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Announcement:

Moody's ABCP rating actions ending March 17, 2008

19 Mar 2008

New York, March 19, 2008 -- Moody's ABCP rating actions for the seven-day period ended March 17, 2008

THE FOLLOWING ABCP PROGRAMS WERE RATED PRIME-1 DURING THE PERIOD MARCH 11, 2008 THROUGH MARCH 17, 2008:

MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S FENWAY FUNDING LLC INVESTOR OPTION NOTES

Moody's has assigned a Prime-1 rating to the USD-denominated Series 2008-1 investor option notes (IONs) issued by Fenway Funding LLC (Fenway Funding). Fenway Funding is a fully supported, multiseller commercial paper program sponsored by Hudson Castle Group Inc. (Hudson Castle). Fenway Funding's ION program has an initial program limit of $10 billion.

Fenway Funding is a bankruptcy remote company with Fenway Capital LLC (Fenway Capital) as its sole member. Fenway Funding will issue fully supported IONs with a final maturity date of up to 390 days and a renewal period not less than 30 days prior to the final maturity date. The proceeds of the IONs will be used to purchase inter-company funding notes issued by Fenway Capital, a bankruptcy remote, multiseller and multi-debt issuing entity sponsored by Hudson Castle. Fenway Capital, which itself is unrated, will in turn use the proceeds from these inter-company funding notes to acquire or make loans secured by interests in eligible collateral originated or referred by its clients as is typical of a multiseller ABCP conduit. Moody's will review each asset purchase entered into by Fenway Capital.

Fenway Capital will obtain fully supporting liquidity facilities from Prime-1-rated financial institutions in order to pay, when due, the interest and principal on the IONs issued by Fenway Funding.

The Prime-1 rating assigned to Fenway Funding's IONs is based on the following: (i) the full liquidity support provided by Prime-1-rated financial institutions, (ii) Moody's prior review of all transactions, (iii) structural protections that ensure the bankruptcy remoteness of the conduit, and (iv) the experience and capability of Deutsche Bank Trust Company Americas (Aa3/Prime-1/C) in its role as administrator, issuing and paying agent, and collateral agent for the program.

For further details, please see Moody's press release dated March 11, 2008.

MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S FOXBORO FUNDING LLC INVESTOR OPTION NOTES

Moody's has assigned a Prime-1 rating to the USD-denominated Series 2008-1 investor option notes (IONs) issued by Foxboro Funding Ltd. and Foxboro Funding LLC (Foxboro Funding). Foxboro Funding is a fully supported, multiseller commercial paper program sponsored by Hudson Castle Group Inc. (Hudson Castle). Foxboro Funding's ION program has an initial program limit of $10 billion.

Foxboro Funding Ltd. is a bankruptcy remote corporation owned by Foxboro Capital Ltd. (Foxboro Capital). Its co-issuer, Foxboro Funding LLC, is a bankruptcy remote company with Foxboro Capital Ltd. as its sole member. Foxboro Funding LLC will issue fully supported IONs with a final maturity date of up to 390 days and a renewal period not less than 30 days prior to the final maturity date. The proceeds of the IONs will be used to purchase inter-company funding notes issued by Foxboro Capital Ltd., a bankruptcy remote, multiseller and multi-debt issuing entity sponsored by Hudson Castle. Foxboro Capital, which itself is unrated, will in turn use the proceeds from these inter-company funding notes to acquire or make loans secured by interests in eligible collateral originated or referred by its clients as is typical of a multiseller ABCP conduit. Moody's will review each asset purchase entered into by Foxboro Capital.

Foxboro Capital will obtain fully supporting liquidity facilities from Prime-1-rated financial institutions in order to pay, when due, the interest and principal on the IONs issued by Foxboro Funding.

The Prime-1 rating assigned to Foxboro Funding's IONs is based on the following: (i) the full liquidity support provided by Prime-1-rated financial institutions, (ii) Moody's prior review of all transactions, (iii) structural protections that ensure the bankruptcy remoteness of the conduit, and (iv) the experience and capability of Deutsche Bank Trust Company Americas in its role as administrator, issuing and paying agent, and collateral agent for the program.

For further details, please see Moody's press release dated March 11, 2008.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 DURING THE PERIOD MARCH 11, 2008 THROUGH MARCH 17, 2008:

SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTERESTS IN $32 BILLION STUDENT LOAN FACILITY

A syndicate of banks has participated in four newly established student loan warehouse facilities totaling $32 billion. These facilities include three FFELP issuers with a combined limit of $26 billion, and a $6 billion private credit loan facility. The Federal Family Education Loan Program (FFELP) loans carry a guarantee from the U.S. Department of Education; the guarantee covers a minimum of 97% of defaulted principal and accrued interest. The warehouse facilities are established for a major public issuer of student loan-backed securities.

The FFELP facilities issue two classes of notes; a senior tranche sized at 97% (Class A note) and a 3% junior tranche (Class B note). The Class A notes are rated Aaa, which is based on the 3% subordination provided by the Class B notes. The Class B notes are rated A2. Transaction-specific credit enhancement is in the form of advance rates, which vary depending on the type of loan. In addition, both notes benefit from a 0.50% cash reserve account that is funded at closing.

The private credit loan facility is structured as a single tranche issuance. The variable funding note (VFN) issued by the trust is rated Aaa and is supported by transaction-specific credit enhancement in the form of overcollateralization, which is determined by the loan type and borrower's credit quality. The VFN also benefits from a 0.50% cash reserve account that is funded at closing.

The liquidity facility for each participating conduit is sized at 100% (plus all CP interest) or 102% of its respective commitment. For the FFELP facilities, the liquidity facilities fund against the portion of loans that is guaranteed by the government and deduct the amount of non-guaranteed, defaulted student loans. For the private credit facility, the liquidity facilities advance against the portion of non-defaulted student loans net of recoveries.

All participating banks finance both FFELP and private-credit facilities. Unless otherwise noted, 20% of each participating bank's commitment was used to finance the Aaa-rated private-credit VFN.

The following Prime-1-rated ABCP conduits participated in the warehouse facilities:

• JPMorgan's conduits acquired an $8 billion interest across the four facilities. At closing, Falcon Asset Securitization Company LLC, Jupiter Securitization Company LLC, and Park Avenue Receivables Company, LLC increased their program-level credit enhancement by 10% of outstanding ABCP issued by each conduit to finance its commitment. Chariot Funding LLC increased its program-level credit enhancement by 5% of outstanding ABCP issued with respect to its commitment. The conduits' program-level credit enhancement may be reduced at a later date to only cover the FFELP Class B notes.

• Bank of America's Ranger Funding Company, LLC acquired a $2.2 billion interest and Yorktown Capital, LLC acquired a $2.1 billion interest in the facilities. Ranger and Yorktown increased their program-level credit enhancement by 3% of their commitment to the FFELP facilities. Kitty Hawk Funding Corporation acquired a $700 million interest in the private-credit facility on a fully supported basis.

• The Royal Bank of Scotland plc's Thames Asset Global Securitization No. 1, Inc. ("TAGS") has a $5.0 billion commitment and increased its program-level credit enhancement by 5% of outstanding ABCP issued with respect to this transaction.

• Barclays Bank's Sheffield Receivables Corp. has a $4.0 billion commitment and increased its program-level credit enhancement by 10% of its commitment to FFELP Class B notes.

• Deutsche Bank's Gemini Securitization Funding Corp. has acquired a $3.0 billion interest.

• Credit Suisse's Alpine Securitization Corp. has acquired a $1.25 billion interest.

Other non-conduit lenders provided the remaining commitments.

SOCIETE GENERALE'S BARTON ADDS $250 MILLION LOAN FACILITY

Barton Capital LLC ("Barton"), a partially supported, multiseller ABCP program administered by Société Générale ("SG," rated Aa2/Prime-1/B-), has added a $250 million loan facility to its portfolio. The transaction is part of a $500 million co-purchased facility with another lender. The loan facility is established for a limited partnership fund ("Fund"). The Fund invests in various global real estate opportunities. The loan facility provides interim financing for the Fund's investments and is secured by the uncalled capital commitments of the Fund's investors.

The transaction benefits from transaction-specific credit enhancement ranging from 10% to 35%, in the form of overcollateralization. In addition, the transaction has various structural protections to ensure that investors are protected upon deterioration in the performance of the facility. This transaction is partially supported by a liquidity facility provided by Prime-1-rated SG.

With this transaction, Barton's program-level credit enhancement increased by 8% of the invested amount. Barton is authorized to issue up to $22.6 billion of ABCP, and has $1.06 billion in program-level credit enhancement.

DIRECT FUNDING ADDS EURO 350 MILLION CONSUMER LOAN TRANSACTION

DIRECT Funding S.A. ("Direct Funding"), a partially supported, multiseller ABCP conduit sponsored by Natixis ("Natixis," rated Aa2/Prime-1/C), has added a Euro 350 million transaction secured by a portfolio of consumer and auto loans originated by a Spanish company specialized in consumer financing.

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, Natixis, against certain credit events arising in connection with the underlying receivables portfolio. These credit events are linked to trigger events. This transaction benefits from over 25% transaction-specific credit enhancement in the form of a cash reserve, excess spread and junior notes. The transaction also benefits from various structural protections.

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

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

Direct Funding was not required to increase its program-level credit enhancement following the addition of this transaction. Direct Funding is authorized to issue up to Euro 6.2 billion of ABCP and has Euro 1 million in program-level credit enhancement.

JPMORGAN CHASE'S JUPITER ADDS $750 MILLION AUTO LEASE FACILITY

Jupiter Securitization Company LLC ("Jupiter"), a partially supported, multiseller ABCP program sponsored by JPMorgan Chase Bank ("JPM," rated Aaa/Prime-1/B+), has added a $750 million auto lease facility to its portfolio. The facility is established for an automotive captive finance company. The borrowers in the auto lease facility are of prime-credit quality.

Transaction-specific credit enhancement is provided by overcollateralization that builds up over time and excess spread, in aggregate sized at a minimum of 10%. This transaction is partially supported by a liquidity facility provided by Prime-1-rated JPM.

With this transaction, Jupiter's program-level credit enhancement increased by 10% of outstanding ABCP issued with respect to the transaction. Jupiter has $18 billion in total purchase commitments and $1.4 billion in program-level credit enhancement.

NATIXIS' VERSAILLES CDS LLC CHANGED TO VERSAILLES COMMERICAL PAPER LLC

Effective March 12, 2008, Versailles CDS LLC, a prior review, partially supported, multiseller ABCP conduit sponsored and administered by Natixis Financial Products, Inc. ("Natixis," rated Aa2/Prime-1/C) changed its name to Versailles Commercial Paper LLC. Versailles CDS LLC was created in 2006 as a limited liability company set up to issue ABCP backed primarily by ABCP issued by Versailles Assets, LLC. Versailles Assets, LLC is also an ABCP conduit sponsored and administered by Natixis. ABCP issued by both conduits is rated Prime-1 by Moody's. No other changes were made to the 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

Moody's ABCP rating actions ending March 17, 2008
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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All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.

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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.

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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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