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PLEASE READ AND SCROLL DOWN!

 

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Announcement:

Moody's ABCP rating actions for the seven-day period ended March 12, 2007

15 Mar 2007
Moody's ABCP rating actions for the seven-day period ended March 12, 2007

New York, March 15, 2007 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD MARCH 6, 2007 THROUGH MARCH 12, 2007:

MOODY'S ASSIGNS PRIME-1 RATING TO BANK OF TOKYO-MITSUBISHI UFJ'S VERTEX FUNDING ABCP PROGRAM

In Tokyo, Moody's has assigned a Prime-1 rating to the asset backed commercial paper ("ABCP") issued by Vertex Funding Corporation Pte. Ltd. ("Vertex"). Vertex is a fully supported, multiseller ABCP program sponsored by the Bank of Tokyo-Mitsubishi UFJ, Ltd., ("BTMU," rated A1/Prime-1/D+). Vertex will issue ABCP and use the proceeds to purchase trade receivables, promissory notes, commercial loans and beneficial interests backed by assets from various sellers in Asian and Oceanian countries. Vertex has a program limit of JPY 100 billion.

The Prime-1 rating assigned to Vertex's ABCP is based on, among other factors, the following: (i) the liquidity facility and the credit facility provided by BTMU Singapore branch, which assures the full and timely payment of the maturing ABCP; (ii) the capability of draws under the liquidity/credit facility and the managing accounts; and (iii) the structural protections to ensure the bankruptcy-remoteness of Vertex.

For further details, please see Moody's press release dated March 9, 2007.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD MARCH 6, 2007 THROUGH MARCH 12, 2007:

CALYON'S ATLANTIC ADDS $110 MILLION INTEREST IN FLOATING RATE NOTE

Atlantic Asset Securitization LLC ("Atlantic"), a partially supported, multiseller conduit sponsored by Calyon (Aa2/Prime-1/C), has added a $110 million interest in an existing $175 million floating rate note. The note benefits from a financial guarantee insurance policy provided by Aa1-rated Assured Guaranty, and is backed by a pool of payment rights. This transaction is supported by a liquidity facility that funds for the face amount of ABCP as long as Assured Guaranty is not bankrupt or does not default on its payment obligation under the facility.

With this transaction, Atlantic has about $10.1 billion in purchase commitments and $867.9 million in program-level credit enhancement.

STANFIELD'S MICA ADDS FOUR TRANSACTIONS

Mica Funding LLC ("Mica"), a partially supported, multiseller ABCP conduit sponsored by Stanfield Global Strategies (unrated) and administered by Deutsche Bank Trust Company Americas (A1/Prime-1/C), has added four transactions to its portfolio. The transactions permit Mica to purchase various assets under loan facilities, up to a combined limit of $10 billion. The facilities are fully supported by borrowers that are unrated, but benefit from guarantees provided by Aa3/Prime-1-rated financial institutions.

Mica has no program-level credit enhancement; however, all but two transactions are fully supported by liquidity facilities or total rate of return swaps. Mica has a program limit of $20 billion.

STANFIELD'S MICA EURO ADDS FIRST TRANSACTION

Mica Funding Ltd. ("Mica Euro"), a fully supported, multiseller ABCP conduit sponsored by Stanfield Global Strategies (unrated) and administered by Deutsche Bank Trust Company Americas (A1/Prime-1/C), has added a global swap facility as its first transaction. The swap facility permits Mica to purchase up to $3 billion of securities. The facility is fully supported by a total return swap provided by a Aa1/Prime-1-rated financial institution.

Mica Euro does not have program-level credit enhancement. Mica Euro has a program limit of $20 billion and is authorized to issue ECP in multiple currencies along with USCP and SLNs through Mica Funding LLC.

ROYAL BANK OF CANADA'S OLD LINE AND THUNDER BAY AMEND EXISTING STUDENT LOAN FACILITY

Old Line Funding LLC ("Old Line") and Thunder Bay Funding LLC ("Thunder Bay"), both partially supported, multiseller ABCP conduits sponsored by Royal Bank of Canada ("RBC," rated Aaa/Prime-1/B+), have amended their interest in an existing $500 million student loan facility.

The $500 million student transaction is structured with a senior and a subordinate tranche, with RBC conduits funding only the senior tranche. The facility has been amended to decrease the size of the facility to $355 million from $500 million. In addition, the limitation on rehabilitation loans funded in the facility has been increased to $50 million from $25 million. Other significant amendments include the ability for the company to take over the disbursement function of new consolidation loans, the removal of some limitations on borrower benefits, and a revision of advance rates derived from a new set of assumptions. Since this transaction is part of the Federal Family Education Loan Program, the outstanding principal balance is 97% guaranteed by a government facility.

With this amendment, Old Line has $13.5 billion in total purchase commitments, with $10.3 billion in outstanding ABCP and $1.6 billion in program-level credit enhancement (floor of $300 million). Thunder Bay has $8.7 billion in total purchase commitments, with $5.5 billion in outstanding ABCP and $921 million in program-level credit enhancement.

ROYAL BANK OF CANADA'S THUNDER BAY AMENDS INTEREST IN EXISTING MORTGAGE WAREHOUSE FACILITIES

Thunder Bay Funding, LLC ("Thunder Bay"), a partially supported, multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC," rated Aaa/Prime-1/B+), has amended its interest in two mortgage warehouse facilities for the same originator. One facility warehouses Dutch mortgage loans and the other warehouses German mortgage loans. The facilities have a combined limit of Euro 800 million.

With this amendment, the size of each facility temporarily increases until the end of March 2007. The Dutch facility has temporarily increased to Euro 900 million, while the German facility limit increased to Euro 600 million. However, the combined limit of both facilities may not exceed Euro 900 million. After March, the German facility will remain at Euro 600 million and the Dutch facility will be at Euro 800 million. Combined, the facilities have a limit of Euro 800 million. These transactions remain partially supported by liquidity facilities provided by RBC. The liquidity facilities have been amended to reflect the change in commitments.

Thunder Bay has $8.7 billion in total purchase commitments, with $5.5 billion in outstanding ABCP and $921 million in program-level credit enhancement (floor of $300 million).

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE PLACED ON WATCH DURING THE PERIOD MARCH 6, 2007 THROUGH MARCH 12, 2007:

MOODY'S PLACES NEW CENTURY'S ST. ANDREW FUNDING TRUST ON WATCH FOR POSSIBLE DOWNGRADE

Moody's has placed the Prime-1 ratings assigned to the commercial paper notes and the Baa2 rating assigned to the subordinate notes issued by New Century Mortgage Corporation's St. Andrew Funding Trust on watch for possible downgrade. The program currently has no ABCP outstanding.

The rating watch is prompted by the company's announcement that it is facing several regulatory inquiries and is out of compliance with covenants for several of its warehouse lenders. According to the company, the Securities and Exchange Commission and the regulatory arm of the New York Stock Exchange have made inquiries into the company. Furthermore, according to the company, the U.S. Attorney's Office is conducting a federal criminal inquiry into trading and accounting errors at the company. Moody's believes that the announcements have a significant negative impact on the servicing operations and has downgraded New Century Mortgage Corporation's servicer rating to SQ4 from SQ3+ on March 5, 2007.

In its review Moody's will consider the adequacy of the credit enhancement in light of the risk associated with the loans that could be purchased by the warehouse.

New Century is the administrator and servicer for the mortgage loans acquired by St. Andrew. The program was established to provide warehouse funding for agency, jumbo, Alt-A, closed-end second lien and HELOCs originated by HOME123 Corporation, a wholly owned subsidiary of New Century.

St. Andrew provides temporary funding for newly originated mortgages prior to term securitization. They are funded primarily by issuing secured liquidity notes, which are a form of extendible commercial paper, and subordinate term notes. Repayment of the notes depends on the quality of the underlying mortgage collateral and market value swaps provided by Prime-1-rated financial institutions.

New Century, a wholly-owned subsidiary of New Century Financial Corporation, is a mortgage finance company engaged in the business of originating, purchasing, and servicing mortgage loans secured primarily by first and second lien mortgages.

MOODY'S PLACES NEW CENTURY'S VON KARMAN FUNDING LLC ON WATCH FOR POSSIBLE DOWNGRADE

Moody's has placed the Prime-1 ratings assigned to the commercial paper notes, and the A2 and Baa2 rating assigned to the subordinate notes issued by New Century Mortgage Corporation's Von Karman Funding LLC on watch for possible downgrade. Von Karman currently has no ABCP outstanding.

The rating watch is prompted by the company's announcement that it is facing several regulatory inquiries and is out of compliance with covenants for several of its warehouse lenders. According to the company, the Securities and Exchange Commission and the regulatory arm of the New York Stock Exchange have made inquiries into the company. Furthermore, according to the company, the U.S. Attorney's Office is conducting a federal criminal inquiry into trading and accounting errors at the company. Moody's believes that the announcements have a significant negative impact on the servicing operations and has downgraded New Century Mortgage Corporation's servicer rating to SQ4 from SQ3+ on March 5, 2007.

In its review Moody's will consider the adequacy of the credit enhancement in light of the risk associated with the loans that could be purchased by the warehouse.

New Century is the administrator and servicer for the mortgage loans acquired by Von Karman. The program was established to provide warehouse funding for non-prime mortgages originated or purchased by New Century.

Von Karman provides temporary funding for newly originated mortgages prior to term securitization. They are funded primarily by issuing secured liquidity notes, which are a form of extendible commercial paper, and subordinate term notes. Repayment of the notes depends on the quality of the underlying mortgage collateral and market value swaps provided by Prime-1-rated financial institutions.

New Century, a wholly owned subsidiary of New Century Financial Corporation, is a mortgage finance company engaged in the business of originating, purchasing, and servicing mortgage loans secured primarily by first and second lien mortgages.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE WITHDRAWN DURING THE PERIOD MARCH 6, 2007 THROUGH MARCH 12, 2007:

BLUE SPICE, LLC RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 rating of Blue Spice, LLC, a fully supported asset-backed commercial paper program sponsored by Deutsche Bank AG (Aa3/Prime-1/B-). As of February 28, 2007, all outstanding ABCP had been repaid in full and no further ABCP will be issued under the program.

BLUE TOPAZ, LLC RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 rating of Blue Topaz, LLC, a partially supported asset-backed commercial paper program sponsored by Deutsche Bank AG (Aa3/Prime-1/B-). As of February 28, 2007, all outstanding ABCP had been repaid in full and no further ABCP will be issued under the program.

For a more detailed description of these ABCP programs, see Moody's website at http://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
Wanda Lee
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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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 credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service 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 and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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