MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 8, 2006
New York, May 09, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 02, 2006 THROUGH MAY 08,
ABN AMRO'S AMSTEL ADDS EURO 2 BILLION TRANSACTION
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 purchased up to Euro 2 billion of notes.
In this transaction, Amstel has purchased a Aaa-rated Class
A2 tranche of a synthetic CLO of Dutch SMEs. Amstel had previously
purchased the Class A1 tranche. Transaction-specific liquidity
is provided by Prime-1-rated ABN Amro. The transaction
also benefits from structural protections in that the liquidity facility
will purchase the note if the rating of the note falls below Aa3.
With this transaction, Amstel is authorized to issue up to Euro
30 billion of ABCP.
DRESDNER'S BEETHOVEN ACQUIRES $257.5 MILLION LOAN FACILITY
Beethoven Funding Corp. ("Beethoven"), a partially supported,
multiseller ABCP conduit sponsored and administered by Dresdner Bank AG
(A1/Prime-1/C-), has added a $257.5
million loan facility to its portfolio.
The loan facility was acquired by Symphony No. 3, LLC,
a special purpose vehicle created by Dresdner to purchase certain assets.
The assets purchased by Symphony No. 3 are funded by a loan provided
by Beethoven, who issues ABCP to finance its loan commitment.
The loan facility is backed by TV and film receivables generated by an
unrated film company. This transaction is fully supported by liquidity.
With this transaction, Beethoven's program-level credit enhancement
was increased by 10% of outstanding ABCP. Beethoven is now
authorized to issue up to $11.5 billion of ABCP.
NORDLB'S HANNOVER INCREASES INTEREST IN SYNTHETIC LEASE TRANSACTION
Hannover Funding Company LLC ("Hannover"), a hybrid ABCP conduit
sponsored by Norddeutsche Landesbank GZ ("NordLB", rated Aa3/Prime-1/C-),
has increased its interest from $200 million to $237.3
million in an existing $823.65 million synthetic lease transaction.
The transaction finances office buildings occupied by a non-investment-grade-rated
company. The liquidity facility provided by NordLB fully supports
Hannover has about $2.61 billion in total purchase commitments
and $125 million in program-level credit enhancement.
KKR FINANCIAL CORP.'S KKR PACIFIC FUNDING AMENDS PROGRAM ELIGIBILITY
KKR Pacific Funding Trust ("KKR PF"), a partially supported,
single-seller extendible ABCP program sponsored by KKR Financial
Corp. ("KKR", unrated), has amended its
program documents to include new eligibility criteria and definitions
for the inclusion of additional assets.
KKR PF issues extendible ABCP and uses the proceeds to invest in repurchase
agreements collateralized by Agency-backed and Aaa-rated
private-label adjustable rate mortgage securities ("ARMS").
As a result of this amendment, KKR PF has the ability to add one-month
LIBOR floating-rate securities.
KKR PF is authorized to issue up to $5 billion and has $3.03
billion of SLNs outstanding as of April 17, 2006.
FORTIS BANK'S SCALDIS ADDS USD 100 MILLION BOND PURCHASE
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 USD 100 million bond
purchase transaction to its portfolio.
This transaction relates to the purchase, by Scaldis, of an
Aaa-rated note that is secured by container leases. If the
notes are downgraded below A1, Scaldis will not be able to purchase
or issue ABCP for the purpose of financing the note. The transaction
is supported by a liquidity facility that is available to repay maturing
CP provided that the note is rated Caa1 or above. The total commitment
by the Prime-1 rated liquidity banks is sized at 102% of
the face amount of ABCP.
With this transaction, Scaldis' programme-level credit
enhancement was increased by 5% of its commitment. Scaldis
is authorized to issue up to Euro 21.4 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS PURCHASES THREE VFNS TOTALING $75.96
Thames Asset Global Securitization No.1, Inc. ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc (Aa1/Prime-1/A-), has purchased
three Class A VFNs totaling $75.96 million. This
transaction is part of a $1.5 billion co-purchased
auto facility established for a U.S. auto company.
Two of the VFNs benefit from a financial guarantee insurance policy provided
by Ambac Assurance Corp. (Aaa), while the third benefits
from a policy provided by MBIA Insurance Corp. (Aaa). This
transaction is supported through liquidity facilities that funds for the
principal and interest of the VFN as long as a monoline default does not
occur. A monoline default occurs if the respective monoline insurer
is bankrupt or defaults on its payment obligation under the VFN.
In addition, this transaction benefits from an ABCP tenor limitation
and an ABCP cease issuance upon the occurrence of various trigger events.
TAGS' program-level credit enhancement was increased by 5%
of outstanding ABCP issued with respect to this transaction. TAGS
is now authorized to issue up to $16.47 billion of ABCP.
SUNTRUST'S THREE PILLARS ADDS TWO TRANSACTIONS TOTALING $300
MILLION AND REMOVES FULL SUPPORT FROM EXISTING TRANSACTION
Three Pillars Funding Company LLC ("Three Pillars"), a partially
supported, multiseller ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+),
has added two transactions totaling $300 million.
The first transaction is a $200 million interest in a $1.2
billion facility that finances loans backed by real estate or by financial
assets of obligors that are collateralized by real estate liens.
The transaction benefits from 10% incremental program-level
credit enhancement and is fully supported by liquidity provided by SunTrust.
The second transaction is a $100 million facility that finances
equipment lease receivables either originated or acquired by an unrated
finance company. This transaction benefits from a minimum of 13%
transaction-specific credit enhancement in the form of overcollateralization,
which adjusts dynamically depending upon asset performance. It
also benefits from 10% incremental program-level credit
enhancement. This transaction is partially supported by a liquidity
facility provided by SunTrust.
Additionally, Three Pillars has removed full support from a $120
million interest in an existing $145 million revolving loan facility
backed by the proceeds of structured settlements. This transaction
benefits from a minimum of 10% transaction-specific credit
enhancement in the form of overcollateralization, which adjusts
dynamically depending upon asset performance. It also benefits
from 10% incremental program-level credit enhancement.
$120 million of the facility is now partially supported by a liquidity
facility provided by SunTrust. The remaining $25 million
of the facility continues to be fully supported by a liquidity facility
provided by Landesbank Hessen-Thüringen (Aa2/Prime-1/C).
Three Pillars has about $8.16 billion in total purchase
commitments and $710.9 million in program-level credit
ROYAL BANK OF CANADA'S THUNDER BAY REMOVES FULL SUPPORT FROM $62.5
MILLION INTEREST IN COLLATERAL NOTE
Thunder Bay Funding, LLC ("Thunder Bay"), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada (Aa2/Prime-1/B+),
has removed full support from its investment in a $62.5
million collateral interest note issued out of a credit card master trust.
This transaction is part of a $450 million transaction comprised
of four classes of notes issued to replace a similar series of maturing
The collateral interest note benefits from a 3.5% cash collateral
account. As an additional protection to ABCP investors, the
liquidity facility will purchase the transaction in the event that a three
month average excess spread trigger is breached.
With this transaction, Thunder Bay's program-level
credit enhancement will be increased by 10% of the commitment.
Thunder Bay has $7.3 billion in purchase commitments,
with $5 billion of outstanding ABCP and $780 million in
program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
MAY 02, 2006 THROUGH MAY 08, 2006:
GIRO MULTI-FUNDING CORP. RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Giro Multi-Funding Corp., a partially supported,
multiseller ABCP program administered by Bayerische Landesbank (Aa2/Prime-1/D+).
As of March 20, 2006, all ABCP outstanding had been repaid
in full. There will be no further issuance of ABCP 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