MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED SEPTEMBER 12, 2005
New York, September 13, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD SEPTEMBER 6, 2005 THROUGH SEPTEMBER
SOCGEN'S BARTON ADDS TWO TRANSACTIONS TOTALING $325 MILLION
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program sponsored by Societe Generale ("SocGen", rated Aa2/Prime-1/B+),
has financed two transactions: a $175 million film receivables
transaction and a $150 million servicer advance transaction.
The first transaction is a $175 million loan facility for an unrated
film production company. The facility will partially finance the
production of 10 motion pictures. The facility benefits from a
financial surety policy provided by Ambac Assurance Corporation ("Ambac",
rated Aaa). The transaction is fully supported by liquidity unless
there is an Ambac default or Ambac's rating falls below Caa3.
The liquidity facility is provided by Prime-1-rated SocGen.
The second transaction is a $150 million loan facility for an unrated
mortgage servicer. The loan facility will finance advances made
by the servicer on behalf of mortgage obligors in support of RMBS term
securitizations. The facility benefits from overcollateralization
as well as a reserve account sized at 1% of the total facility.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated SocGen.
With these transactions, Barton is now authorized to issue up to
$14.8 billion of ABCP.
DEUTSCHE BANK'S GEMINI INCREASES PROGRAM LIMIT TO $25 BILLION AND
PURCHASES A TOTAL OF $1.52 BILLION OF VARIOUS TYPES OF ASSET
FACILITIES AND ABCP FROM TWO SISTER CONDUITS BACKED VARIOUS TYPES OF ASSET
Gemini Securitization Corp., LLC, ("Gemini"),
a partially supported, multiseller conduit sponsored by Deutsche
Bank AG (Aa3/Prime-1/B-), has increased its program
limit to $25 billion. In addition, Gemini has directly
purchased three asset interests totaling $1.22 billion and
$300 million of ABCP from two sister conduits, Nantucket
Funding Corp., LLC ("Nantucket") and Tahoe Funding Corp.,
The details of the facilities that Gemini has funded directly are as follows:
(a) a $1.0 billion retail mortgage facility originated by
an unrated retail mortgage finance company. The transaction is
fully supported by a liquidity facility provided by Deutsche Bank.
Therefore, there is no requirement to increase Gemini's program-level
(b) a $166.67 million co-purchase share in a trade
receivable facility originated by a non-investment-grade-rated
electricity and energy provider. Transaction-specific credit
enhancement is in the form of overcollateralization and various reserve
accounts, sized at a minimum of 19%. The transaction
is partially supported through a liquidity facility provided by Deutsche
Bank that funds for outstanding eligible receivables net of charged-off
receivables in excess of the transaction-specific credit enhancement.
The transaction requires daily reporting on the pool's performance.
(c) a $50 million co-purchase share of an unrated Class
A notes issued by an unrated prime residential mortgage servicer.
The Class A notes are enhanced by a 5% Class B note and a 1%
reserve account. The transaction is partially supported through
a liquidity facility provided by Deutsche Bank that funds for outstanding
eligible receivables net of charged-off receivables in excess of
the transaction-specific credit enhancement. This transaction
also requires weekly reporting on the pool's performance.
Since these three transactions are partially supported by liquidity,
Gemini's program-level credit enhancement was increased by 8%
of its purchase limit.
Gemini also has purchased ABCP from its two sister conduits. The
first purchase was $100 million of Nantucket ABCP backed by a private
student loan warehouse facility. The transaction is fully supported
by a liquidity facility provided by Deutsche Bank. As such,
there is no requirement to increase Gemini's program-level credit
enhancement. The second purchase was $200 million of Tahoe
ABCP backed by a Aaa-rated Class A note backed by federally-insured
student loans. This is an additional purchase of rated variable
funding notes already funded in the conduit. Due to the high credit
quality of the Class A note, Gemini's was not required to increase
it program-level credit enhancement for these asset purchases.
Gemini has total asset commitments of $14.7 billion,
with $7.4 billion of outstanding ABCP. Gemini's total
program-level credit enhancement is $570.81 million
(with a floor of $250 million).
HUDSON CASTLE'S FOXBORO AND FENWAY AMEND SLN STRUCTURE
Foxboro Funding LLC (together with co-issuer Foxboro Funding Limited,
"Foxboro") and Fenway Funding LLC ("Fenway"), two fully supported
multiseller conduits sponsored by Hudson Castle Group Inc. (unrated)
and administered by Deutsche Bank Trust Company Americas (A1/Prime-1/C),
have each amended their secured liquidity notes structure.
Both conduits issue secured liquidity notes ("SLNs") to finance the asset
purchases. Currently, Foxboro and Fenway's SLNs have
expected maturity dates of up to 90 days, with legal final maturity
dates of 390 days from initial issuance. With this amendment,
Fenway's SLNs will have expected maturity dates up to 270 days,
instead of 90 days. The legal final maturity date of Fenway's
SLNs remains unchanged at 390 days from the issuance date. For
both conduits, the SLNs can be extended if insufficient funds are
available to repay the SLNs on their expected maturity dates. SLNs
that are not paid on their expected maturity dates become extended notes.
Under the current structure, Foxboro and Fenway have the ability
to issue new SLNs while there are still extended notes outstandings.
However, new SLNs must be issued in an amount that allows the conduits
to fully redeem all outstanding extended notes. This restriction
has been amended. The conduits can now issue new SLNs on the day
of an SLN expected maturity date if there are still extended notes outstanding,
as long as the proceeds of the newly issued SLNs are sufficient to repay
all the SLNs with expected maturity dates on that day. The remaining
funds, after the repayments of the maturing SLNs on that day,
may be applied to repay outstanding extended notes. Moody's
Prime-1 rating for Foxboro and Fenway's SLNs addresses the
timely payment of principal and interest on the SLNs legal final maturity
date, and not on the redemption conditions on the expected maturity
dates. Therefore, the change in payment mechanics prior to
the SLNs legal final maturity date does not affect Moody's Prime-1
Foxboro is authorized to issue up to $5 billion in SLNs,
while Fenway is authorized to issue up to $8.3 billion in
WESTLB'S GREYHAWK AMENDS PROGRAM
Greyhawk Funding LLC ("Greyhawk"), a partially supported,
securities arbitrage conduit sponsored by WestLB AG (Aa2/Prime-1/D-),
has amended its program structure to permit it to enter into liquidity
asset purchase agreements with special purpose vehicles that will be administered
by WestLB ("LAPA SPVs"). The LAPA SPVs will provide liquidity to
Greyhawk by purchasing assets to pay maturing ABCP. The LAPA SPVs
in Greyhawk obtain funds from WestLB through a master liquidity agreement.
CALYON'S LAFAYETTE ADDS TWO RATED RMBS NOTES TOTALING $98.6
La Fayette Asset Securitization LLC ("La Fayette"),
a partially supported, multiseller ABCP program sponsored by Calyon
(Aa2/Prime-1/C), has added two notes backed by home equity
lines of credit: a $40 million interest in a Aaa-rated
Class A note and a $58.6 million interest in a Aa1-rated
Class M note. Both notes are issued out of the same trust and benefit
from a surety bond provided by Aa1-rated Assured Guaranty Corp.
This transaction is supported by two liquidity facilities, one for
each note, that fund for maturing ABCP so long as Assured Guaranty
is not bankrupt.
With this transaction, La Fayette has about $2.38
billion in purchase commitments and $158 million in program-level
ROYAL BANK OF CANADA'S THUNDER BAY ACQUIRES $400 MILLION INTEREST
AND BNP PARIBAS' STARBIRD INCREASES ITS INTEREST FROM $500 MILLION
TO $800 MILLION IN EXISTING MORTGAGE WAREHOUSE FACILITY
Thunder Bay Funding LLC ("Thunder Bay "), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC",
rated Aa2/Prime-1/B+), has acquired a $400 million
interested in an existing billion mortgage warehouse facility.
This transaction is part of an $8.6 billion mortgage warehouse
facility that has been syndicated to 15 conduits. The facility
is established for an unrated U.S. mortgage finance company
and is used to finance two business lines of the mortgage originator.
The first line is to provide short-term lending to mortgage bankers
for newly originated loans. The second line is the securitization
of mortgage loans that the company purchases directly from loan originators
or in the whole-loan market.
Each business line has its own form of credit enhancement. The
facility benefits from transaction-specific credit enhancement
adjusted to the different type assets financed in the facility.
Thunder Bay's share in the transaction is partially supported by
a liquidity facility provided by RBC.
Along with the inclusion of Thunder Bay to the facility, Starbird
Funding Corp. ("Starbird") has increased its interest in the facility
to $800 million from $500 million. Starbird is a
partially supported, multiseller ABCP conduit sponsored by BNP Paribas
The $8.6 billion mortgage warehouse facility is currently
financed in the following conduits:
ABN Amro's Windmill Funding Corp. and Amsterdam Funding Corp.;
Bank of America's Ranger Funding Company; JPMC's Preferred
Receivables Funding Corp.; Barclays' Sheffield Receivables
Corp.; BNP Paribas' Starbird Funding Corp.;
Deutsche Bank's Saratoga Funding Corp.; Citibank's
CRC Funding, LLC and CHARTA; Royal Bank of Canada's Old
Line Funding and Thunder Bay Funding; SocGen's Barton Capital
Corp. and Asset One Securitization;
WestLB's Compass Securisation Limited/Compass Securitzation LLC
and Paradigm Funding.
With this transaction, Thunder Bay has about $6.8
billion in total purchase commitments, with $1.3 billion
in program-level credit enhancement. Starbird has about
$8.09 billion in purchase commitments and $552.8
million in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
SEPTEMBER 6, 2005 THROUGH SEPTEMBER 12, 2005:
CALLISTO CAPITAL FUNDING, LLC RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Callisto Capital Funding, LLC, a fully supported
loan-backed ABCP program sponsored by Citibank, N.A.
(Aa1/Prime-1/A-) and administered by Deutsche Bank Trust
Company Americas (A1/Prime-1/C). As of August 22,
2005, all outstanding ABCP had been repaid in full. There
will be no further issuance under this program.
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