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Rating Action:

Moody's assigns ratings to senior notes of Mazarin Funding Limited

19 Mar 2008
Moody's assigns ratings to senior notes of Mazarin Funding Limited

Up to US$40 Billion of debt securities affected

London, 19 March 2008 -- Moody's Investors Service has today assigned definitive ratings to the Senior Note Programmes of Mazarin Funding Limited ("Mazarin") and Mazarin Funding Corporation as follows:

- a short-term definitive rating of P-1 to the Euro-Commercial Paper Programme of Mazarin;

- a short-term definitive rating of P-1, and a long-term definitive rating of Aaa to the Euro Medium Term Note Programme of Mazarin;

- a short-term definitive rating of P-1 to the U.S. Commercial Paper Programme of Mazarin and Mazarin Funding Corporation; and

- a short-term definitive rating of P-1, and a long-term provisional rating of Aaa to the U.S. Medium Term Note Programme of Mazarin and Mazarin Funding Corporation.

The long-term ratings of Mazarin's Senior Note programmes address the expected loss posed to investors by the legal maturity of the Senior Notes, while the short-term ratings address Mazarin's ability to pay on time. In Moody's opinion, the structure allows for timely payment of interest (if applicable) and timely payment of principal at par on the maturity date. Moody's ratings address the credit risks associated with the above programmes. Other risks have not been addressed but may have a significant effect on payments to investors. Ratings are not recommendations to buy, sell or hold a security.

Mazarin is committed to maintaining sufficient sources of liquidity to cover interest and principal payable on ABCP and MTNs plus interest payable on Deferrable Junior Senior Notes. Liquidity must be provided by Prime-1 rated financial institutions with same day availability and no cancellation and limited default clauses. If a Liquidity Facility Provider is no longer rated Prime-1, the Liquidity Provider must take action to find a replacement Liquidity Provider with the appropriate ratings within 30 days of the downgrade. If it is unable to do so, Mazarin would be expected to draw on the Liquidity facility.

Investors in ABCP and MTNs issued by Mazarin are exposed to liquidity risks arising out of the funding by Mazarin of longer term assets with short or medium term liabilities. If Mazarin becomes unable to finance its activities through the issuance of new liabilities to repay maturing liabilities it must draw under its Liquidity Facilities. The ability of Mazarin to draw on its Liquidity Facilities will depend on the performance by and the credit quality of the Liquidity Provider, and failure by the Liquidity Providers to make advances pursuant to the terms of the Liquidity Facilities may adversely affect the Note holders.

It should be noted that a downgrade of the long-term or short-term rating of HSBC as Liquidity Provider, if not replaced or collateralised, may result in a downgrade of Mazarin's ABCP and/or MTNs. A downgrade of the long-term rating of a Liquidity Provider may result in the downgrade of the long-term Aaa ratings Senior MTNs, notwithstanding that the Liquidity Provider continues to carry a short term rating of Prime-1.

The initial Liquidity Facility will be provided by HSBC. The maximum amount available under the Liquidity Facility will be determined by a Borrowing Base, which is calculated as the lesser of: (i) the aggregate nominal amount plus accrued interest in relation to all assets rated Caa1 or higher; and (ii) the nominal amount plus yield for the Senior Debt plus fees, costs and expenses.

Mazarin may draw under the Liquidity Facility for any reason, other than to pay any principal in respect of a Deferrable Junior Senior Note or any amount in respect of an Income Note.

Credit Enhancement for Mazarin will be dynamically calculated based on achieving the necessary targets calculated using HSBC's own model, a multi-period simulation model that takes into account, among other things, credit risks and asset cash-flows. HSBC will monitor the credit quality of its portfolio on a frequent basis and will not be permitted to issue new Senior Notes at any time the credit enhancement for the Senior Notes is below that required by the model. Moody's has determined that the credit enhancement provided, by way of subordination, to the Senior Notes in relation to the initial portfolio is commensurate with the ratings. Initial subordination for the Senior Notes and ABCP will be approximately 9.8%. Moody's will monitor the credit quality of the portfolio independently of HSBC's model and there is no guarantee that Moody's will maintain any particular rating level based on this calculation.

Mazarin is incorporated as an exempted company under the laws of the Cayman Islands for the purpose of investing in a diversified portfolio of eligible investment grade assets with the proceeds of the rated Senior Notes. Unrated Capital Notes and Deferrable Junior Senior Notes issued by Mazarin provide additional funds for investment and credit enhancement for investors in the Senior Notes.

The management of Mazarin has been delegated HSBC Bank plc (Aa1/P-1/B) ("HSBC").

Mazarin Funding Corporation, formed under the laws of the State of Delaware, USA, is a company, the sole shareholder of which is Mazarin and whose sole purpose is the co-issuance, with Mazarin, of US Commercial Paper and US Medium-Term Notes.

Moody's ratings of the Senior Note programmes are primarily based on: (i) The credit quality and diversity of the initial portfolio; (ii) the Liquidity facility provided initially by HSBC that is available to cover the refinancing of assets rated Caa1 or above; (iii) The minimum over-collateralisation requirement provided by the Capital Notes and Deferrable Junior Senior Notes, which is calculated based on the credit quality of the asset portfolio and in accordance with various factors relating to the composition of the portfolio; (iv) Interest rate and currency hedging requirements that limit exposure to a narrow tolerance range; and (v) The capabilities of HSBC as Manager, together with personnel at HSBC with relevant experience in SIVs and related sectors.

Mazarin will, once the appropriate procedures and criteria are in place, conduct business as an operating company in which the Manager will manage the portfolio as an ongoing concern. Mazarin is expected to purchase assets which meet the "Investment Eligibility Criteria" and "Portfolio Limits" which are set out in the Transaction Documents or the Operating Guidelines. The maintenance of any given credit rating level is dependent upon the management of the vehicle, the actual portfolio of assets and liabilities, and the observance of the various limits and tests. Therefore, Moody's intends to review the management strategy and monitor the adequacy of capital to support the ratings based on the then portfolio composition and investment guidelines.

Details of Moody's analysis can be found in the Pre-Sale Report on Mazarin. To obtain a copy, please contact Moody's client services desk in London on (020) 7772 5454 or visit our website, www.moodys.com

Paris
Anne Le Henaff
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Paul Kerlogue
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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