MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 15, 2006
New York, May 17, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 09, 2006 THROUGH MAY 15,
2006:
JPMORGAN'S CHARIOT AND JUPITER, AND ROYAL BANK OF SCOTLAND'S
TAGS FINANCE GBP 1.1 BILLION AUTO LOAN TRANSACTION
Chariot Funding LLC ("Chariot"), Jupiter Securitization
Corp. ("Jupiter") and Thames Asset Global Securitisation No.1,
Inc. ("TAGS") have co-purchased a GBP 1.1
billion portfolio of auto loans originated in the United Kingdom,
including Northern Ireland. Chariot and Jupiter are partially supported,
multiseller ABCP programs sponsored by JPMorgan Chase Bank, N.A.
("JPM", rated Aa2/Prime-1/B+). Chariot
has a GBP 240 million interest in the transaction, while Jupiter
has a GBP 309 million interest. With this transaction, both
programmes have increased their programme-level credit enhancement
by 5% and 10%, respectively, of outstanding
ABCP issued with respect to the transaction.
TAGS, a partially supported, multiseller programme sponsored
by The Royal Bank of Scotland plc (Aa1/Prime-1/A-),
has financed a GBP550 million interest in the transaction.
With this transaction, TAGS increased its programme-level
credit enhancement by 5% of outstanding ABCP issued with respect
to this transaction.
The 1.1 billion auto loan facility benefits from transaction-specific
credit enhancement in the form of a reserve fund which represents 10.5%
of the discounted receivables balance on the initial issue date.
In addition, the transaction has various structural protections
to ensure that investors are protected upon deterioration in the performance
of the facility. For Chariot and Jupiter, the transaction
is partially supported by a liquidity facility provided by JPM.
For TAGS, the liquidity facility is provided by RBS.
With this transaction Chariot is authorized to issue up to USD 7 billion
of ABCP, while Jupiter is authorized to issue up to USD 15 billion
of ABCP. TAGS is authorized to issue up to USD 17 billion of ABCP.
RABOBANK'S ERASMUS ADDS EURO 300 MILLION CONSUMER LOAN TRANSACTION
Erasmus Capital Corp. ("Erasmus"), a partially supported,
multiseller conduit sponsored by Rabobank Nederland (Aaa/Prime-1/A),
has added a Euro 300 million consumer loan transaction to its portfolio.
The underlying loans are originated in the Netherlands. This transaction
is supported by a liquidity facility provided by Prime-1-rated
Rabobank.
With this transaction, Erasmus' programme-level credit
enhancement was increased by 7% of its commitment. Erasmus
is authorized to issue approximately Euro 1.4 billion of ABCP.
LBBW'S LAKE CONSTANCE AMENDS INVESTMENT POLICY
Lake Constance Funding Limited and Lake Constance LLC (together,
"Lake Constance"), a partially supported, hybrid conduit sponsored
by Landesbank Baden-Württemberg, London Branch ("LBBW",
rated Aaa/Prime-1/B-), has amended its investment
policy to allow two of its purchasing companies to purchase securities
rated A3. The previous lowest limit was Aa3. The first purchasing
company, Mainau Funding, is partially supported by a liquidity
facility provided by a syndicate of Prime-1-rated banks.
The second purchase company is Gruenerbaum Funding, which is fully
supported through back-to-back swap arrangements.
Lake Constance is currently authorized to issue up to USD 9 billion of
ABCP.
ING'S MONT BLANC ADDS TWO TRANSACTIONS TOTALING USD 450 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 transactions totaling USD 450 million to its portfolio.
The transactions include two purchases of a USD 225 million floating rate
note backed by current and future diversified payment rights originated
by investment-grade-rated Turkish banks. In both
cases, the notes are rated Aaa, which reflects the support
provided by unconditional financial guarantees that ensure the timely
payment of interest and principal on the notes. Both transactions
are partially supported by a liquidity facility provided by ING Bank.
The liquidity facilities fund for the notes as long as the rating of the
notes do not fall below Caa3. In addition, there is a ABCP
cease issuance if the notes are downgraded to below Aa3.
Due to the high credit quality of the notes, Mont Blanc is not required
to increase its programme-level credit enhancement with the addition
of the two transactions. With these transactions, Mont Blanc
has about USD 7.3 billion in purchase commitments.
HSBC'S REGENCY ADDS TWO TRADE RECEIVABLE TRANSACTIONS TOTALING EURO
450 MILLION
Regency Markets No.1 LLC ("Regency"), a partially supported,
multiseller ABCP conduit administered by HSBC Bank plc (Aa2/Prime-1/B+),
has added two trade receivable transactions to its portfolio.
The first transaction is the purchase of Euro 150 million of FCC units
backed by a pool of trade receivables. The underlying pool consists
of receivables originated by a French company operating in the paintings
and coatings industry. Transaction-specific credit enhancement
is in the form of subordination for an amount of 17.5%.
In addition, Regency has added 5% programme-level
credit enhancement in respect of this transaction, which Moody's
has relied upon for the purposes of its analysis and affirmation of Prime-1.
The transaction is partially supported by a liquidity facility provided
by Prime-1-rated HSBC France that is sized at 102%
of the purchase commitment.
The second transaction is the purchase of Euro 300 million of FCC units
backed by a pool of trade receivables. The underlying pool consists
of receivables originated by a French telecom company. This transaction
was originally financed through HSBC's other ABCP conduit,
Bryant Park. The transaction was recently restructured and is now
financed by Regency.
Transaction-specific credit enhancement is provided in the form
of over-collateralisation that is calculated dynamically,
with a floor of 19%. In addition, Regency has added
5% programme-level credit enhancement for this transaction.
The transaction is partially supported by a liquidity facility provided
by Prime-1-rated HSBC France that is sized at 102%
of the purchase commitment.
With this transaction, Regency may issue up to USD 8.05 billion
of ABCP.
DEUTSCHE BANK'S RHEIN-MAIN ADDS EURO 80 MILLION CORPORATE LOAN
TRANSACTION
Rhein-Main Securitisation Limited ("Rhein-Main"),
a partially supported, multiseller ABCP conduit sponsored by Deutsche
Bank AG (Aa3/Prime-1/B-), has financed a Euro 80 million
transaction backed by a portfolio of loans to Small to Medium Enterprises
based in Bulgaria.
The transaction is fully supported by a liquidity facility provided by
Deutsche Bank and benefits from a guarantee provided by European Investment
Fund (Aaa) and Kreditanstalt für Wiederaufbau (Aaa/Prime-1).
With this transaction, Rhein-Main is authorized to issue
up to Euro 6.9 billion of ABCP.
BNP PARIBAS' STARBIRD FUNDING ACQUIRES $175 MILLION INTEREST IN
Aaa-RATED NOTE
Starbird Funding Corporation ("Starbird"), a partially supported,
multiseller ABCP program sponsored by BNP Paribas (Aa2/Prime-1/B+),
has acquired a $175 million interest in a Aaa-rated note.
The note is backed by secured loans made to middle market companies.
A liquidity facility provided by BNP Paribas will fund the face amount
of maturing ABCP so long as the note is not rated Caa1 or lower by Moody's.
With this transaction, Starbird has about $ 9.2 billion
in total purchase commitments and $609 million in program-level
credit enhancement.
ABN AMRO'S TULIP ADDS TWO TRANSACTION TOTALING EURO 274.6 MILLION
Tulip Funding Corp. and Tulip Euro Funding Corp. (together,
"Tulip"), a partially supported, multiseller ABCP programme
sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has added two transactions totaling Euro 210 million to its portfolio.
The first transaction is a Euro 130 million residential mortgage transaction.
The mortgages in the facility are originated in Kazakhstan. The
transaction is funded by Tulip Euro Funding Corp., with a
put to the liquidity facility in the event that the level of defaulted
receivables exceeds a specified threshold.
The second transaction is a Euro 144.6 million mortgage warehouse
transaction. The mortgages in the transaction are originated by
an unrated Italian bank. This transaction is also funded by Tulip
Euro Funding Corp., with a put to the liquidity facility
in the event that the level of defaulted receivables exceeds a specified
threshold.
With these transactions, Tulip's programme-level credit
enhancement was increased by 8% of its purchase commitment for
each transaction. Tulip is authorised to issue up to USD 15 billion
of ABCP through Tulip Funding Corp. and up to Euro 10 billion of
ABCP through Tulip Euro Funding Corp.
ROYAL BANK OF CANADA'S WHITE POINT ADDS $50 MILLION Aaa-RATED
NOTE
White Point Funding Inc. ("White Point"), a partially supported,
multiseller conduit sponsored by Royal Bank of Canada ("RBC", rated
Aa2/Prime-1/B+), has added a $50 million Aaa-rated
Class A note issued from a CDO to its portfolio. The CDO is comprised
of domestic leveraged loans and high yield bonds.
The Class A note benefits from transaction-specific credit enhancement
in the form of subordinated notes totaling 23%. This is
the first transaction funded through White Point Capital ("WPC"),
a bankruptcy-remote feeder special purpose vehicle. The
liquidity facility is sized at 102% of the transaction and is provided
at the WPC level.
With this transaction, White Point's program-level credit
enhancement will remain at its floor of $100 million.
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
Wanda Lee
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653