% of its aggregate maximum commitments. The credit enhancement calculation excludes transactions that are fully supported by a liquidity facility, guaranty, or letter of credit provided by an entity rated at least Aa2. Additionally, it also excludes assets explicitly rated Aa2 or higher.

WestLB has established various Liquidity SPEs for the purpose of providing liquidity support for transactions. With this amendment, liquidity facilities can be provided by either Prime-1-rated banks or Liquidity SPEs. The Liquidity SPEs in Paradigm obtain funds from WestLB through a master credit facility.

Paradigm has about $8.74 billion in total purchase commitments and $534 million in program-level credit enhancement.

BNP PARIBAS' STARBIRD ACQUIRES $100 MILLION INTEREST IN EXISTING TRADE RECEIVABLE FACILITY

Starbird Funding Corp. ("Starbird"), a partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa2/Prime-1/B+), has acquired a $100 million interest in an existing trade receivable facility. The receivables are originated by a non-investment-grade-rated distributor of electronic components. The facility benefits from a minimum of 22% transaction-specific credit enhancement in the form of overcollateralization, which adjusts dynamically depending upon asset performance. Starbird's interest is partially supported by a liquidity facility provided by BNP Paribas.

This transaction is part of a $450 million co-purchased trade receivable facility with JPMorgan Chase's Preferred Receivables Funding Corp., ABN AMRO's Amsterdam Funding Corp., and The Bank of Nova Scotia's Liberty Street Funding Corp.

With this transaction, Starbird's program-level credit enhancement was increased by 8% of its interests in the facility. Starbird has about $7.9 billion in total purchase commitments and $537 million in program-level credit enhancement.

ROYAL BANK OF SCOTLAND'S TAGS ADDS $400 MILLION RETAIL AUTO LOAN AND LEASE TRANSACTION

Thames Asset Global Securitization No.1, Inc. ("TAGS"), a partially supported, multiseller conduit sponsored by The Royal Bank of Scotland plc (Aa1/Prime-1/A-), has added a $400 million revolving auto loan and lease facility to its portfolio. The underlying receivables consist of prime retail loans and leases originated by an investment-grade-rated automotive captive finance subsidiary of an automotive manufacturer.

The facility benefits from transaction-specific credit enhancement ranging between 7.25% and 18%, which is comprised of overcollateralization, excess spread, and reserve accounts. In addition, the transaction has an ABCP tenor limitation and an ABCP cease issuance trigger upon an asset deficiency test. This transaction is partially supported by a liquidity facility is provided by Prime-1-rated RBS.

With this transaction, TAGS was required to increase its program-level credit enhancement by 5% of outstanding ABCP issued with respect to this transaction. TAGS is now authorized to issue up to $15 billion of ABCP.

SUNTRUST'S THREE PILLARS ACQUIRES $250 MILLION INTEREST IN EXISTING REVOLVING CREDIT FACILITY

Three Pillars Funding Company LLC ("Three Pillars"), a partially supported, multiseller ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+), has acquired a $250 million interest in an existing $1.25 billion revolving credit facility backed by investor capital commitments. This transaction is fully supported through a liquidity facility provided by SunTrust.

With this transaction, Three Pillars has about $6.7 billion in total purchase commitments and $574 million in program-level credit enhancement.

For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com

New York
Jonathan Polansky
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Wanda Lee
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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