MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JANUARY 30, 2006
New York, January 31, 2006 -- MOODY'S PUBLISHES 2005 REVIEW AND 2006 OUTLOOK FOR US ABCP MARKET AND
JAPAN ABCP MARKET
Moody's Investors Service has published two 2005 review & 2006 outlook
articles, one on the U.S. ABCP market, and the
other on ABCP market in Japan.
The U.S. ABCP article is titled "2005 Review and 2006
Outlook: U.S. Asset-Backed Commercial Paper
- Will 2006 Issuance Hit The $1 Trillion Milestone?"
In the report, Moody's comments that the ABCP outstandings
in the US rose to unprecedented levels in 2005, reaching $926
billion as of Dec. 31, 2005. While Moody's does not
believe that growth in 2006 will be as robust as in 2005, it expects
to see a 5%-10% increase in ABCP outstandings by
the end of the year based on market consensus. This could bring
total issuance into the $1 trillion range.
Moody's expects that the growth in 2006 for ABCP conduits will continue
to come from the use of more innovative structures and new assets types
such as repurchase agreements and CDOs. In addition, ABCP
conduit sponsors will likely continue to focus on optimizing liquidity
facilities in response to Basel II as it is implemented by each country's
Moody's has also published an article on the ABCP market in Japan,
titled "2005 Review and 2006 Outlook: ABCP Market in Japan."
As the article explains, the issuance volume of ABCP in the Japanese
domestic market during 2005 remained almost the same as 2004. During
2005, a significant market event was the amendment of program documents
that allows conduits to issue paperless ABCP. Paper-based
systems for ABCP programs are now thoroughly extinct. In addition,
ABCP programs that issue CP outside Japan have sought to purchase portfolios
of monetary receivables originated by domestic originators.
In 2006, Moody's expects that emerging concerns about rising interest
rates will motivate market participants to utilize ABCP programs for short-term
financing tools. And, in response to Basel II, conduit
sponsors are likely to consider an evaluation of their program's
underlying portfolios and liquidity facility exposures.
For further details, please see Moody's press release dated January
26, 2006 for the U.S. ABCP market and January 24,
2006 for the Japanese ABCP market. The Special Reports are available
on Moody's website, http://www.moodys.com.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JANUARY 24, 2006 THROUGH JANUARY
MIZUHO CORPORATE BANK'S ADVANTAGE ACQUIRES $44.52 MILLION
Advantage Asset Securitization Corp. ("Advantage"), a partially
supported, multiseller conduit sponsored by Mizuho Corporate Bank,
Limited ("Mizuho", rated A1/Prime-1/D+), has acquired
a $44.52 million interest in a Aaa-rated note backed
by vehicles and vehicle lease payments. This transaction is fully
supported by a liquidity facility provided by Mizuho.
With this transaction, Advantage has about $388.63
million in total purchase commitments.
ABN AMRO'S AMSTEL ADDS ABILITY TO ISSUE ECNS AND CALLABLE NOTES
Amstel Funding Corp. and Amstel Euro Funding Corp. (together,
"Amstel"), a partially supported, credit arbitrage ABCP conduit
sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has restructured its program to allow for the issuance of extendable notes
and callable notes (together, "Funding Notes").
Amstel's Funding Notes will have expected maturity dates of up to
180 days and final maturity dates of up to 365 days. As with Amstel's
sister conduit, Tulip Funding Corp./Tulip Euro Funding Corp.,
the Funding Notes will not be used as alternative liquidity. The
liquidity facilities provided by Prime-1-rated ABN Amro
will continue to cover 100% of principal and interest on all CP.
On the expected maturity date for the Funding Notes and on each date during
the extension period on which the related interest rate is set,
the programme administrator will determine whether there is sufficient
liquidity to cover the face amount of outstanding CP, including
interest on Funding Notes up to the next interest payment date.
If the administrator determines that there will be a shortfall,
liquidity will be drawn immediately to repay outstanding Funding Notes.
Amstel is authorized to issue approximately EUR 28.2 billion of
CALYON'S ATLANTIC AND LAFAYETTE INCREASE INTEREST IN EXISTING MORTGAGE
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 increased
their interest in an existing mortgage loan facility from $1 billion
to $1.25 billion. The facility is structured as a
direct purchase of first-lien residential mortgage loans under
the terms of a repurchase agreement. The underlying loans are originated
by various finance companies.
This transaction is partially supported through two liquidity facilities
provided by Calyon and Lloyds TSB Bank plc (Aaa/Prime1/A). The
liquidity facilities fund for maturing ABCP so long as the Prime-1-rated
financial institution is not bankrupt.
Atlantic currently has about $7.6 billion in purchase commitments
and $679 million in program-level credit enhancement.
La Fayette has about $4.6 billion in purchase commitments
and $324 million in program-level credit enhancement.
WESTLB'S COMPASS ADDS EURO 35 MILLION TRADE RECEIVABLE FACILITY
Compass Securitisation Limited and Compass Securitization LLC (together
"Compass"), a partially supported, multiseller
ABCP conduit sponsored and administered by WestLB AG (Aa2/Prime-1/D-),
has added a EUR 35 million trade receivable facility to its portfolio.
The receivables are originated by a German company that manufactures steel
products. The underlying debtors are corporations in Germany.
The transaction benefits from an 8% programme-level credit
enhancement. There is a first loss reserve in place after which
the transaction is fully supported by commercial credit insurance provided
by Atradius Credit Insurance NV (A2/Prime-1).
With this transaction, Compass is currently authorized to issue
approximately up to EUR 9.6 billion in ABCP.
HUDSON CASTLE'S FENWAY ADDS $1.5 BILLION FACILITY AND INCREASES
INTEREST IN EXISTING WAREHOUSE FACILITY
Fenway Funding LLC ("Fenway"), a fully supported multiseller conduit
sponsored by Hudson Castle Group Inc. (unrated) and administered
by Deutsche Bank Trust Company Americas (A1/Prime-1/C), has
added a $1.5 billion facility to its portfolio and increased
its interest in an existing warehouse facility from $1.5
billion to $2.5 billion.
Fenway finances both transactions through the issuance of secured liquidity
notes ("SLNs"), which have an expected maturity date of up to 270
days, and a legal final maturity date of 390 days. The maturity
of the SLNs can be extended if insufficient funds are available to repay
the SLNs on their expected maturity date.
The $1.5 billion facility is established to finance various
highly rated securities and is fully supported by a Prime-1 rated
financial institution. The financial institution guarantees the
timely payment of principal and interest at the SLN's legal final maturity.
The $2.5 warehouse facility is fully supported by a different
Prime-1 rated financial institution, and the form of liquidity
support is through a total rate of return swap.
Fenway has no program-level credit enhancement and is authorized
to issue up to $11 billion in SLNs.
CALYON'S LMA ADDS SPV NOTES BACKED BY AIRCRAFT LEASES TOTALING USD
LMA S.A. ("LMA", also known as Liquidites de
Marche) has added USD 175 million of SPV Notes backed by aircraft
leases. 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 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 6.2 billion, USD 419.4
million and GBP 102 million of ABCP.
ING'S MONT BLANC ADDS TWO Aaa-RATED VFNS TOTALING $300 MILLION
Mont Blanc Capital Corp. ("Mont Blanc"), a partially supported,
multiseller ABCP conduit sponsored by ING Bank N.V. (Aa2/Prime-1/B+),
has added two Aaa-rated variable funding notes ("VFN"),
each for a $150 million, to its portfolio.
The first transaction is a $150 million Aaa-rated VFN backed
by auto leases. The VFN is a part of a $1.5 billion
co-purchased auto lease facility established for a U.S.
auto lease company. The VFN benefits from a financial guarantee
insurance policy provided by Ambac Assurance Corporation (rated Aaa).
This transaction is fully supported by a liquidity facility that funds
for the face amount of ABCP as long as Ambac is not bankrupt or does not
default on its payment obligation. Due to the high credit quality
of the VFN, Mont Blanc is not required to increase its program-level
credit enhancement with the addition of this transaction.
The second transaction is a $150 million interest in another Aaa-rated
VFN. The VFN is issued out of a revolving credit facility that
finances film rights for an international media and entertainment company.
This VFN benefits from a financial guarantee insurance policy provided
by Aaa-rated MBIA Insurance Corp. The transaction is fully
supported under a revolving asset purchase agreement provided by Prime-1-rated
ING. The purchase agreement is sized at 102% of the commitments
and funds for the face amount of ABCP as long as Mont Blanc is not bankrupt
or MBIA does not default on its payment obligation.
With these transactions, Mont Blanc has about $7.3
billion in purchase commitments and $418 million in program-level
DEUTSCHE BANK'S RHEINGOLD ADDS TWO TRANSACTIONS
Rheingold Securitisation Limited ("Rheingold"), a partially
supported, multiseller ABCP conduit sponsored by Deutsche Bank AG
(Aa3/Prime-1/B-), has added two transactions to its
The first transaction is a GBP 240 million CLO note purchase. The
CLO note is a Aaa-rated super senior note, and is funded
in Rheingold on a partially supported basis. Due to the high credit
quality of the note, Rheingold is not required to increase its programme-level
credit enhancement with the addition of this transaction.
The second transaction is a EUR 500 million facility backed by German
residential mortgages. The transaction is fully supported by a
liquidity facility sized at 102% of the commitment size.
The liquidity facility is provided by Prime-1-rated Deutsche
With these transactions, Rheingold is authorized to issue up to
EUR 2.3 billion of ABCP.
FORTIS BANK'S SCALDIS ADDS EUR 135 MILLION LEASE RECEIVABLE TRANSACTION
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 a EUR135 million lease receivable
transaction to its portfolio. Scaldis is providing a warehouse
facility to the originator, who is a Danish leasing company.
The transaction is fully supported by a liquidity facility provided by
Prime-1 rated Fortis Bank.
With this addition, Scalis' programme-level credit
enhancement was increased by 5% of its commitment. Scaldis
is authorized to issue up to approximately EUR 28.1 billion of
BNP PARIBAS' STARBIRD ACQUIRES $750 MILLION INTEREST IN AMORTIZING
POOL OF AUTO LOANS
Starbird Funding Corp. ("Starbird"), a partially supported,
multiseller ABCP conduit sponsored by BNP Paribas (Aa2/Prime-1/B+),
has acquired $750 million interest in a pool of amortizing retail
automobile loans. This transaction benefits from 6.25%
deal-specific credit enhancement in the form of overcollateralization
and 8% incremental program-level credit enhancement.
This transaction is partially supported by a liquidity facility provided
With this transaction, Starbird has about $8.99 billion
in total purchase commitments and $604.8 million in program-level
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