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Announcement:

Moody's ABCP rating actions for the seven-day period ended November 27, 2006

29 Nov 2006
Moody's ABCP rating actions for the seven-day period ended November 27, 2006

New York, November 29, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD NOVEMBER 21, 2006 THROUGH NOVEMBER 27, 2006:

CALYON'S ATLANTIC ADDS $125 MILLION INTEREST IN CLO FACILITY

Atlantic Asset Securitization LLC, ("Atlantic"), a partially supported, multiseller conduit sponsored by Calyon (Aa2/Prime-1/C), has added a $125 million interest in a CLO facility.

The loan facility is established to finance a portfolio of middle market loans. This transaction benefits from a financial guarantee insurance policy provided by Aaa-rated Ambac Assurance Corp. ("Ambac"). A liquidity facility provided by Prime-1-rated Calyon funds for the face amount of ABCP as long as Ambac is not bankrupt or does not default on its payment obligation under the insurance policy. In addition, the liquidity facility may be used in the event that Ambac is downgraded to below A2.

With this transaction, Atlantic has $9.4 billion in purchase commitments and $814 million in program-level credit enhancement.

BMO CAPITAL MARKETS' FAIRWAY INCREASES TWO POST REVIEW FACILITIES FROM $5 BILLION TO $7.5 BILLION

Fairway Finance Company, LLC ("Fairway"), a partially supported, multiseller program administered by BMO Capital Markets Corp., has increased the size of two post-review facilities from $5 billion to $7.5 billion.

The first facility allows Fairway to purchase highly-rated or monoline wrapped assets originated by third party entities (in both cases, rated Aa2 or higher). The assets purchased under this facility are fully supported by a liquidity facility provided by Prime-1-rated Bank of Montreal, except under certain circumstances. The exceptions to the full liquidity support are if the rating of the asset falls below Baa3 or for assets fully wrapped by a monoline insurer, if the insurer defaults on a payment obligation under the insurance policy, insurer's rating falls below Caa2, or the insurer is insolvent. Under these circumstances Bank of Montreal's full liquidity support reverts to an amount that is based on the balance of non-defaulted assets supporting the transaction.

Moody's does not pre-approve the assets purchased by Fairway under this facility. If an asset is downgraded below Aa2, BMO Capital Markets, as administrator for Fairway, must notify Moody's within two business days. Unlike many credit arbitrage securities programs, there is no ratings level that will automatically remove an asset from Fairway upon it being downgraded. This feature could lead to a higher level of ratings volatility to Fairway in the event of any material downgrades to assets held by Fairway under this program. However, due to the high ratings of the assets funded in this portfolio as well as the capability of BMO Capital Markets, as administrator, to take action upon a downgrade of an asset, this risk is commensurate with a Prime-1 rating.

The second facility allows Fairway to purchase assets or fund transactions originated by third party entities on a post-review basis. All transactions funded under this facility are fully supported by liquidity facilities provided by Prime-1-rated Bank of Montreal, and sized at 102% of Fairway's aggregate commitments. The only time that the liquidity facility will not fund is when Fairway is bankrupt.

The increase to these facilities from $5 billion to $7.5 billion corresponds to the increase to Fairway's overall portfolio as well as its anticipation of future growth in purchases of highly rated assets and financings of fully supported transactions. At the end of September 2006, Fairway had $10.3 billion in total purchase commitments and $160 million program-level credit enhancement.

ROYAL BANK OF SCOTLAND'S TAGS INCREASES ITS INTERESTS AND RESTRUCTURES LIQUIDITY SUPPORT IN EXISTING TIMESHARE TRANSACTION

Thames Asset Global Securitization No.1, Inc. ("TAGS"), a partially supported, multiseller conduit sponsored by The Royal Bank of Scotland plc (Aa1/Prime-1/A-), has increased its interest in an existing timeshare transaction to $93.75 million from $75 million. Along with the increase in commitment, it also restructured its liquidity structure to a partially supported liquidity facility and eliminated the intermediary purchasing SPV structure so that TAGS can now fund the transaction directly. This transaction is part of co-purchase facility.

Transaction-specific credit enhancement is provided by overcollateralization sized at 20%. In addition, CP investors' exposure to credit losses is reduced through the use of structural mechanisms such as limiting the tenor of ABCP and including an ABCP cease issuance trigger upon a collateral deficiency test. This transaction is now partially supported through a liquidity facility provided by Prime-1-rated RBS.

With this transaction, TAGS' was required to increase its program-level credit enhancement by 5% of outstanding ABCP issued with respect to this transaction. TAGS is now authorized to issue up to $18 billion of ABCP.

ROYAL BANK OF CANADA'S WHITE POINT PURCHASES $125 MILLION INTEREST IN Aa3-RATED SYNTHETIC CDO NOTE

White Point Funding Inc. ("White Point"), a partially supported, multiseller conduit sponsored by Royal Bank of Canada ("RBC," rated Aa2/Prime-1/B+), has purchased a $125 million interest in a Aa3-rated synthetic CDO note.

The note benefits from 30% transaction-specific credit enhancement. This transaction is a synthetic CDO, meaning that the performance of the security is not determined by the assets in the portfolio, but rather it is determined by a credit default swap and its related reference entities. This transaction is partially supported by a liquidity facility provided by Prime-1-rated RBC. The transaction also benefits from a structural protection that causes the liquidity bank to purchase the asset once certain trigger events occur.

With this transaction, White Point's program-level credit enhancement was increased by 10% of the commitment. White Point has $1 billion in total purchase commitments with $1 billion in outstanding and $100 million in program-level credit enhancement.

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

New York
Jonathan Polansky
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Wanda Lee
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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