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Announcement:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MARCH 27, 2006

28 Mar 2006

New York, March 28, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD MARCH 21, 2006 THROUGH MARCH 27, 2006:

SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTEREST IN $2.7 BILLION VEHICLE FLEET LEASING FACILITY; SEPARATE SYNDICATE OF PRIME-1-RATED CONDUITS EXCHANGES INTERESTS IN Aaa-RATED VARIABLE FUNDING NOTE (VFN) FOR UNRATED VFN BACKED BY SAME COLLATERAL

A syndicate of banks has participated in a newly established $2.7 billion warehouse facility established for an investment-grade-rated financial services firm in the fleet leasing business. Each participating conduit will purchase an interest in an unrated VFN issued from a master trust and backed by a pool of vehicle fleet leases and receivables.

The note benefits from 5% transaction-specific credit enhancement in the form of overcollateralization and a fully funded cash reserve. In addition, the level of credit enhancement may be increased if there is deterioration in pool performance.

Along with the $2.7 billion facility, a different conduit syndicate currently participating in an existing $1 billion warehouse facility for the same originator will exchange their interest in a Aaa-rated VFN for an unrated VFN backed by the same collateral. The unrated VFN has the same credit enhancement levels as the Aaa-rated VFN and is issued out of the same master trust as the $2.7 billion VFN issuance. Each conduit exchanging its Aaa-rated VFN for an unrated VFN will be required to increase its program-level credit enhancement by the applicable amount.

The liquidity facility for each participating conduit is sized at 102% of its respective commitment, and funds for non-defaulted assets.

The following Prime-1-rated ABCP conduits participated in the $2.7 billion facility:

• Calyon's Atlantic Asset Securitization LLC has acquired a $112.5 million interest and increased its program-level credit enhancement by 10% of the purchase limit for this transaction.

• The Royal Bank of Scotland plc's Thames Asset Global Securitization No. 1, Inc. ("TAGS") has added a $112.5 million interest and increased its program-level credit enhancement by 5% of outstanding ABCP issued with respect to this transaction. In addition, the transaction benefits from various structural protections, including an ABCP tenor limitation and the requirement to cease issuing ABCP upon various trigger events.

• The Bank of Nova Scotia's Liberty Street Funding Corp. has added a $250 million interest and increased its program-level credit enhancement by 10% of the purchase limit for the transaction.

• WestLB AG's Paradigm Funding LLC has acquired a $112.5 million interest and increased its program-level credit enhancement by 8% of the purchase limit.

• JPMorgan Chase Bank's Park Avenue Receivables Company LLC ("PARCO") and Preferred Receivables Funding Corp. ("PREFCO") each acquired a $278.1 million interest and increased their program-level credit enhancement by 7% of the purchase limit.

• Citicorp North America, Inc.'s CRC Funding, LLC acquired a $556.3 million interest and increased its program-level credit enhancement by 10% of the purchase limit.

• Wachovia Bank's Variable Funding Capital Company LLC added a $500 million interest.

• Bank of America's Yorktown Capital, LLC has added a $500 million interest and increased its program-level credit enhancement by 8% of outstandings for this transaction.

The following Prime-1-rated ABCP conduits participated in the $1 billion VFN issuance:

• Bank of America's Yorktown Capital, LLC has a $100 million interest and increased its program-level credit enhancement by 8% of outstandings for this transaction.

• Bank of Nova Scotia's Liberty Street Funding Corp. has a $100 million interest, with a 10% increase to its program-level credit enhancement.

• Barclays Bank PLC's Sheffield Receivables Corp. has a $100 million interest with a 10% increase to its program-level credit enhancement.

• Calyon's Atlantic Asset Securitization LLC has a $100 million interest with a 10% increase to its program-level credit enhancement.

• Citicorp North America, Inc.'s Charta, LLC has a $100 million interest with a 10% increase to its program-level credit enhancement.

• Deutsche Bank AG's Gemini Securitization Corp., LLC through Saratoga Funding Corp., LLC has a $100 million interest with an 8% increase to its program-level credit enhancement.

• JPMorgan Chase Bank's Park Avenue Receivables Company LLC ("PARCO") has a $200 million interest with a 10% increase to its program-level credit enhancement.

• Wachovia's Variable Funding Capital Company LLC has a $100 million interest.

• WestLB AG's Paradigm Funding LLC has a $100 million interest with an 8% increase to its program-level credit enhancement.

JPMORGAN CHASE'S FALCON, JUPITER AND PREFCO ADD $2.1 BILLION LOAN FACILITY

Falcon Asset Securitization Corp. ("Falcon"), Jupiter Securitization Corp. ("Jupiter"), and Park Avenue Receivables Company ("PARCO"), have together co-purchased a $2.1 billion interest in a $2.6 billion loan facility. Falcon, Jupiter and PARCO are partially supported, multiseller ABCP programs sponsored by JPMorgan Chase ("JPM," rated Aa2/Prime-1/B+). Each conduit has a $700 million commitment to the facility. The loan facility has been established for three limited partnership funds ("Funds"). The Funds invest in corporate and mezzanine opportunities. The loan facility provides interim financing for the Funds' investments and is secured by the uncalled capital commitments of the investors in the Funds.

This transaction benefits from transaction-specific credit enhancement in the form of overcollateralization averaging 17%. 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 JPM-provided liquidity facilities that fund for non-defaulted assets.

With this transaction, each conduit's program-level credit enhancement increased by 10% of its purchase commitment. Falcon is now authorized to issue up to $23.0 billion of ABCP and has $1.04 billion in program-level credit enhancement. Jupiter is now authorized to issue up to $17.0 billion of ABCP and has $735 million in program-level credit enhancement. PARCO is now authorized to issue up to $17.0 billion of ABCP and has $783 million in program-level credit enhancement.

LLOYDS TSB'S CANCARA ADDS USD 500 MILLION AND EUR 110 MILLION TRANSACTIONS

Cancara Asset Securitisation Limited ('Cancara'), a partially supported hybrid conduit sponsored by Lloyds TSB Bank Plc ('LTSB') (Aaa/Prime-1/A), has added two new transactions to its portfolio: a USD 500 million facility and a EUR 110 million facility.

In the new transaction, Cancara makes advances under a demand note facility to a Purchasing Company, Gresham Receivables (No. 9) Limited, which purchases Certificates issued by a Trust and backed by a pool of home equity loans originated in the United States. Pool specific credit enhancement is provided by overcollateralisation of 22% and by a minimum excess spread of 1.5%. The transaction benefits from certain performance-related trigger events. If these trigger events occur, receivable purchases will terminate. Lloyds TSB Bank Plc provides liquidity for the transaction.

In the second new transaction, for EUR 110 million, Cancara makes advances under a demand note facility to a Purchasing Company, Gresham Receivables (No.11) UK Limited, which purchases notes issued by a special purpose vehicle under a variable funding agreement. The notes are backed by a pool of trade receivables originated in the chemicals industry over pan-European debtors.

Pool-specific credit enhancement is provided by overcollateralisation in the form of reserves calculated according to a dynamic formula.

The transaction benefits from performance trigger events based on delinquency, default and dilution rates. If these trigger events occur, receivable purchases will terminate. Lloyds TSB Bank plc provides liquidity.

For each transaction, Cancara's program-level credit enhancement was increased by 5% of the commitment. Cancara is now authorized to issue approximately USD17.4 billion of ABCP.

HELABA'S OPUSALPHA CHANGES PROGRAMME ADMINISTRATOR

Opusalpha Funding Limited, a partially supported, hybrid ABCP programme sponsored by Landesbank Hessen-Thüringen GZ ('Helaba') (Aa2/Prime-1/C), has transferred the administrative function of the programme to Bedell Trust UK Limited ('Bedell UK'). The conduit's administration had been conducted by Commerzbank AG London ('Commerzbank') (A2/Prime-1/C+) since the conduit was originally established. All the rights and obligations of Commerzbank under the previous administrative agreements have now been transferred to Bedell UK.

Bedell UK is a newly established administrator and is a subsidiary of the Bedell Group headquartered in Jersey. Opusalpha is the first conduit to be administered by Bedell UK, who will make the same representations and warranties as were made by Commerzbank in the original programme documents.

Moody's recently met with Bedell UK to review their conduit administration systems and procedures and believes them to be satisfactory. Bedell UK will be responsible for, among other things; the day to day operations of the conduit, managing the issuance and repayment of ABCP (including performing pre-funding and issuance tests), monitoring the various assets, monitoring of triggers, implementation of any draws on liquidity and programme-wide credit enhancement and for the arrangement for relevant payments to be made in accordance with pre-determined guidelines.

As at the end of January 2006, Opusalpha was authorized to issue up to Euro 829 million of ABCP.

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
Letitia J. Accarrino
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MARCH 27, 2006
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.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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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.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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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