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Announcement:

Moody's ABCP rating actions for the seven-day period ended December 4, 2006

06 Dec 2006
Moody's ABCP rating actions for the seven-day period ended December 4, 2006

New York, December 06, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD NOVEMBER 28, 2006 THROUGH DECEMBER 4, 2006:

CALYON'S LA FAYETTE RESTRUCTURES EXISTING MORTGAGE FACILITY AND ONE NEW PRIME-1-RATED ABCP CONDUIT JOINS THE FACILITY

La Fayette Asset Securitization LLC ("La Fayette"), a partially supported, multiseller ABCP program sponsored by Calyon (Aa2/Prime-1/C), has restructured and increased its interest in an existing mortgage facility. The amendments include (i) increasing the size of the facility from $1.35 billion to $1.5 billion, (ii) inclusion of a new conduit co-purchaser, (iii) replacement of the SPV structure with a repurchase agreement, (iv) expanding the eligibility criteria for mortgage loans, and (v) modification of trigger events and various financial covenants. This transaction, which was added to La Fayette's portfolio in 2003, finances loans for an unrated company that originates and services mortgage loans.

With the restructuring, the transaction continues to benefit from a minimum of 2% transaction-specific credit enhancement in the form of advance rates, which varies depending on the type of mortgage loan. The transaction has various loan eligibility criteria and portfolio concentration limits. Additionally, no loan can remain in the facility for more than 90 days (with a 5% limit for loans up to 180 days). In addition, the transaction has structural protections such as an ABCP tenor limitation, and a cease issuance of ABCP upon the occurrence of various trigger events. This transaction remains partially supported in La Fayette.

With the restructuring, the following Prime-1-rated ABCP conduits now participate in this transaction:

• ABN Amro's Amsterdam Funding Corp. remained at a $250 million commitment.

• Calyon's La Fayette Asset Securitization LLC increased its commitment from $400 million to $450 million.

• JPM's Park Avenue Receivables Company remained at a $250 million commitment.

• SocGen's Barton Capital LLC increased its commitment from $250 million to $275 million.

• BNP Paribas' Starbird Funding Corp. increased its commitment from $200 million to $275 million.

The liquidity facility for each conduit is sized at 102% of its respective commitment, and funds for non-defaulted loans.

PARAMAX'S CATAPULT-PMX ADDS $2 BILLION TOTAL RETURN SWAP FACILITY

Catapult-PmX Funding LLC ("Catapult"), a fully-supported, multiseller ABCP conduit sponsored by Paramax Capital Markets, LLC (unrated) and administered by LaSalle Bank National Association (Aa3/Prime-1/B-), has added a total return swap facility which permits Catapult to purchase up to $2 billion of securities. The facility is fully supported by a total return swap provided by a Prime-1-rated financial institution.

Catapult has no program-level credit enhancement; however, all transactions must be fully supported by liquidity facilities or total rate of return swaps.

JP MORGAN'S CHARIOT AMENDS PROGRAM STRUCTURE

Chariot Funding LLC ("Chariot"), a partially supported, post review multiseller conduit sponsored by JP Morgan Chase Bank, N.A (Aa2/Prime-1/B+), has amended its master agreement in order to increase the minimum program-level credit enhancement from $200 million to $500 million. The originator rating-based post review limits have also been increased in the same proportion.

Chariot is currently authorized to issue up to USD 20 billion of ABCP.

LANDESBANK BERLIN'S CP CHARLIE RESTRUCTURES PROGRAMME

Check Point Charlie ("CP Charlie"), a partially supported, multiseller conduit sponsored by Landesbank Berlin ("LLB", rated A1/Prime-1/D+), has restructured its programme structure to(i) allow for issuance of European commercial paper, extendable notes and X-Notes, (ii) amend the terms of the credit enhancement for the conduit to a dynamic calculation, (iii) modify the availability of liquidity support for the outstanding CP on a single Moody's CDO ROM rating forecast in respect of the relevant purchasing company's portfolio, and (iv) incorporate a committed repurchase agreement with Landesbank Hessen-Thüringen ("Helaba", rated Aa2/ Prime-1/C), as the repo buyer.

CP Charlie has a maximum program limit of USD 3 billion.

For further details, please see Moody's press release December 4, 2006.

HSBC'S REGENCY AND BRYANT PARK ADD EURO 750 MILLION DEALER FLOORPLAN TRANSACTION

Regency Assets Limited and Regency Markets No.1 LLC ("Regency"), and Bryant Park Funding ("Bryant Park"), have purchased Class A notes, Class B notes and, in the case of Regency, C notes, totaling in aggregate Euro 750 million. The notes are backed by a pool of motor vehicle floor plan finance receivables originated by dealers in Germany. Regency is a partially supported, multiseller ABCP conduit administered by HSBC Bank plc (Aa2/Prime-1/B+), while Bryant Park is a partially supported, multiseller ABCP conduit administered by HSBC Securities (USA) Inc.

The notes funded by the conduits are supported by liquidity facilities provided by Prime-1-rated HSBC Bank for Class A and B notes in the amount of Euro 765 million, and for Class C notes in the amount of Euro 17.46 million. The liquidity facility does not fund the Class A and B notes if the ratings of the notes fall below Caa2.

With this transaction, Regency's programme-level credit enhancement was increased by 5% of its purchase commitments for the Class B notes, and there was no increase in programme-level enhancement for the Class A notes or Class C notes. Bryant Park's programme-level credit enhancement was increased by 8% of its purchase commitments for the Class B notes. Regency is authorized to issue up to USD 8.055 billion of ABCP and Bryant Park is authorized to issue USD 8.9 billion of ABCP.

IKB'S RHINELAND ADDS EURO 200 MILLION TRADE RECEIVABLE TRANSACTION

Rhineland Funding Capital Corp ("Rhineland"), a hybrid ABCP conduit sponsored by IKB Deutsche Industriebank AG ("IKB", rated Aa3/Prime-1/B-), has added a fully supported Euro 200 million trade receivable facility to its portfolio. The receivables are originated by a group of companies in the scrap metal and recycling industry. The originators are all based in Germany.

This transaction is fully supported through a combination of a liquidity facility and a factoring agreement. The factoring agreement provides that all defaulted receivables will be purchased by Coface Finanz GmbH (A1/Prime-1). The liquidity support is provided by Prime-1-rated IKB, and provides coverage of all risks (within the defined borrowing base) except for defaulted receivables.

With the addition of this transaction, Rhineland is authorized to issue up to approximately Euro 10.67 billion of ABCP.

ROYAL BANK OF SCOTLAND'S TAGS ADDS EURO 400 MILLION DEALER FLOORPLAN TRANSACTION

Thames Asset Global Securitization No.1, Inc. ("TAGS"), a partially supported, multiseller conduit sponsored by the Royal Bank of Scotland plc ("RBS", rated Aa1/Prime-1/A-), has added a Euro 400 million note purchase facility to its portfolio.

In this transaction, TAGS has purchased Euro 400 million highly-rated Class A and Class B notes rated. The notes are backed by a pool of dealer floorplan receivables originated in Germany.

This transaction is partially supported through a liquidity facility provided by Prime-1-rated RBS. The maximum commitment of the liquidity facility is sized at Euro 410 million, and the facility does not fund if the notes are rated below Caa2.

With this transaction, TAGS' programme-level credit enhancement was increased by 5% of the Class A and B notes size. TAGS is now authorized to issue up to USD 18 billion of ABCP.

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

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

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

No Related Data.
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