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Announcement:

Moody's ABCP rating actions ending March 10, 2008

11 Mar 2008
Moody's ABCP rating actions ending March 10, 2008

New York, March 11, 2008 -- MOODY'S UPDATES ABCP QUERY

Moody's has published its ABCP Query product with information as of December 31, 2007. All U.S. and European programs are complete through November 2007, with partial information available through December 2007. This report is published monthly and can be found with Moody's other ABCP research products at www.moodys.com.

Moody's ABCP rating actions for the seven-day period ended March 10, 2008

THE FOLLOWING ABCP PROGRAM WAS RATED PRIME-1 DURING THE PERIOD MARCH 4, 2008 THROUGH MARCH 10, 2008:

MOODY'S ASSIGNS PRIME-1 RATING TO RABOBANK INTERNATIONAL'S NEPTUNE FUNDING ABCP PROGRAM

Moody's has assigned a Prime-1 rating to the asset-backed commercial paper issued by Neptune Funding Corporation ("Neptune"), an existing multiseller ABCP program administered by Rabobank International, New York Branch, a branch of Rabobank Nederland (Aaa/Prime-1/B+). Neptune, established in October 1997, is owned by GSS Holdings Inc. and is managed by Global Securitization Services, LLC. All transactions funded by Neptune are subject to Moody's prior review.

Neptune issues standard ABCP with a maximum tenor of 270 days. The combination of a high quality portfolio and liquidity support provided by Prime-1-rated entities provides ABCP investors with loss protection and repayment certainty consistent with a Prime-1 rating.

The Prime-1 rating assigned to Neptune's ABCP is based on, among other factors, the following: (i) the bankruptcy-remote structure of the program, (ii) Moody's prior review of all transactions to ensure that the credit quality of the assets is consistent with a Prime-1 rating, (iii) liquidity support provided by Prime-1-rated banks under credit-linked deposits (CLDs) or other liquidity agreements, and (iv) the experience and capability of Rabobank International as administrator to recommend, structure and monitor assets and to ensure timely issuance and payment of ABCP.

Given the high credit quality of the existing transactions, Neptune currently does not have program-level credit enhancement. However, the conduit has the ability to add program-level credit enhancement if it is required. Neptune currently finances four CLD interests with an aggregate purchase limit of approximately $3.15 billion and ABCP outstanding of $1.53 billion.

For further details, please see Moody's press release dated March 4, 2008.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 DURING THE PERIOD MARCH 4, 2008 THROUGH MARCH 10, 2008:

DEUTSCHE BANK'S ASPEN AND NEWPORT AMEND PROGRAM STRUCTURE TO INCLUDE FULLY SUPPORTED GLOBAL LIQUIDITY FACILITIES

Aspen Funding Corp. ("Aspen") and Newport Funding Corp. ("Newport"), two fully supported, securities arbitrage programs administered by Deutsche Bank AG (Aa1/Prime-1/B), have amended their programs to allow for securities to be fully supported by program-level liquidity facilities. The facilities are in the form of a program-level liquidity agreement or total rate of return swap. Prime-1-rated Deutsche Bank is the provider of both agreements. The only out to funding under either agreement is the bankruptcy of the related conduit.

Aspen and Newport were established to acquire highly-rated mortgage-backed and asset-backed securities rated Aa2 or higher, make uncommitted loans secured by various types of assets, and purchase assets under repurchase agreements. Aspen and Newport are structured similarly, and the criteria for purchasing assets are identical.

Aspen has $3.58 billion in total purchase commitments and Newport has $3.2 billion in total purchase commitments.

KBC'S ATOMIUM ADDS USD 133 MILLION LETTER OF CREDIT AS CREDIT ENHANCEMENT

Atomium Funding Corporation ("Atomium"), a partially supported, securities arbitrage ABCP conduit sponsored by KBC Financial Products, a subsidiary group of KBC Bank NV ("KBC," rated Aa2/Prime-1/B-), has recently added structural credit enhancement in the form of a letter of credit ("LOC") amounting to USD 133 million, or 4.6% of the total notional amount of the collateral pool. The LOC provides additional protection to ABCP investors against sudden migrations of highly rated securities in the pool to Caa1 or below. The LOC is provided by KBC Investments Limited, a subsidiary of KBC, and is secured with a guarantee by KBC. The LOC is fully subordinated to repayment of ABCP and liquidity advances and is currently the sole credit enhancement provided to the programme.

Atomium's ABCP investors continue to benefit from liquidity coverage for 100% of outstanding ABCP in the form of a liquidity asset purchase agreement and loan facility, both provided by KBC. The liquidity asset purchase agreement funds against securities rated Baa3 or better while the loan facility, sized at 15% of the portfolio amount, can fund for securities rated down to B3. As a mitigant, in order to continue issuing ABCP Atomium is required to sell any security downgraded below Aa3 within 15 business days, failing which liquidity amounts would be utilized to the extent available.

Atomium is authorised to issue up to USD 5 billion of ABCP. More detailed information on Atomium's portfolio is available on the Performance Overview report for this programme located at www.moodys.com.

SOCIETE GENERALE'S BARTON ADDS $150 MILLION RESIDUAL INTEREST FACILITY

Barton Capital LLC ("Barton"), a partially supported, multiseller ABCP program administered by Societe Generale ("SG," rated Aa2/Prime-1/B-), has added a $150 million interest in an existing facility that finances residual interests in various equipment sales contracts. This transaction is part of a $300 million co-purchase facility.

Transaction-specific credit enhancement includes excess spread. In addition, the transaction benefits from strong structural protections, such as a turbo feature for payments to pay down principal. This transaction is partially supported by a liquidity facility provided by Prime-1-rated SG.

Barton was not required to increase its program-level credit enhancement for this transaction. Barton has $22.5 billion in total purchase commitments and $1.089 billion in program-level credit enhancement.

BANK OF NOVA SCOTIA'S BAY STREET INCREASES INTEREST IN EXISTING AUTO LEASE TRANSACTION

Bay Street Funding Trust ("Bay Street"), a partially supported, multiseller, Canadian asset-backed commercial paper (ABCP) program sponsored and administered by Scotia Capital Inc., a wholly-owned subsidiary of The Bank of Nova Scotia ("BNS," rated Aa1/Prime-1/B), has increased its commitment in an existing auto lease transaction to CDN$175 million from CDN$155 million.

Transaction-specific credit enhancement is in the form of overcollateralization and sized at a minimum of 30% or 38% depending on the type of vehicles. This transaction is partially supported by a liquidity facility provided by Prime-1-rated BNS.

Bay Street has no program-level credit enhancement and is now authorized to issue up to CDN$3.48 billion of ABCP.

BNP PARIBAS' ELIOPEE AMENDS EXISTING TRANSACTION AND INCREASES PROGRAMME CREDIT ENHANCEMENT

Eliopee Limited ("Eliopee"), a partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa1/Prime-1/B), has amended an existing transaction backed by trade receivables originated by a French company operating in the transport sector.

The floor of the transaction-specific credit enhancement was increased to 30% from 13%, while the historical level of dynamic credit enhancement has been around 28.5% over the last two years. This amendment was driven by the deterioration in the credit quality of the underlying originator whereas the pool continues to perform within expectations.

Moody's affirmed the Prime-1 rating of Eliopee based on the good performance of the underlying receivables and the additional protection provided by the combination of the increased transaction-specific credit enhancement and the increased programme-level credit enhancement to Euro 109 million from Euro 99 million.

Eliopee is authorized to issue up to approximately Euro 2.5 billion of ABCP.

BANK OF NOVA SCOTIA'S LIBERTY STREET AMENDS INTEREST IN THREE EXISTING FACILITIES

Liberty Street Funding LLC ("Liberty Street"), a partially supported, multiseller ABCP program sponsored and administered by The Bank of Nova Scotia ("BNS," rated Aa1/Prime-1/B), has amended three existing facilities in its portfolio. Two of the three facilities amended their liquidity support from fully supported to partially supported liquidity. The liquidity commitments remain the same and are sized to cover the face amount of ABCP. The two facilities consist of a $392 million amortizing truck loan facility and a $275 million revolving auto lease warehouse facility. Liberty Street also increased its interest in a third transaction to $380 million from $290 million.

Transaction-specific credit enhancement for the truck loan facility is in the form of overcollateralization and reserves equal to a minimum of 5% of the initial pool balance. The amount of enhancement is non-declining in order to cover any tail-end risk associated with this type of asset. Transaction-specific credit enhancement for the auto lease facility is in the form of overcollateralization. The amount is dynamic based on historical credit and residual loss. The floor amount is sized at 12% of the aggregate loan amount. Although the enhancement is sized to cover both credit and residual risk, liquidity will cover all residual risk. Therefore, investors are only exposed to credit risk and Moody's analysis was based on the credit risk of the transaction. Both transactions are partially supported by liquidity facilities provided by Prime-1-rated BNS. Each respective liquidity facility will fund for non-defaulted receivables.

Liberty Street has also increased its interest in an existing market value closed-end fund to $380 million from $290 million. The facility is backed by a closed-end fund that invests in a diversified portfolio of below investment grade and investment grade debt and equity securities. This transaction is partially supported by a liquidity facility provided by Prime-1-rated BNS. The liquidity facility will fund for the market value of the portfolio.

Moody's reviewed each facility and determined that the credit quality was consistent with the Prime-1 rating of the program.

For all three transactions, Liberty Street increased its program-level credit enhancement by 10% of the facility limits. Liberty Street is authorized to issue up to $10.7 billion of ABCP and has approximately $1.2 billion in program-level credit enhancement.

BARCLAYS' SHEFFIELD ADDS $300 MILLION TRANSACTION BACKED BY RENTAL CAR FLEET RECEIVABLES

Sheffield Receivables Corp. ("Sheffield"), a partially supported, multiseller ABCP program sponsored by Barclays Bank PLC ("Barclays," rated Aa1/Prime-1/B+), has added a $300 million interest in a co-purchase facility backed by rental car fleet receivables. This transaction is part of a $1.1 billion facility.

Transaction-specific credit enhancement in the form of overcollateralization, a reserve account and one or more letters of credit is sized at a minimum of 21.5%. This transaction is partially supported by a liquidity facility provided by Prime-1-rated Barclays.

With this transaction, Sheffield increased its program-level credit enhancement by 10% of the purchase commitment. Sheffield is authorized to issue up to $37.6 billion of ABCP.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD MARCH 4, 2008 THROUGH MARCH 10, 2008:

NATIONWIDE BUILDING SOCIETY'S COBBLER FUNDING RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 rating of the ABCP issued by Cobbler Funding LLC/Cobbler Funding Limited, a partially supported, securities arbitrage ABCP program administered by Nationwide Building Society (Aa2/Prime-1/B). As of February 13, 2008, all outstanding ABCP had been repaid in full and there will be no further issuance under this program.

For a more detailed description of these ABCP programs, see Moody's website: 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.
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