MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 8, 2005
New York, August 09, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD AUGUST 2, 2005 THROUGH AUGUST 8,
ABN AMRO'S AMSTEL PURCHASES ASSET-BACKED SECURITIES TOTALLING EURO
Amstel Funding Corp. and Amstel Euro Funding Corp. (together,
"Amstel"), a partially supported, multiseller
ABCP conduit sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has financed the purchase of three classes of asset-backed securities
("Notes") totalling Euro 2.614 billion, which
are rated Aaa, Aaa and Aa2, respectively. The Notes
are backed by corporate loans originated by a Dutch bank.
This transaction is partially supported by a liquidity facility provided
by ABN AMRO. Additionally, there is an immediate put to liquidity
if the rating of the Notes are downgraded below Aa3.
Amstel was not required to increase its program-level credit enhancement
with the addition of this transaction. Amstel is now authorized
to issue approximately Euro 20 billion of ABCP.
CALYON'S EUROPEAN SOVEREIGN FUNDING ADDS FCC UNITS TOTALLING $122
MILLION BACKED BY A SECURED LOAN
European Sovereign Funding S.A. ("ESF"),
a partially supported, multiseller ABCP programme sponsored and
administered by Calyon (Aa2/Prime-1/C), has added $122
million of FCC units (French ABS) backed by a secured loan to its portfolio.
The secured loan benefits from a first demand guarantee issued by an export
finance agency on behalf of the U.S. Government (rated Aaa).
The liquidity facility, provided by Calyon, is structured
as an asset purchase agreement. The liquidity facility funds for
the repayment of ABCP as long as the U.S. Government is
rated above C.
ESF uses the proceeds of its Euro commercial paper ("Euro ABCP") to fund
the purchase of Senior FCC units backed by secured loans with the benefit
of first demand guarantees issued (either directly or through an agency)
by Aaa-rated OECD governments.
The Prime-1 rating assigned to ESF's Euro ABCP is based primarily
on: (i) Moody's prior review of each new asset, (ii) the credit
quality of ESF assets, (iii) the liquidity support provided by Calyon,
and (iv) the operational ability of Calyon as the program administrator.
With this transaction, ESF is authorized to finance up to $510
million of senior FCC units.
OLD COURT FUNDING ESTABLISHES SECOND PURCHASING ENTITY
Old Court Funding plc and Old Court Funding LLC (together, "Old
Court"), a partially supported, credit arbitrage ABCP
programme sponsored by Cambridge Place Investment Management LLP (not
rated) has added its second purchasing vehicle. Old Court is independently
administered by QSR Management Ltd (not rated), a wholly owned subsidiary
of The Bank of New York (Aa2/Prime-1/B+).
Old Court uses the proceeds of its ABCP to make loans ("PE Loans")
to various purchasing entities, which in turn purchase financial
assets from credit funds and other vehicles managed by Cambridge.
The second purchasing vehicle has a limit of approximately $150
million and all purchases made under the vehicle are fully supported by
a 364-day committed repurchase agreement provided by Deutsche Bank
With this transaction, Old Court is authorized to issue up to approximately
$400 million of ABCP.
FORTIS BANK'S SCALDIS ADDS TWO TRANSACTIONS TOTALLING EURO 350 MILLION
Scaldis Capital Limited and Scaldis Capital LLC (together, "Scaldis"),
a partially supported, multiseller ABCP conduit sponsored by Fortis
Bank NV (Aa3/Prime-1/B) has added two transactions totalling Euro
350 million to its portfolio.
The first transaction is a Euro 100 million Aaa-rated senior revolving
facility. The facility is part of a $600 million CDO transaction
and is ranked pari passu to the Class A2 Notes, which are also rated
Aaa. Scaldis is able to maintain its interest in the Aaa-rated
facility so long as the rating of the facility is not downgraded below
A1. Upon a downgrade of the facility's rating to below A1,
Scaldis will cease issuing ABCP. This transaction is partially
supported by a liquidity facility provided by Fortis. The liquidity
facility is available to repay maturing ABCP provided as long as the facility
is rated Caa1 or above.
The second transaction is a Euro 250 million loan transaction.
The assets in this transaction include both secured and unsecured business
loans and auto loans. Only fully amortised loans are included in
the securitisation, with a 40% limit for unsecured loans.
The residual values are not financed in the securitisation. The
underlying obligors reside in the Republic of Ireland. The transaction
benefits from a minimum of 6.25% transaction-specific
credit enhancement, comprised of a fully-funded subordinated
loan and 4.0% excess spread per annum. The 4.0%
minimum excess spread is guaranteed by an interest rate swap. This
transaction is partially supported by a liquidity facility provided by
Fortis Bank. The liquidity facility funds for all non-defaulted
With the addition of these transactions, Scaldis' program-level
credit enhancement was increased by 5% of the maximum purchase
limit. With the addition of both transactions, Scaldis is
authorized to issue up to approximately Euro 19 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS ADDS GBP 167 MILLION COMMERCIAL PROPERTY
Thames Asset Global Securitzation No 1, Inc ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc (Aa1/Prime-1/A-), has added a
GBP 167 million commercial property transaction to its portfolio.
This transaction is partially supported by a liquidity facility sized
at 102.5% of the principal amount of the transaction.
The liquidity facility is provided by Prime-1-rated RBS.
With this transaction, TAGS is now authorized to issue up to approximately
$15 billion of ABCP.
ABN AMRO'S TULIP INCREASES COMMITMENT AND REMOVES FULL SUPPORT TO EXISTING
AUTO-LOAN WAREHOUSE TRANSACTION
Tulip Funding Corp. and Tulip Euro Funding Corp. (together,
"Tulip programme"), a partially supported, multiseller ABCP
programme sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has increased its funding commitment of an existing warehousing facility
to Euro 1.5 billion from Euro 1.02 billion. Tulip
Funding Corp. and Tulip Euro Funding Corp. are co-issuers
of the Tulip programme. The Tulip program finances all transactions
through a single purchasing company, Tulip Asset Purchase Company
With the increase, TAPCO has financed the purchase of Aaa-rated
Euro-denominated Class A auto loan asset-backed floating
rate notes due 2015 issued by a Spanish SPV. This transaction was
previously fully supported by liquidity. Along with the increase
in commitment, the transaction has been amended to be partially
supported by a liquidity facility provided by ABN AMRO. There is
an immediate put to liquidity if the rating on the Class A notes are downgraded
Tulip was not required to increase its program-level credit enhancement
with the amendment of this transaction due to the high credit quality
of the Class A notes. Tulip is now authorised to issue approximately
$15 billion of ABCP though Tulip Funding Corp. and Euro
10 billion of ABCP through Tulip Euro Funding Corp.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service