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By clicking “I AGREE”, you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

MOODY'S ASSIGNS PRIME-1 RATING TO OLD COURT FUNDING, A NEW ABCP PROGRAMME SPONSORED BY CAMBRIDGE PLACE INVESTMENT MANAGEMENT LLP

23 Dec 2004
MOODY'S ASSIGNS PRIME-1 RATING TO OLD COURT FUNDING, A NEW ABCP PROGRAMME SPONSORED BY CAMBRIDGE PLACE INVESTMENT MANAGEMENT LLP

Maximum programme amount of $5 billion

London, 23 December 2004 -- Moody's Investors Service has assigned a Prime-1 rating to the asset-backed commercial paper (ABCP) issued by Old Court Funding PLC, a newly established, partially supported, credit arbitrage ABCP programme sponsored by Cambridge Place Investment Management LLP.

PROGRAMME STRUCTURE: Old Court may issue ABCP in the US or Euro ABCP markets. The proceeds of ABCP issuance are used by the issuer to make loans ("PE Loans") to purchasing entities, which in turn purchase financial assets from funds and other vehicles managed by Cambridge. Initially there is only one purchasing entity, but others may be added in the future, subject to ratings affirmation. The structural features described in this press release refer to the first purchasing entity only and may not apply to future purchasing entities.

The assets funded by the proceeds of the first PE Loan must have a Moody's rating, or be otherwise eligible for funding pursuant to the programme documentation. As with other credit arbitrage conduits, investors in Old Court are not exposed to changes in the market value of the assets: the main risk they face is a rapid decline in the credit quality of the portfolio.

USE OF MOODY'S CDOROM™ v2.0: The first PE Loan is not rated by Moody's. However, Cambridge uses Moody's CDOROM™ v2.0 to obtain a rating forecast for the PE Loan (a "Rating Forecast"). Rating Forecasts are based upon certain modeling assumptions and inputs that may not be the same as the assumptions and inputs Moody's would use if it were to assign an actual rating to the PE Loan. It is a condition to issuance that the Rating Forecast is at least Aa2 and the liquidity facility (provided by Prime-1 rated Barclays Bank PLC) is available to repay ABCP in full provided that the Rating Forecast does not fall below Caa2. Therefore, investors are exposed to the risk that a Rating Forecast migrates from Aa2 or above to below Caa2 over 364 days (the maximum tenor of ABCP). Moody's considers this risk to be commensurate with Prime-1. For more details on Moody's CDOROM™ v2.0, please see Moody's Press Release dated Nov. 30 2004.

EXTENDABLE AND CALLABLE NOTES: Old Court is authorised to issue extendable notes (ECNs) or callable notes with expected maturity dates or call dates of up to 270 days and final maturity dates of up to 364 days. ECNs shall be repaid on their expected maturity date unless extended by Old Court. Callable notes may be called by Old Court on their call date. During the extension period, ECNs and callable notes will accrue interest at a rate per annum equal to one month LIBOR/EURIBOR plus 0.25%.

Old Court may issue ECNs or callable notes in the US or ECP markets in order to reduce the likelihood of it being required to draw on its bank liquidity facility. However, unlike some other ABCP programmes, Old Court cannot use ECNs or callable notes as a means of reducing the required commitment amount of bank liquidity. On each expected maturity date and call date and on each date during the extension period on which the variable interest rate is reset, the Manager will determine whether the commitment under the liquidity facility provided by Barclays is sufficient to cover, inter alia, the face amount of outstanding ABCP, including interest on ECNs and callable notes that will accrue up to the next interest payment date. If the Manager determines that there will be a shortfall on the next interest payment date, liquidity will be drawn immediately to repay the relevant ECNs and callable notes. It follows that the liquidity commitment will always be sufficient to cover both the principal and accrued interest in relation to ECNs and callable notes. However, investors should note that the amount of liquidity available to be drawn may be reduced in the event that the Rating Forecast is below Caa2.

FLOATING-RATE ABCP: Old Court is authorised to issue floating-rate ABCP. Whereas traditional ABCP either bears interest at a fixed rate or is issued at a discount, floating rate ABCP bears interest at a rate that is reset periodically by reference to a benchmark index, such as LIBOR. The risk of interest rate volatility associated with Old Court's floating-rate ABCP shall be fully hedged by way of swap agreements between Old Court and P-1 rated counterparties. Old Court's liquidity facility will be sized to cover its fixed-rate payment obligations under such swaps.

RATING OPINION: Old Court's Prime-1 rating is primarily based on the following:

" The availability of liquidity in an amount sufficient to repay ABCP in full, so long as each Rating Forecast from CDOROM™ v2.0 is Caa2 or above, combined with the provision for a cease issuance of commercial paper should the related Rating Forecast be lower than Aa2.

" A requirement for the relevant Rating Forecast to remain at least Aa2 as a condition to any asset substitutions.

" The ability of Cambridge to use Moody's CDOROM™ v2.0 correctly and the requirement for each Rating Forecast to be verified by QSR (a wholly-owned subsidiary of The Bank New York (Aa2/P-1)) as independent Programme Administrator.

" Suitable hedging of all FX and interest rate risks.

" Adequate provision for Old Court's expenses.

" The Prime-1 rating of Barclays short-term debt obligations.

" The bankruptcy remote nature of each co-issuer and purchasing entity.

CREDIT ENHANCEMENT: Old Court does not benefit from any programme wide enhancement. However, transaction specific enhancement is provided at the purchasing entity level in order to achieve a minimum Rating Forecast of Aa2. This enhancement may take the form of overcollateralisation, cash, subordinated notes or committed loan facilities.

The required amount of enhancement is determined in accordance with Moody's CDOROM™ v2.0, a software tool that helps market participants model credit risk on the full spectrum of synthetic CDO products. The tool is the same as that used by Moody's own analysts to analyse CDO transactions.

Each Rating Forecast obtained by Cambridge for the purpose of, inter alia, ABCP issuance, asset substitutions or liquidity drawings, must be verified by QSR Management Limited (QSR), an independent administrator which is wholly owned by The Bank of New York. Moody's has assessed the capabilities of Cambridge and QSR to operate the model correctly and, in addition, will periodically check the Rating Forecasts itself. However, the Rating Forecasts are not Moody's ratings and are not monitored as such.

EXPENSES: Provision for expenses is made separately at the purchasing entity and issuer level. At the purchasing entity level, a cash reserve is sized to cover expenses over a 1 year period (i.e. the maximum tenor of ABCP) plus $150,000 for unexpected expenses. At the issuer level, liquidity is sized to cover the issuer's expenses up the last maturity date of outstanding ABCP plus $150,000 for unexpected expenses.

PROGRAMME MANAGER / ADMINISTRATOR: As programme manager, Cambridge is responsible for, inter alia, running Moody's CDOROM™ v2.0 to obtain Rating Forecasts, checking conditions to issuance and issuing ABCP, arranging hedging and, if necessary, drawing liquidity facilities. Cambridge does not manage any other ABCP conduits, but is an experienced fund manager which also manages several CDOs.

QSR Management Limited (a wholly owned subsidiary of The Bank of New York (Aa2/P-1)) has been appointed as programme administrator. QSR's functions include verification of each Rating Forecast, reporting, cash management and determining whether liquidity needs to be drawn to repay ABCP. QSR is independent of both Cambridge and Barclays. It acts as administrator for another ABCP conduit and a structured investment vehicle.

The performance of assets funded by Old Court will be noted in Moody's ABCP MARKET SUMMARY and MONTHLY PERFORMANCE OVERVIEWS. Furthermore, Moody's will provide detailed up-dates about the programme through its GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW. All the above research will be available on moodys.com. For details on Moody's CDOROM™ v2.0, please see Moody's Press Release dated Nov. 30 2004.

Paris
Annick Poulain
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Edward Manchester
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. 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 APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER 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. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS 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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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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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

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