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03 Jan 2006
New York, January 03, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD DECEMBER 27, 2005 THROUGH JANUARY
CALYON'S ATLANTIC ADDS $90 MILLION LOAN FACILITY
Atlantic Asset Securitization LLC ("Atlantic"), a partially
supported, multiseller conduit sponsored by Calyon (Aa2/Prime-1/C),
has added a $90 million loan facility to its portfolio.
The loan facility invests in real estate-related secondary investments
("Funds"), provides interim financing for the Funds'
investments and is secured by the uncalled capital commitments of the
This transaction benefits from 10% transaction-specific
credit enhancement in the form of reserves. In addition,
the transaction has various structural protections to ensure that investors
are protected upon deterioration in the performance of the facility.
This transaction is partially supported by a liquidity facility that funds
for non-defaulted assets.
With this transaction, Atlantic's program-level credit
enhancement was increased by 10% of its purchase commitment.
Atlantic currently has about $7.5 billion in purchase commitments
and $672 million in program-level credit enhancement.
CALYON'S ATLANTIC AND LA FAYETTE ADD THREE TRANSACTIONS TOTALING $2.25
BILLION AND AMENDS EXISTING SERVICER ADVANCE TRANSACTION BY ADDING ANOTHER
Atlantic Asset Securitization LLC ("Atlantic") and La Fayette Asset Securitization
LLC ("La Fayette'), two partially supported, multiseller
ABCP programs sponsored by Calyon (Aa2/Prime-1/C), have added
three transactions totaling $2.25 billion to their portfolios.
The first transaction is a $500 million interest in a $10
billion revolving mortgage warehouse "club" facility.
The warehouse facility, established for an unrated residential mortgage
finance company, finances two lines of the company's business.
The first is short-term lending to mortgage bankers who use these
funds to originate new mortgage loans. The company's second line
is used for the securitization of mortgage loans purchased directly from
loan originators or in the whole-loan market. The company
uses the warehouse facility to fund the mortgages prior to an ABS or MBS
takeout securitization. Credit enhancement is assessed against
each individual asset type in amounts necessary to achieve a Prime-1
rating on the facility. This transaction is partially supported
by liquidity facilities provided by Calyon. For this transaction,
Atlantic's program-level credit enhancement was increased by 10%
of its commitment and La Fayette's program-level credit enhancement
was increased by 8%.
The second transaction is a $1 billion auto lease facility.
The facility finances an amortizing pool of retail vehicle leases originated
by a U.S. auto manufacturer. The facility benefits
from 16.5% transaction-specific credit enhancement,
which is comprised of 14.5% overcollateralization,
1.5% excess spread, and a fully funded non-declining
cash reserve account sized at 0.50% of the conduits'
investment. In addition, the transaction has various structural
protections to ensure that investors are protected upon deterioration
in the performance of the portfolio. This transaction is partially
supported by liquidity facilities provided by Calyon. For this
transaction, Atlantic's program-level credit enhancement
was increased by 10% of its commitment and La Fayette's program-level
credit enhancement was increased by 8%.
The third transaction is a $750 million interest in a Aa1-rated
Class A note. The Class A note benefits from a surety bond provided
by Aa1-rated Assured Guaranty Corp. and is backed by home
equity lines of credit originated by a U.S. mortgage company.
This transaction is fully supported by liquidity facilities that fund
for the maturing ABCP as long as Assured Guaranty is not bankrupt or does
not default on its payment obligation. Due to the high credit quality
of the Class A note, Atlantic and La Fayette's program-level
credit enhancement were not increased for this purchase.
In addition to the asset additions, Atlantic and La Fayette have
amended a servicer advance transaction for a large residential mortgage
servicer, increasing the total size of the transaction to $600
million from $400 million. The increase is a result of improved
information regarding the advances which result in additional advances
that are now eligible for funding. Servicer advances are payments
made by the mortgage servicer to keep loans current with respect to tax,
insurance or other items in order to lower the overall cost of servicing
the pool. Properly made, servicer advances are repayable
from all of the loans in a mortgage pool, not just the loan against
which the advance was made. Servicer advances are common in many
collateral types, not just RMBS.
Calyon's Atlantic and La Fayette will continue to fund up to $400
million in advances, the same as they have been since the deal was
first originated in 2004. Royal Bank of Canada's Thunder
Bay Funding, LLC has been added as a co-purchaser to provide
for the $200 million increase in the facility to $600 million.
Atlantic currently has about $7.5 billion in purchase commitments
and $672 million in program-level credit enhancement.
La Fayette has about $4.5 billion in purchase commitments
and $300 million in program-level credit enhancement.
BANK OF AMERICA'S KITTY HAWK AMENDS PROGRAM DOCUMENTS
Kitty Hawk Funding Corp. ("Kitty Hawk"), a post
review, fully supported ABCP conduit sponsored by Bank of America
(Aa1/Prime-1/A-), has amended its program documents
to allow for the issuance of ABCP denominated in Euros, Australian
Dollars, Yen and Sterling. The ABCP issued by Kitty Hawk
is fully supported by a multi-currency liquidity facility provided
by Prime-1 rated Bank of America. As of November 30,
2005, Kitty Hawk had $7 billion in purchase commitments and
$5.23 billion of USD ABCP outstanding.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING ADDS $250 MILLION CREDIT
FACILITY AND INCREASES INTEREST IN EXISTING EQUIPMENT LOAN AND LEASE FACILITY
Manhattan Asset Funding Company LLC ("Manhattan"), a partially supported,
multiseller conduit, sponsored by Sumitomo Mitsui Banking Corp.
("SMBC", rated A1/Prime-1/D), has added a $250
million revolving credit facility to its portfolio. The revolving
credit facility is backed by asset-backed securities and CDO transactions.
This facility is fully supported by liquidity provided by SMBC.
In addition to the asset purchase, Manhattan has increased its interest
in an existing equipment loan and lease purchase facility from $300
million to $333.33 million. This transaction is part
of a $1 billion co-purchase facility with Bank of America's
Ranger Funding Company LLC and JPMorgan Chase's Falcon Asset Securitization
Corp. The facility finances new and used construction machinery
and equipment originated by a captive finance company of an investment-grade-rated
construction manufacturer and distributor. The transaction benefits
from a minimum of 5.5% transaction-specific credit
enhancement in the form of overcollateralization, which adjusts
dynamically depending upon asset performance. The transaction also
benefits from 10% incremental program-level credit enhancement.
This transaction is partially supported by a liquidity facility provided
Manhattan has about $3.04 billion in total purchase commitments
and $320 million in program-level credit enhancement.
THORNBURG MORTGAGE CAPITAL RESOURCES LLC INCREASES PROGRAM SIZE TO $10
BILLION AND ADDS ABILITY TO ISSUE FLOATING RATE ABCP
Thornburg Mortgage Capital Resources, LLC, ("TMCR"),
an ABCP program sponsored by Thornburg Mortgage, Inc. (rated
Ba2), has increased the size of its program limit to $10
billion from $5 billion. TMCR issues extendible ABCP to
fund Agency-guaranteed or Aaa-rated adjustable rate mortgage-backed
securities. Funding for the securities is through the use of repurchase
agreements with mark-to-market and overcollateralization
requirements. Failure to repurchase the securities in a timely
fashion results in an extension of the ABCP and a sale of the securities
to repay investors. The haircuts in collateral have been sized
to cover the market value risk on the sale of the securities.
TMCR has also added the ability to issue floating rate extendible ABCP.
Monthly interest payments on the floating rate notes will be made primarily
from cash flow from the underlying mortgage securities, but there
is a requirement for cash payments by the borrower and ultimately asset
sales to make these interest payments if necessary. The repurchase
price and the funding haircuts have been changed to reflect the issuance
of the floating rate notes. With these amendments, TMCR may
issue any combination of fixed or floating rate extendible ABCP up to
a total of $10 billion.
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
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JANUARY 2, 2006
Structured Finance Group
Moody's Investors Service
No Related Data.
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