MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED NOVEMBER 28, 2005
New York, November 29, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD NOVEMBER 22, 2005 THROUGH NOVEMBER
28, 2005:
CO-PURCHASE MORTGAGE LOAN WAREHOUSE FACILITY AMENDED, AGGREGATE
COMMITMENT INCREASED TO $9.5 BILLION
The commitment for a revolving mortgage loan warehouse "club"
facility for an investment-grade originator and servicer of mortgage
loans was increased from $8.35 billion to $9.5
billion. Also, three conduits were added as lenders to this
facility: Lloyds TSB Bank's Cancara Asset Securitisation Limited,
Bank of Nova Scotia's Liberty Street Funding and ING Bank's
Mont Blanc. Through this facility, the seller receives interim
financing for pools of mortgage loans prior to a term securitization or
whole loan sale of the loans. The types of mortgage loans eligible
for financing include: sub-prime, HELOCs, conventional-conforming,
nonconforming (prime) and government (FHA/VA). The transaction
includes a number of loan eligibility criteria and portfolio concentration
limits. No loan may remain in the facility for more than 180 days
(and not more than 50% of the loans may remain in the facility
for more than 90 days).
The following Prime-1-rated ABCP conduits have now been
added as conduit lenders under this facility:
Lloyds TSB Bank's Cancara Asset Securitisation Limited added
a $500 million commitment and increased its program wide credit
enhancement by 5%.
The Bank of Nova Scotia's Liberty Street Funding Corp.
added a $400 million commitment and increased its program wide
credit enhancement by 10%.
ING Bank's Mont Blanc added a $400 million commitment
and increased its program wide credit enhancement by 10%.
The following Prime-1-rated ABCP conduits continue to participate
in this facility:
ABN Amro Bank's Windmill Funding Corporation and Amsterdam
Funding Corporation have a $1 billion aggregate commitment and
each conduit increased its program-level credit enhancement by
8%.
Bank of America's Yorktown Capital, LLC has a $500
million commitment and increased its program-level credit enhancement
by 10%.
BNP Paribas' Starbird Funding Corporation has a $750
million commitment and increased its program-level credit enhancement
by 5%.
Calyon's Atlantic Asset Securitization Corp. and La
Fayette Asset Securitization LLC have an aggregate $250 million
commitment and increased their program-level credit enhancement
by 10% and 8%, respectively.
Citibank's CAFCO LLC and CRC Funding LLC have an aggregate
$1.5 billion commitment and increased their program-level
credit enhancement by 8% and 10%, respectively.
Dresdner's Symphony No. 1, LLC (Beethoven) has
a $500 million commitment and increased its program wide credit
enhancement by 10%.
HSBC Bank's Bryant Park Funding LLC and Regency Assets Limited
have a combined $600 million commitment and increased their program
wide credit enhancement by 8% and 5%, respectively.
JPMorgan Chase Bank's Delaware Funding Company LLC and Falcon
Asset Securitization Corp. have a $1 billion commitment
and each conduit increased its program-level credit enhancement
by 10%.
Royal Bank of Canada's Old Line Funding, LLC and Thunder
Bay Funding, LLC have a $750 million commitment and each
conduit increased its program-level credit enhancement by 10%.
Societe Generale's Barton Capital LLC has a $1 billion
commitment and increased its program-level credit enhancement by
8%.
WestLB's Compass US Acquisition, LLC has a $500
million commitment and increased its program-level credit enhancement
by 8%.
Liquidity for each conduit is sized at 102% of its respective commitment.
CALYON'S LA FAYETTE RESTRUCTURES EXISTING MORTGAGE FACILITY; THREE
NEW PRIME-1-RATED ABCP CONDUITS JOIN
La Fayette Asset Securitization LLC ("La Fayette"),
a partially supported, multiseller ABCP program sponsored by Calyon
(Aa2/Prime-1/C), has restructured and increased its interest
in an existing mortgage facility. Three conduits now join La Fayette
in financing this facility. The amendments include (i) increasing
the size of the facility from $250 million to $1.15
billion, (ii) modifying the 0.50% reserve account
to a dynamic calculation, (iii) expanding the eligibility criteria
for mortgage loans, (iv) allowing up to 5% of loans to remain
in the facility up to 180 days, (v) the addition of various financial
covenants, and (vi) substitution of the facility's servicer.
This transaction, which was added to La Fayette's portfolio
in 2003, finances loans for an unrated company that originates and
services mortgage loans.
With the restructuring, the transaction continues to benefit from
a minimum of 2% transaction-specific credit enhancement
in the form of advance rates which vary depending on the type of mortgage
loan. The transaction has various loan eligibility criteria and
portfolio concentration limits. No loan may remain in the facility
for more than 90 days (with a 5% limit for loans up to 180 days).
In addition, the transaction has structural protections such as
an ABCP tenor limitation, and a cease issuance of ABCP upon the
occurrence of various trigger events. This transaction remains
partially supported in La Fayette.
With the restructuring, the following Prime-1-rated
ABCP conduits now participate in this transaction:
ABN Amro's Amsterdam Funding Corp. acquired a $250
million interest and increased its program-level credit enhancement
by 8% of the commitment.
Calyon's La Fayette Asset Securitization LLC increased its commitment
from $250 million to $400 million; its program-level
credit enhancement remains at 8%.
JPM's Park Avenue Receivables Company added a $250
million commitment and increased its program-level credit enhancement
by 10% of the new asset interest.
. SocGen's Barton Capital LLC acquired a $250
million interest and increased its program-level credit enhancement
by 8% of the commitment.
The liquidity facility for each conduit is sized at 102% of its
respective commitment, and funds for non-defaulted loans.
DZ BANK'S AUTOBAHN ADDS $75 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") (A2/Prime-1/C-), has
added a $75 million revolving loan facility. The seller
leases utility vehicles and construction equipment to small and mid-sized
enterprises throughout the United States. Autobahn will provide
a five-year senior secured revolving credit facility. The
proceeds will be used to fund a revolving portfolio of equipment leases
(or installment loan contracts) originated by the seller.
This transaction is fully supported through a liquidity facility provided
by DZ Bank. Autobahn is currently authorized to issue up to $2.7
billion of ABCP.
DRESDNER'S BRAHMS AMENDS PROGRAM STRUCTURE
Brahms Funding Corp. ("Brahms"), a partially supported,
multiseller SLN program sponsored by Dresdner Bank AG (A1/Prime-1/C-),
has amended its program structure. The amendments include:
(i) the ability to use repurchase agreements to finance asset purchases,
(ii) the exclusion of certain assets from Brahms collateral under the
Security Agreement, subject to a limitations, and (iii) the
inclusion of certain notification conditions.
Brahms has no program-level credit enhancement. Currently,
all transactions are fully supported by total rate of return swaps.
Brahms is authorized to issue up to $11.75 billion of SLNs
and has an authorized program limit of $15 billion.
WESTLB'S COMPASS ADDS EUR950 MILLION LOAN RECEIVABLE FACILITY
Compass Securitisation Limited and Compass Securitisation LLC (together,
"Compass"), a partially supported, multiseller
ABCP conduit sponsored by WestLB AG (Aa2/Prime-1/D-),
has added another pool of auto loan receivables in the amount of EUR950
million. The receivables are originated by a leading European consumer
finance bank located in Germany. The underlying borrowers are individual
residents of Germany and the portfolio shows a broad diversification.
The transaction benefits from 9.4% of transaction-specific
credit enhancement and also from 8% programme-level credit
enhancement. Transaction-specific credit enhancement is
provided in the form of excess spread, which is protected through
an interest rate swap fixed at 3.325% between the purchasing
company and Banco Santander Central Hispano ("BSCH") (Aa3/Prime-1/B).
Furthermore, there is a second loss reserve in place, namely
a reserve funded by a subordinated loan provided from a third party and
a default guarantee provided by the seller.
Additionally, the transaction is partially supported by a liquidity
facility provided by WestLB. With this increase in commitments,
Compass is currently authorized to issue up to approximately USD11.5
billion in ABCP.
BAYERISCHE LANDESBANK'S GIRO LION ADDS TWO TRANSACTIONS TOTALING
GBP400 MILLION
Giro Lion Funding Limited ("Giro Lion"), a partially
supported hybrid ABCP conduit sponsored by Bayerische Landesbank (Aa2/Prime-1/D+),
has added two transactions totaling GBP400 million to its portfolio.
The first transaction is a GBP200 million funding note backed by residential
mortgage loans. Under a standing offer purchase agreement,
an intermediate SPV purchases a mortgage pool from a large non-bank
financial institution. The Giro Lion purchasing vehicle will provide
the senior note loan to purchase this pool. Credit enhancement
will initially be in the form of a subordinated loan provided by the originator
and secondly by a junior note loan provided by a third-party mezzanine
investor. The lending period is up to 45 days and is matched with
the issuance of ABCP by Giro Lion. No ABCP will be issued in the
event that there is insufficient credit enhancement. Liquidity
is provided by Prime-1-rated Bayerische Landesbank and will
fund for ABCP less any realized losses exceeding the available credit
enhancement which have occurred in the last 45 days.
The second transaction is a co-purchase with Thames Asset Global
Securitization No. 1 Inc. ("TAGS"), the
conduit sponsored by Royal Bank of Scotland Plc (Aa1/Prime-1/A-).
In this transaction, Giro Lion can purchase up to GBP200 million
of a GBP600 million pool of assets. The underlying assets are non-conforming
UK residential mortgages. ABCP tenor is limited to 35 days.
Giro Lion's commitment under this transaction is partially supported
through a liquidity facility provided by Bayerische Landesbank.
As of 31 October 2005, Giro Lion was authorized to issue up to USD2.8
billion of ABCP.
ABN AMRO'S ORCHID PURCHASES $100 MILLION NOTE BACKED BY TRADE RECEIVABLES
Orchid Funding Corporation ("Orchid"), a partially supported,
multiseller ABCP conduit administered by ABN AMRO Bank N.V.
(Aa3/Prime-1/B), has purchased a U.S. dollar-denominated
note backed by a trade receivables facility with a maximum total size
of US $100 million. The receivables are originated by a
seller in the semiconductor manufacturing industry. The receivables
in the facility are denominated in U.S. dollars and New
Taiwanese dollars.
The trade receivables will be purchased at a discount. Transaction-specific
credit enhancement is in the form of overcollateralization and a credit
facility provided by Prime-1-rated ABN AMRO. The
credit enhancement is based mainly on obligor concentration limits.
Overall losses tend to be low. This transaction also benefits from
a swap agreement provided by ABN AMRO. The swap agreement mitigates
currency exchange risk.
With this transaction and as of this addition, Orchid may issue
up to approximately US $772 million of ABCP.
COUNTRYWIDE'S PARK GRANADA LLC INCREASES PROGRAM LIMIT TO $21.5
BILLION
Park Granada LLC, a single-seller mortgage warehouse program
sponsored by Countrywide Home Loans Inc. (A3/Prime-2),
has increased its authorized amount to $21.5 billion from
$21 billion. Countrywide Home Loans Inc. is the main
operating subsidiary of Countrywide Financial Corporation (A3).
The extendible ABCP benefits from 5% credit enhancement,
which is provided in the form of a 0.6% cash collateral
account and 4.4% in unrated subordinated variable funding
notes. Liquidity support is provided through the combination of
a commitment from Prime-1-rated JP Morgan Chase to purchase
unsold, non-delinquent mortgage loans and swaps provided
by a syndicated group of Prime-1-rated banks which absorb
market value losses arising from the sale of mortgage loans and interest
shortfall on the extendible ABCP.
With this $.5 billion increase, Park Granada is now
authorized to issue $20.554 billion of Prime-1-rated
extendible ABCP (including secured liquidity notes and callable notes).
IKB'S RHINELAND ADDS EUR10 MILLION TRADE RECEIVABLES TRANSACTION
Rhineland Funding Capital Corp ("Rhineland"), a hybrid
ABCP conduit sponsored by IKB Deutsche Industriebank AG ("IKB")
(Aa3/Prime-1/B-), has added a EUR10 million trade
receivables transaction to its portfolio. The assets are originated
by a German company specializing in aluminum-die casting.
The transaction is fully supported through a combination of credit insurance
and liquidity. Credit insurance is provided by Allgemeine Kreditversicherungs
Coface AG (Aa3) and covers all defaulted receivables. Liquidity
support is provided by IKB and funds for all non-defaulted assets.
With this transaction. Rhineland is authorized to issue up to approximately
EUR8.34 billion 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
Letitia J. Accarrino
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653