MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 5, 2005:
New York, December 06, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD NOVEMBER 29, 2005 THROUGH DECEMBER
CO-PURCHASE MORTGAGE LOAN WAREHOUSE FACILITY AMENDED, AGGREGATE
COMMITMENT NOW $9.270 BILLION
A revolving mortgage loan warehouse "club" facility has been amended;
the facility limit is now $9.270 billion. The originator
and servicer of the mortgages is an unrated residential mortgage finance
company whose parent is rated Baa3, but which does not offer any
support to the transaction. The warehouse facility is used to finance
two lines of the company's business. The first line involves short-term
lending to mortgage bankers. The advances to the mortgage bankers
are secured by recently originated mortgage loans. As before,
eligibility requirements limit the concentration of financially weaker
borrowers in the loan pool. Second, collateral eligibility
requirements maintain the overall credit quality of the second line of
defense against loss, the underlying mortgage collateral.
Now varying percentages of the collateral may be subject to guaranteed
purchase agreements from third parties, with enhancement levels
dependent upon how much of the collateral is subject to such agreements.
The amendments to the transaction also added more specific seasoning and
aging requirements for the collateral. These protections are augmented
by the credit enhancement in the transaction.
The company's second line of business is the securitization of mortgage
loans it purchases directly from loan originators or in the whole-loan
market. The company uses the warehouse finance facility to fund
the mortgages prior to an ABS or MBS takeout. The warehouse finance
line is used to finance a variety of residential mortgage products.
The credit enhancement is assessed against each individual asset type
in the amounts necessary to achieve Prime-1 ratings. The
amendments set many new parameters for the mortgage collateral.
The following Prime-1-rated ABCP conduits are conduit lenders
under this facility:
ABN AMRO's Windmill Funding Corp. and Amsterdam Funding
Corp. have a $700 million aggregate commitment to the transaction
and each conduit increased its program wide credit enhancement by 8%.
Bank of America's Ranger Funding Company LLC added a $1.004
billion commitment and increased its program wide credit enhancement by
Barclays Bank's Sheffield Receivables Corp. has a
$1.241 billion commitment and increased its program wide
credit enhancement by 10%.
Lloyd's Bank's Cancara Asset Securitisation Ltd has
a $600 million aggregate commitment and the conduit increased its
program-level credit enhancement by 5%.
BNP Paribas' Starbird Funding Corporation has a $500 million
commitment and increased its program-level credit enhancement by
Citibank's CRC Funding, LLC, CHARTA, LLC,
and CIESCO, LLC have an aggregate $350 million commitment
and increased their program-level credit enhancement by 10%,
10%, and 8%, respectively.
Bayerische Landesbank's Giro Balanced Funding Corp.
has a $400 million commitment and increased its program wide credit
enhancement by 10%.
Rabobank's Nieuw Amsterdam Receivables Corp. has a
$400 million commitment and increased its program wide credit enhancement
JPMorgan Chase Bank's Preferred Receivables Funding Corp.
has a $275 million commitment and increased its program-level
credit enhancement by 10%.
Royal Bank of Canada's Old Line Funding, LLC and Thunder
Bay Funding, LLC have a $1 billion aggregate commitment and
each conduit increased its program-level credit enhancement by
Societe Generale's Barton Capital LLC and Asset One Securitization,
LLC (not rated by Moody's), have a combined $1.5
billion commitment. Barton increased its program-level credit
enhancement by 8%.
WestLB's Compass Securitization LLC and Paradigm Funding,
LLC have an $800 million aggregate commitment and increased their
respective program-level credit enhancement by 5% and 8%.
DZ BANK'S AUTOBAHN ADDS $50 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 $50 million revolving loan facility. The seller
provides funding to injured victims prior to final settlement of their
related insurance claims. Proceeds from the loan facility will
be used by the seller to fund its purchase of insurance settlement claims
which contractually entitle the seller to a portion of the proceeds associated
with ultimate settlement with the insurance companies.
This transaction is fully supported through a liquidity facility provided
by DZ Bank. Autobahn is currently authorized to issue up to $2.6
billion of ABCP.
CALYON'S LMA ADDS FCC UNITS TOTALING EUR 170.5 MILLION BACKED
BY CONSUMER LOANS AND POOL OF TRADE RECEIVABLES TOTALING EUR 100 MILLION
LMA S.A. ("LMA," also known as Liquidites de
Marche) has added EUR 170.5 million of FCC units backed
by a portfolio of consumer loans as well as EUR 100 million of a portfolio
of trade receivables originated by an Italian seller operating in the
LMA is a fully supported, multiseller ABCP program sponsored and
administered by Calyon (Aa2/Prime-1/C). LMA uses the proceeds
of its Billets de Tresorerie and Euro commercial paper ("Euro ABCP")
to fund the purchase of FCC units, asset-backed securities
and bonds issued by French and US corporate entities.
The Prime-1 rating assigned to LMA's Billets de Tresorerie
and Euro ABCP is based primarily on: (i) the full liquidity support
provided by Prime-1-rated banks through transaction-specific
purchase and sale agreements, which allows for timely repayment
of maturing Billets de Tresorerie and Euro ABCP, (ii) the
integrity of the conduit's structure, and (iii) the operational
ability of Calyon as the program administrator. Currently,
LMA's liquidity facility is provided by a syndicate of seven Prime-1-rated
LMA is authorized to issue up to EUR 5.58 billion, USD 246.2
million and GBP 110 million of ABCP.
HSBC's REGENCY ADDS EURO 435 MILLION POOL OF TRADE RECEIVABLES
Regency Markets No.1 LLC ("Regency"), a partially supported,
multiseller ABCP conduit administered by HSBC Bank plc (Aa2/Prime-1/B+),
has added Euro 435 million of FCC units backed by a pool of trade receivables
to its portfolio. The underlying pool consists of trade receivables
originated by a French company operating in the tobacco industry.
Transaction-specific credit enhancement is in the form of subordination.
In addition, Regency has added 5% programme-wide enhancement
for this seller addition. The transaction is partially supported
by a liquidity asset purchase agreement provided by Prime-1-rated
HSBC France that is sized at 102% of the purchase commitment.
With this transaction, Regency may issue up to approximately US$7
billion of ABCP.
HVB'S SALOME ADDS EURO 190 MILLION NOTE
Salome Funding Limited ('Salome'), the partially supported,
multiseller ABCP conduit sponsored by Bayerische Hypo-und Vereinsbank
AG ("HVB," rated A2/Prime-1/D+) has added
a Euro 190 million note to its portfolio. The underlying assets
are consumer loans originated by a bank in Russia.
This transaction is fully supported by a liquidity facility provided by
Prime-1-rated HVB and is sized at 102% of the transaction
limit and covers all non-credit risk. In addition,
a letter of credit also sized at 102% is available. The
conduit's programme-wide credit enhancement has been increased
by 5% for this transaction.
With the addition of this transaction, Salome is authorized to issue
up to Euro 1.10 billion of ABCP.
BARCLAYS' SHEFFIELD INCREASES CREDIT CARD TRANSACTION TO $515.8
Sheffield Receivables Corp. ("Sheffield"), a partially supported,
multiseller conduit sponsored by Barclays Bank PLC (Aa1/Prime-1/A-),
has increased a credit card transaction.
Sheffield previously increased its $129 million interest in a A1-rated
variable funding note backed by credit card receivables originated from
an existing master trust on two separate occasions to a total of $419
million. Now the transaction has been increased by $96.8
million, to $515.8 million. The underlying
assets consist primarily of private label credit cards originated by various
retailers. The transaction benefits from 16.75% transaction-specific
credit enhancement provided in the form of subordination. With
this transaction, Sheffield's program-level credit enhancement
was raised by 10% of the increased asset commitment. With
this increase, Sheffield is currently authorized to issue up to
approximately $23.906 billion of ABCP.
BARCLAYS' STRATFORD INCREASES CREDIT CARD TRANSACTION FROM $2.829
BILLION TO $3.482 BILLION
Stratford Receivables Company LLC ("Stratford"), a partially supported,
extendible note, multiseller ABCP program sponsored by Barclays
Bank PLC (Aa1/Prime-1/A-), has increased a credit
The credit card transaction, added in June 2005, began as
an $870.9 million Aaa-rated variable funding note
backed by receivables issued out of a master trust. and has since
been increased twice. Initially, the commitment increased
by $1.088 billion to $1.959 billion,
then again by $870 million to a total of $2.829 billion.
Now it has increased by another $653 million to $3.482
billion. The underlying assets consist primarily of private label
credit cards originated by various retailers. Liquidity in the
amount of 31% of the commitment is being provided by Barclays.
Stratford is the first reduced liquidity, multiseller extendible
program in the ABCP market worldwide. Stratford may issue up to
$10 billion of U.S. dollar-denominated ABCP
in the US market. Stratford is now authorized to issue up to $7.457
billion of extendible notes and has $42 million in program-level
ROYAL BANK OF CANADA'S THUNDER BAY INCREASES EXISTING STUDENT LOAN
WAREHOUSE FACILITY FROM $200 MILLION TO $400 MILLION;
OLD LINE FUNDING ADDED AS COMMITTED LENDER.
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 increased
its commitment to fund an existing student loan warehouse facility from
$200 million to $400 million. Also, Old Line,
another partially supported, multiseller ABCP conduit sponsored
by RBC, is now included as an additional committed lender.
The student loans financed in this facility are originated under the Federal
Family Education Loan Program ("FFELP"). A liquidity facility provided
by RBC funds for non-defaulted loans and advances against payments
due under the FFELP guarantee for defaulted student loans. With
this amendment, Thunder Bay and Old Line's program-level
credit enhancement is now sized at 10% of its purchase commitment.
As of October 2005, Old Line had $11.8 billion in
purchase commitments, $8.5 billion of outstanding
ABCP, and $1.2 billion in program-level credit
enhancement. Thunder Bay had $5.8 billion in purchase
commitments, $3.8 billion of outstanding ABCP,
and $640 million in program-level credit enhancement.
WACHOVIA BANK'S VARIABLE FUNDING CONVERTS TO LIMITED LIABILITY COMPANY
AND ISSUES SUBORDINATE NOTES
Moody's has affirmed the Prime-1 rating of Variable Funding Capital
Company LLC ("VFCC"), an ABCP program sponsored by Wachovia
Bank, after its conversion from a corporation to a limited liability
company and an amendment which permits VFCC to issue subordinate notes.
The subordinate notes are fully subordinated to any ABCP issued by VFCC
and may only have their interest and principal paid if VFCC has funds
in excess of amounts needed to repay ABCP. The subordinate note
holders have agreed to the normal limitations of recourse and bankruptcy
claim rights that are found in ABCP conduit documentation.
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
Letitia J. Accarrino
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service