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Announcement:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 24, 2006

26 Jul 2006

New York, July 26, 2006 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD JULY 18, 2006 THROUGH JULY 24, 2006:

MOODY'S ASSIGNS PRIME-1 RATING TO LIBERTY HAMPSHIRE'S LEXINGTON PARKER CAPITAL COMPANY, LLC ABCP PROGRAM

Moody's has assigned a Prime-1 rating to the US and Euro asset-backed commercial paper (together, "ABCP") issued by Lexington Parker Capital Company, LLC ("Lexington Parker"). Lexington Parker is a newly established, fully supported, multiseller asset-backed commercial paper program sponsored by The Liberty Hampshire Company, LLC.

Lexington Parker manages a portfolio of financial assets and from time to time enters into additional transactions with originators of assets. The ABCP issued by Lexington Parker to fund these transactions is supported by the full liquidity support provided by Prime-1-rated institutions. Therefore, ABCP note holders are insulated from risks associated with the underlying transactions financed through Lexington Parker.

The Prime-1 rating assigned to Lexington Parker is based primarily on the full liquidity support provided by Prime-1-rated institutions and structural protections which ensure the bankruptcy-remoteness of Lexington Parker.

For further details, please see Moody's press release dated July 20, 2006.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD JULY 18, 2006 THROUGH JULY 24, 2006

CALYON'S ATLANTIC AND LA FAYETTE RESTRUCTURE EXISTING MORTGAGE FACILITY AND FOUR PRIME-1-RATED ABCP CONDUITS JOIN THE FACILITY

Atlantic Asset Securitization LLC ("Atlantic") and La Fayette Asset Securitization LLC ("La Fayette"), both partially supported, multiseller ABCP programs sponsored by Calyon (Aa2/Prime-1/C), have restructured and increased their interest in an existing mortgage facility. The amendments include (i) increasing the size of the facility from $650 million to $1.2 billion, (ii) including four new conduit co-purchasers, (iii) amending the default trigger from 1% to 2%, (iv) expanding the eligibility criteria for mortgage loans, (v) adding various financial covenants, and (vii) including a dynamic reserve requirement to exceed the floor amount of 0.50% based on the amount of excess spread in the deal. This transaction, which was added to Atlantic and La Fayette in 2002, finances loans for an investment-grade-rated company that originates and services mortgage loans.

With the restructuring, the transaction continues to benefit from a minimum of 2% transaction-specific credit enhancement in the form of advance rates, which vary depending on the type of mortgage loan. The transaction has various loan eligibility criteria and portfolio concentration limits. Additionally, no loan can remain in the facility for more than 120 days (with a 10% limit for loans up to 180 days). In addition, the transaction has structural protections such as an ABCP tenor limitation, and a cease issuance of ABCP upon the occurrence of various trigger events. This transaction remains partially supported in Atlantic and La Fayette.

With the restructuring, the following Prime-1-rated ABCP conduits now participate in this transaction:

• Bank of America's Yorktown Capital LLC acquired a $150 million interest and increased its program-level credit enhancement by 10%.

• Bank of Nova Scotia's Liberty Street Funding Corp. acquired a $150 million interest and increased its program-level credit enhancement by 10%.

• Calyon's Atlantic Asset Securitization LLC and La Fayette Asset Securitization LLC increased their aggregate commitment from $400 million to $450 million. Atlantic increased its program-level credit enhancement by 10%; La Fayette increased its program-level credit enhancement by 8%.

• Citicorp's CAFCO, LLC acquired a $150 million interest and increased its program-level credit enhancement by 8%.

• JPMorgan Chase's Falcon Asset Securitization Corp. increased its commitment from $100 million to $150 million and increased its program-level credit enhancement by 10%.

• SocGen's Barton Capital LLC acquired a $150 million interest and increased its program-level credit enhancement by 8%.

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

MIZUHO CORPORATE BANK'S ADVANTAGE ACQUIRES $100 MILLION VFN

Advantage Asset Securitization Corp. ("Advantage"), a partially supported, multiseller conduit sponsored by Mizuho Corporate Bank, Limited ("Mizuho", rated A1/Prime-1/D+), has acquired a $100 million Baa1-rated variable funding note ("VFN"). The VFN is backed by future cash flows generated through diversified payment rights. This transaction is fully supported by a liquidity facility provided by Mizuho.

With this transaction, Advantage has $1.26 billion in total purchase commitments.

NORDLB'S HANNOVER ACQUIRES $50 MILLION INTEREST IN EXISTING LOAN FACILITY

Hannover Funding Company LLC ("Hannover"), a hybrid ABCP conduit sponsored by Norddeutsche Landesbank GZ ("NordLB", rated Aa3/Prime-1/C-), has acquired a $50 million interest in an existing $300 million loan facility backed by export-related trade receivables originated by an unrated company. The liquidity facility provided by NordLB fully supports this transaction.

Hannover has $2.77 billion in total purchase commitments and $125 million in program-level credit enhancement.

PNC BANK'S MARKET STREET ADDS $199.99 MILLION AMORTIZING LOAN FACILITY

Market Street Funding LLC ("Market Street"), a partially supported, multiseller ABCP conduit sponsored by PNC Bank (A1/Prime-1/B-), has added a $199.99 million amortizing loan facility. The loan facility is backed by fleet auto leases originated by an unrated company. The liquidity facility provided by PNC Bank fully supports this transaction.

With this transaction, Market Street's program-level credit enhancement was increased by 10% of its commitment. Market Street has $4.89 billion in total purchase commitments and $482.4 million in program-level credit enhancement.

ING'S MONT BLANC AMENDS $625 MILLION INTEREST IN CLASS-A NOTE

Mont Blanc Capital Corp. ("Mont Blanc"), a partially supported, multiseller conduit sponsored by ING Bank N.V. (Aa2/Prime-1/B+), has amended its $625 million interest in an existing Class A-5 note issued out of a credit card master trust.

Mont Blanc is replacing its $175 million credit enhancement facility with a surety bond provided by Assured Guaranty Corp. (Aa1) for the same amount. The liquidity facility for this transaction remains unchanged.

Mont Blanc has $8.4 billion in total purchase commitments with $4.9 billion outstanding and $427 million in program-level enhancement.

ROYAL BANK OF CANADA'S THUNDER BAY AMENDS INTERESTS IN THREE Aaa-RATED CLO NOTES

Thunder Bay Funding, LLC ("Thunder Bay"), a partially supported, multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC," Aa2/Prime-1/B+), has amended its investments in three Aaa-rated CLO notes.

The three transactions are a $97.9 million investment in a Class A-1 CLO note, a $63 million interest in a Class A CLO note, and a $50 million investment in a Class A-1a CLO note. The liquidity facility for each transaction was amended to make it consistent with the liquidity funding formula and the outs to liquidity used in all newly funded CLOs in White Point Funding, Thunder Bay's sister conduit.

Thunder Bay has $7.4 billion in purchase commitments, with $4.9 billion of outstanding ABCP and $1 billion in program-level credit enhancement.

ROYAL BANK OF CANADA'S WHITE POINT PURCHASES $55 MILLION INTEREST IN Aaa-RATED CLO NOTE

White Point Funding Inc. ("White Point"), a partially supported, multiseller conduit sponsored by Royal Bank of Canada ("RBC," Aa2/Prime-1/B+), has purchased a $55 million interest in a Aaa-rated Class A-1L CLO note.

The underlying assets consist primarily of senior secured leveraged loans along with a small allocation to high yield bonds. The total capital structure of the CLO is $600 million, of which $374 million is the senior Class A-1L note that White Point has purchased.

With this transaction, White Point has increased its program-level credit enhancement by 10% of its commitment. The program-level credit enhancement for White Point remains at the floor of $100 million. White Point has $605 million in total purchase commitments with $605 million in outstandings.

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

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 24, 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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