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Announcement:

Moody's ABCP rating actions for the seven-day period ended January 1, 2007

03 Jan 2007
Moody's ABCP rating actions for the seven-day period ended January 1, 2007

New York, January 03, 2007 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD DECEMBER 26, 2006 THROUGH JANUARY 1, 2007:

MOODY'S ASSIGNS PRIME-1 RATING TO HSBC SECURITIES' ABINGTON SQUARE FUNDING ABCP PROGRAM

Moody's has assigned a Prime-1 rating to the asset-backed commercial paper ("ABCP") issued by Abington Square Funding LLC ("Abington"). Abington is a newly established, partially supported, multiseller extendible ABCP program sponsored by HSBC Securities USA ("HSBC"), an unrated subsidiary of HSBC Holdings plc (Aa2/Prime-1). HSBC or its affiliates will be the administrator, letter of credit provider, swingline provider, liquidity provider, issuing and paying agent and collateral agent. Abington may issue US dollar-denominated ABCP in the US market, and has a program limit of $10 billion.

Abington is a reduced liquidity, multiseller extendible program that will use the proceeds from the sale of extendible ABCP to invest in various types of financial assets. Abington can purchase non dollar-denominated assets as well as fixed and floating rate assets. Any currency or interest rate risk will be covered through a hedging agreement with a Prime-1-rated counterparty. All transactions are subject to Moody's prior review.

The Prime-1 rating assigned to Abington's ABCP is based on, among other factors, the following: (i) the structural protections to ensure the bankruptcy-remoteness of Abington and its purchasing SPV, (ii) the liquidity support provided by liquidation of the assets during the extension period, as well as liquidity facilities and swingline facilities provided by HSBC and other Prime-1-rated banks, and (iii) the capabilities of HSBC as administrator, and in its roles as the liquidity agent, hedge counterparty and agent, letter of credit provider, collateral agent, and swingline provider.

For further details, please see Moody's press release dated December 27, 2006.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD DECEMBER 26, 2006 THROUGH JANUARY 1, 2007:

$5 BILLION STUDENT LOAN AND STUDENT LOAN ABS FACILITY IS AMENDED AND INCREASED

A $5 billion co-purchase facility backed by student loans and student loan asset-backed securities ("ABS") has been amended and increased to $6 billion. The student loans are originated by a major public issuer of student loan-backed securities. The collateral is predominantly student loans, while the student loan ABS portion may be up to 15% of the maximum transaction size. The student loan ABS must be rated at least A2 to be included in the facility. Also, the concentration limits restrict the proportions of the types of loans that may be added. There is no time limitation for the holding of the loans or ABS in the facility.

The conduits' liquidity facilities advance against the portion of the loans that is guaranteed by U.S. government agencies and subtracts from funding only the non-guaranteed, defaulted portion of the government-guaranteed loans. The liquidity facilities will fund against student loan ABS as long as the ABS is rated at least C. Some of the loans are not guaranteed by the government because the loans are private credit loans.

Varying levels of credit enhancement cover all student loans and securities. Transaction-specific credit enhancement also includes a 0.25% reserve account held against all of the loans.

The amendment increases the concentration limit for private credit loans from 35% to 50% of the $6 billion maximum commitment and includes loans originated under three other private credit loan programs, including the private consolidation loan program. Also, the 25% concentration limit for loans which are not currently paying interest (which was previously only applicable under certain circumstances) has been removed.

The conduit participants include Barclays' (Aa1/Prime-1/A-) Sheffield Receivables Corp., ABN AMRO's (Aa3/Prime-1/B) Amsterdam Funding Corp. and Windmill Funding Corp; Bank of America's (Aa1/Prime-1/A-) Ranger Funding Company, LLC and Yorktown Capital, LLC; Royal Bank of Canada's (Aa2/Prime-1/B+) Old Line Funding, LLC and Thunder Bay Funding, LLC; RBS' (Aa1/Prime-1/A-) Thames Asset Global Securitization No. 1, Inc.; and Deutsche Bank's (Aa3/Prime-1/B-) Gemini Securitization Corp., LLC, Saratoga Funding Corp., LLC, and Tahoe Funding Corp., LLC.

DZ BANK'S AUTOBAHN ADDS $60 MILLION REVOLVING LOAN FACILITY

Autobahn Funding Company LLC ("Autobahn"), a partially supported, multiseller conduit administered by DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN ("DZ Bank," rated A2/Prime-1/C-), has added a $60 million revolving loan facility to its portfolio. The facility is established for a company that provides asset-based financing to its clients.

This transaction is fully supported through a liquidity facility provided by DZ Bank. With this transaction, Autobahn is authorized to issue up to $2.7 billion of ABCP.

LLOYDS TSB'S CANCARA ADDS USD 291 MILLION AND EURO 125 MILLION TRANSACTIONS

Cancara Asset Securitisation Limited ("Cancara"), a partially supported, hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated Aaa/Prime-1/A), has added two new transactions to its portfolio.

In the first transaction, Cancara purchased USD 291 million of senior notes issued by an Italian SPV and backed by a pool of auto loans originated by an Italian company operating in the automobile industry. This transaction benefits from various structural protections including a CP tenor limitation of 60 days and a cease issuance of ABCP upon the occurrence of certain performance related triggers. The transaction is partially supported by a liquidity facility provided by Prime-1-rated Lloyds TSB.

In the second transaction, Cancara purchased Euro 125 million of senior notes issued by an SPV and backed by a portfolio of senior and mezzanine loans and high yield bonds. The senior notes are rated Aaa. This transaction benefits from various structural protections including a CP tenor limitation of 6 months and a cease issuance of ABCP upon the downgrade of the notes below A1 by Moody's or AA- by S&P. The transaction is partially supported by a liquidity facility provided by Prime-1-rated Lloyds TSB. The liquidity facility funds for the Face Amount of the notes as long as they are rated at least Caa2 by Moody's and CCC- by S&P.

With these transactions, Cancara's program-level credit enhancement was increased by 5% of its commitment for each transaction. Cancara is authorized to issue up to USD 24 billion of ABCP.

RABOBANK'S MERMAID FUNDING ADDS TWO CREDIT-LINKED NOTES

Mermaid Funding Corp. ("Mermaid"), a partially supported, Prime-2-rated multiseller program administered by Rabobank (Aaa/Prime-1/A), has added two credit-linked note transactions to its portfolio. The first one is in the amount of $141 million, with a reference entity rated Baa2/Prime-2. The second transaction is in the amount of $100 million, with a reference entity rated Baa1/Prime-2.

In each transaction, Mermaid makes a deposit with Rabobank and executes a swap with Rabo Capital Services, Inc. (unrated), whose obligations are guaranteed by Rabobank. Throughout the period of the transaction, Rabobank will pay Mermaid interest on the deposits on a quarterly basis. The deposit serves as a source of liquidity for the transaction. The transaction also benefits from an ABCP tenor limitation of 95 days. In addition, no further ABCP may be issued if the reference entity is downgraded below Baa2 or Prime-2. If no credit event occurs with respect to the reference entity (such as a downgrade of the reference entity below Caa2), Rabobank must pay the deposit amount back to Mermaid at the end of the transaction. If a credit event does occur, Mermaid forfeits the deposit amount.

With this transaction, Mermaid is authorized to issue up to $541 million 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
Associate Analyst
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.

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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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

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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.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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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