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By clicking “I AGREE” [at the end of this document], 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 inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Announcement:

Moody's ABCP rating actions ending July 23, 2007

25 Jul 2007
Moody's ABCP rating actions ending July 23, 2007

New York, July 25, 2007 -- Moody's ABCP rating actions for the seven-day period ended July 23, 2007

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 DURING THE PERIOD JULY 17, 2007 THROUGH JULY 23, 2007:

THREE PRIME-1-RATED ABCP CONDUITS AMEND INTEREST IN EXISTING INSURANCE PREMIUM FACILITY

Windmill Funding Corp. ("Windmill"), Liberty Street Funding Corp. ("Liberty Street"), and Old Line Funding LLC ("Old Line"), all partially supported, multiseller ABCP conduits sponsored by ABN AMRO Bank (Aa2/Prime-1/B-), The Bank of Nova Scotia ("Scotiabank," Aa1/Prime-1/B), and Royal Bank of Canada ("RBC," Aaa/Prime-1/B+), respectively, have amended their interest in an existing $1.43 billion co-purchase facility. The facility is backed by insurance premium receivables for an unrated subsidiary of an investment-grade-rated insurance company.

This facility has been amended to change the concentration limits of certain insurance carriers. This transaction remains partially supported by liquidity in each conduit. In addition, the liquidity facilities will be drawn upon a borrowing base deficiency or bankruptcy of the originator or guarantor.

Windmill has $15.7 billion in total purchase commitments, with $10.3 billion in outstanding ABCP and $1.5 billion in program-level credit enhancement. Liberty Street has $10.6 billion in total purchase commitments, with $6.6 billion in outstanding ABCP and $956 million in program-level credit enhancement. Old Line has $14.4 billion in total purchase commitments, with $9.1 billion in outstanding ABCP and $1.5 billion in program-level credit enhancement.

LLOYDS TSB'S CANCARA ADDS USD 500 MILLION LOAN FACILITY

Cancara Asset Securitisation Limited ("Cancara"), a partially supported, hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated Aaa/Prime-1/B+), has added a $500 million loan facility to its portfolio. This transaction provides financing to a private equity fund ("Fund") and is secured by uncalled capital commitments of the Fund.

In this transaction, Cancara is purchasing a purchaser demand note backed by a first priority security interest in the remaining capital commitments from institutional and private investors to the Fund. This transaction is partially supported by a liquidity facility provided by Prime-1-rated Lloyds TSB. In addition, this transaction benefits from various structural protections to ensure that investors are protected upon deterioration in the performance of the assets.

With this transaction, Cancara's program-level credit enhancement increased by 5% of its commitment. Cancara is authorized to issue up to USD 25.9 billion of ABCP.

NATIONAL AUSTRALIA BANK'S CENTRESTAR ADDS ECP ISSUER TO ITS PROGRAMME

CentreStar Capital No. 1 LLC ("CentreStar"), a partially supported, multiseller ABCP programme sponsored by National Australia Bank Limited ("NAB," rated Aa1/Prime-1/B), has added an ECP Issuer to its programme structure.

The programme structure will remain unchanged. The ECP Issuer, Prime-1-rated CentreStar Capital (Europe) Limited, will rank equally with the existing USCP Issuer. CentreStar Capital (Europe) Limited, a bankruptcy-remote entity incorporated in Ireland, allows the CentreStar programme to issue European commercial paper to the European market.

All liquidity facilities will be provided at the transaction-specific level and entered into with individual asset or securities owning companies.

The CentreStar programme has a limit of USD 10 billion and is currently authorised to issue up to Euro 2.4 billion of ABCP.

DIRECT FUNDING ADDS EURO 150 MILLION CDS TRANSACTION

DIRECT Funding S.A. ("Direct Funding"), a partially supported, multiseller ABCP conduit sponsored by IXIS CIB ("IXIS," rated Aa2/Prime-1/C+), has added a Euro 150 million interest in a floating rate note backed by Italian residential and commercial mortgage loans.

The asset addition takes the form of a subscription by Direct Funding to a credit derivative transaction, by which it provides protection to its counterparty, IXIS, against certain credit events arising in connection with the underlying senior notes. This transaction benefits from various structural protections to ensure that investors are protected upon deterioration in the performance of the senior notes.

Direct Funding will use the proceeds from its ABCP issuance to fund a cash deposit account, which is pledged to the benefit of the party that is purchasing credit protection.

The affirmation of the conduit's Prime-1 rating is also based on the rating of IXIS, as the credit derivative counterparty and liquidity provider, through its commitment to release the cash collateral associated with the credit derivative, when required.

Direct Funding's program-level credit enhancement has not been increased following the addition of this transaction. Direct Funding is authorized to issue up to Euro 5 billion of ABCP, and its program-level credit enhancement remains at Euro 1 million.

PNC BANK'S MARKET STREET ACQUIRES $150 MILLION INTEREST IN Aaa-RATED VFN

Market Street Funding LLC ("Market Street"), a partially supported, multiseller ABCP conduit sponsored by PNC Bank (Aa3/Prime-1/B), has acquired a $150 million interest in a Aaa-rated variable funding note ("VFN"). The VFN is primarily backed by leveraged loans. This transaction is partially support by liquidity provided by PNC Bank. The liquidity facility will fund for maturing ABCP so long as the VFN is rated at least Caa2.

With this transaction, Market Street has $6.77 billion in total purchase commitments and $605.6 million in program-level credit enhancement.

CERES CAPITAL'S MICA EURO ADDS THIRD TRANSACTION

Mica Funding Ltd. ("Mica Euro"), a fully supported, multiseller ABCP conduit sponsored by Ceres Capital Partners, LLC (unrated, formerly named Stanfield Global Strategies) and administered by Deutsche Bank Trust Company Americas (Aa3/Prime-1/C), has added its third global swap facility. The swap facility permits Mica Euro to purchase up to $3 billion of eligible loans. The facility is fully supported by a total return swap with an unrated subsidiary of a Aa3/Prime-1-rated U.S. financial institution. Since the swap counterparty is unrated, the Aa3/Prime-1-rated U.S. financial institution provides a straight payment guarantee on the counterparty's obligation under the swap agreement.

Mica Euro does not have program-level credit enhancement. Mica Euro has a program limit of $20 billion and is authorized to issue ECP in multiple currencies along with USCP and SLNs through Mica Funding LLC.

CAMBRIDGE PLACE INVESTMENT'S OLD COURT ESTABLISHES TENTH PURCHASING ENTITY

Old Court Funding Plc and Old Court Funding LLC (together, "Old Court"), a partially supported, credit arbitrage ABCP programme sponsored by Cambridge Place Investment Management LLP (unrated), has added its tenth purchasing entity, Noosa Asset Funding Limited. Old Court is independently administered by QSR Management Ltd (unrated), a wholly owned subsidiary of The Bank of New York (Aaa/Prime-1/B+).

Old Court will issue ABCP and use the proceeds to finance the purchasing entity's purchase of financial assets. The repayment of the financing provided by Old Court is fully supported by a liquidity facility provided by Royal Bank of Scotland (Aaa/Prime-1/B+).

With this additional facility, Old Court is authorized to issue up to USD 2.8 billion of ABCP.

ROYAL BANK OF CANADA'S OLD LINE AND WHITE POINT ADD $151.5 MILLION CREDIT CARD TRANSACTION

Old Line Funding LLC ("Old Line") and White Point Funding Inc. ("White Point"), both partially supported, multiseller ABCP conduits sponsored by Royal Bank of Canada ("RBC," rated Aaa/Prime-1/B+), have added a combined $151.5 million interest in A2-rated Class A and Baa2-rated Class B variable funding notes issued from a credit card master trust. White Point has purchased the $120 million senior note while Old Line has funded the $31.5 million subordinate note.

Transaction-specific credit enhancement for the Class A note is sized at 9.5% in the form of subordination and overcollateralization, while the Class B note benefits from 3% of transaction-specific credit enhancement. Each conduit's investment is partially supported by a liquidity facility provided by Prime-1-rated RBC. For the Class B note, CP investors benefit from a structural protection that causes the liquidity bank to purchase the asset once an excess spread trigger is breached.

With this transaction, program-level credit enhancement increased by 10% of White Point's commitment for the Class A note and 20% of Old Line's commitment for the Class B note. Old Line has $14.4 billion in total purchase commitments, with $9.1 billion in outstanding ABCP and $1.5 billion in program-level credit enhancement. White Point has $1.37 billion in total purchase commitments, with $1.37 billion in outstanding ABCP and $137 million program-level credit enhancement.

BNP PARIBAS' STARBIRD FUNDING ADDS $25 MILLION TRADE RECEIVABLE TRANSACTION

Starbird Funding Corporation ("Starbird"), a partially supported, multiseller ABCP program sponsored by BNP Paribas (Aa1/Prime-1/B), has added a $25 million trade receivable purchase facility to its portfolio. The trade receivables are originated by an unrated interstate natural gas pipeline company, a subsidiary of a non-investment-grade-rated company. The transaction is fully supported by a liquidity facility provided by Prime-1-rated BNP Paribas.

With this transaction, Starbird's program-level credit enhancement increased by 8% of its commitment. Starbird has $8.7 billion in total purchase commitments and $593.9 million in program-level credit enhancement.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD JULY 17, 2007 THROUGH JULY 23, 2007:

HSBC FINANCE'S HSBC REAL ESTATE (USA) FUNDING TRUST RATING WITHDRAWN

Moody's has withdrawn the Prime-1 rating of HSBC Real Estate (USA) Funding Trust, a partially supported, single-seller ABCP program administered by HSBC Finance (Aa3/Prime-1). As of July 10, 2007, all outstanding ABCP had been repaid in full. There will be no further issuances under the program.

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

New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Jesse DeSalvo
Senior Associate
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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