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Announcement:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 12, 2006

14 Jun 2006
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 12, 2006

New York, June 14, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD JUNE 6, 2006 THROUGH JUNE 12, 2006:

BANK OF AMERICA'S AQUIFER FUNDING ADDS $1.1 BILLION Aaa-RATED CDO NOTE

Aquifer Funding, LLC ("Aquifer"), a partially supported, prior-review ABCP conduit administered by Bank of America N.A. ("BANA", rated Aa1/Prime-1), has added a $1.1 billion Aaa-rated CDO note to its portfolio. The CDO transaction finances a diversified portfolio of RMBS, ABS and CDOs.

Aquifer is supported by a liquidity facility, which covers the principal amount of maturing ABCP Notes, and by a cost of funds swap, which covers interest on maturing ABCP Notes. The liquidity facility and the swap are payable on any date that ABCP matures and are both provided by Prime-1-rated BANA. Consistent with Aquifer's investment guidelines, the Aaa-rated CDO note is the super senior tranche of the CDO, meaning that this tranche is senior to a subordinate Aaa-rated tranche of the same CDO transaction. Based on the credit quality of the assets in its portfolio, Aquifer is not required to have any credit enhancement at this time.

With this transaction, Aquifer has about $3 billion in purchase commitments and a total authorized amount of $5 billion.

RABOBANK'S AQUINAS AMENDS PROGRAM

Aquinas Funding, LLC ("Aquinas"), a fully supported, securities arbitrage program sponsored by Rabobank Netherland ("Rabobank", rated Aaa/Prime-1/A), has amended its surety bond so that it is consistent with the surety bond currently in Monument Gardens Funding LLC, Rabobank's other securities arbitrage program. No other material changes were made to the surety bond that would adversely affect ABCP investors. In addition, Rabobank has increased its liquidity facility commitment from $2.475 billion to $3 billion to match the current program limit of $3 billion. Rabobank is the sole liquidity provider to Aquinas.

With the increase of the liquidity facility commitment, Aquinas is now authorized to issue up to $3 billion of ABCP.

WESTLB'S COMPASS ADDS EUR0 250 MILLION EQUIPMENT LOAN AND LEASE FACILITY

Compass Securitisation Limited and Compass Securitization LLC (together "Compass"), a partially supported, multiseller ABCP conduit sponsored and administered by WestLB AG (A1/Prime-1/D-), has added a Euro 250 million loan and lease receivables facility to its portfolio. The receivables are originated by a well established equipment finance company in Germany. The receivables in the facility are denominated in Euros and located in Germany, and the underlying obligors are generally German SMEs.

Transaction-specific credit enhancement is provided in the form of excess spread, with a minimum guaranteed amount of 2.5%, and a 6% cash account. The 6% cash account is funded by a combination of cash from the originator and a subordinated loan from a third party. With this transaction, Compass has increased its program-level credit enhancement by 7%, which is provided by Aaa-rated Ambac. This transaction is supported by a liquidity facility provided by Prime-1-rated WestLB. The liquidity facility funds for non-defaulted loans and is sized at 102% of the maximum funded amount financed by Compass.

Compass is currently authorized to issue up to Euro 10 billion in ABCP.

CENTEX'S HARWOOD II INCREASES AUTHORIZED AMOUNT TO $3.14 BILLION

Harwood Street Funding II LLC ("Harwood II"), a partially supported, single-seller mortgage warehouse program sponsored by Centex Home Equity Company LLC, has increased its authorized secured liquidity notes ("SLNs") amount to $3.14 billion from $2.94 billion. Centex Home Equity Company LLC is a wholly owned subsidiary of Centex Corporation (Baa2/Prime-2).

In connection with the maturity and payoff of the $200 million Prime-1-rated Variable Rate Term Notes Series 2005-1 ("Term Notes"), Harwood II has increased the SLN's authorized amount by $200 million to $3.14 billion. The Term Notes and the SLNs are supported by Baa2-rated subordinated notes, which currently total $122.5 million. The subordinated notes, a scalable 2.25% cash collateral account (based on outstandings) and excess spread act as credit enhancement for the Prime-1-rated SLNs in this program.

IKB'S RHINELAND AMENDS PROGRAMME LIQUIDITY STRUCTURE

Rhineland Funding Capital Corp. ("Rhineland"), a hybrid ABCP conduit sponsored by IKB Deutsche Industriebank AG ("IKB", rated Aa3/Prime-1/B-), has amended its liquidity structure for the credit arbitrage component of the programme.

In addition to the existing liquidity loan and liquidity asset purchase agreements, the new liquidity structure allows for part of the liquidity commitment to be in the form of put options (the "Put") under a swap agreement. Similar to a liquidity asset purchase agreement, the purchasing companies are obligated to sell their assets to the put option provider upon a liquidity event. This form of liquidity structure is limited to a maximum amount of USD 4 billion. The form of liquidity that is provided through the Put is structured similarly to other liquidity mechanisms currently in place.

Previously, less than 80% of the overall liquidity support for Rhineland was provided by IKB with the remaining portion provided by other Prime-1-rated banks. This amendment will decrease IKB's liquidity support in the credit arbitrage component of Rhineland to approximately 50%. IKB will continue to provide over 95% of the liquidity support for the receivable pools.

Rhineland is authorized to issue up to Euro 9 billion of ABCP.

BARCLAYS' STRATFORD ADDS $4 BILLION MORTGAGE WAREHOUSE LENDING AND $600 MILLION RENTAL CAR TRANSACTION

Stratford Receivables Company LLC ("Stratford"), a partially supported, extendible note, multiseller ABCP program sponsored by Barclays Bank PLC (Aa1/Prime-1/A-), has added two Aaa-rated transactions. The first transaction is a $4 billion securitization of mortgage warehouse lending receivables. The receivables, generated by mortgage originators, are collateralized by residential mortgage loans. The transaction's unrated seller/servicer has an investment-grade-rated parent. Transaction-specific credit enhancement is dynamic, which includes a market value component, and is based on the types of mortgages provided as the underlying collateral. A nominal liquidity commitment is being provided by Barclays.

Additionally, Stratford has financed a $600 million transaction backed by rental cars. The underlying collateral is originated by an unrated subsidiary of an investment-grade-rated company. The transaction is rated Aaa based upon a financial insurance guaranty provided by a Aaa-rated monoline insurer. Barclays is providing liquidity for a percentage of this transaction's commitment amount.

Since both transactions are Aaa-rated, Stratford was not required to increase its program-level credit enhancement for these transactions.

Stratford is the first reduced liquidity, multiseller extendible program in the ABCP market worldwide. Stratford may issue up to $10 billion of U.S. dollar-denominated ABCP in the U.S. market. Stratford is now authorized to issue up to $14 billion of extendible notes and has $42 million in program-level credit enhancement.

MELLON BANK'S THREE RIVERS ADDS $50 MILLION INTEREST IN REVOLVING LOAN FACILITY

Three Rivers Funding Corp. ("Three Rivers"), a partially supported, multiseller ABCP conduit sponsored by Mellon Bank (Aa3/Prime-1/B), has added a $50 million interest in a $500 million revolving loan facility provided to an unrated biotechnology company. The facility is backed by pledged securities. The transaction is fully supported by a liquidity facility provided by Mellon Bank.

With this transaction, Three Rivers' program-level credit enhancement was increased by 8% of its commitment. Three Rivers has about $1.73 billion in total purchase commitments and $221 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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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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