MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 22, 2006
New York, May 24, 2006 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAMS PRIME-1 DURING THE PERIOD
MAY 16, 2006 THROUGH MAY 22, 2006:
MOODY'S ASSIGNS PRIME-1.ZA TO SERIES 4 ABCP ISSUED BY GRAYSTON
CONDUIT 1 (PROPRIETARY) LIMITED
In London, Moody's has assigned a short-term national scale
rating of Prime-1.za to the ABCP to be issued by Grayston
Conduit 1 (Proprietary) Limited ("Grayston"), under a new series
("Series 4 ABCP"). Grayston is a partially supported, serialised,
multiseller ABCP programme sponsored by Investec Bank Limited (Aa3.za/Prime-1.za).
The Series 4 ABCP will refinance the purchase of receivables up to a maximum
of ZAR 2.0 billion. Grayston was established in September
2003 and currently has two series with total ABCP outstanding of approximately
ZAR 2.26 billion.
Grayston's new Series 4 ABCP will finance installment sale receivables
in relation to new and used vehicles in South Africa on a revolving basis.
The installment sale receivables are originated by Investec Bank's private
banking arm. Investec Bank will act as servicer under this transaction
and as the liquidity agent and account bank. The credit quality
of the portfolio is protected by tight eligibility criteria and trigger
events that will, if breached, act to prevent further purchases
of receivables until credit enhancement levels have been reviewed and
The credit enhancement for Grayston's Series 4 ABCP is provided through
a combination of a put option, excess spread fixed through an interest
rate swap, and a cash reserve that will be funded to cover non-performing
loans. The transaction benefits from minimum credit enhancement
levels, as well as default and delinquency triggers that cause an
amortisation of the relevant portfolio if breached. The Series
4 ABCP is supported by a liquidity facility, provided by ABSA Bank
Limited (Aaa.za/Prime-1.za), which is available
during market disruptions and to cover timing mismatch risks.
For further details, please see Moody's press release dated May
15, 2006. The New Issue Report for Grayston Conduit 1 (Proprietary)
Limited - Series 4 is available on Moody's website, http://www.moodys.com.
MOODY'S ASSIGNS PRIME-1 RATING TO INDYMAC BANK, F.S.B'S
NORTH LAKE CAPITAL FUNDING PROGRAM, A SINGLE-SELLER MORTGAGE
Moody's has assigned a Prime-1 rating to extendible ABCP,
in the form of secured liquidity notes ("SLNs") or callable notes ("CNs"),
issued by IndyMac Bank, F.S.B. ("IndyMac").
The SLNs and CNs issued by IndyMac are short-term debt with an
expected maturity of up to 180 days, but can be extended for an
additional 60 days under certain conditions. The final maturity
of the short-term debt can be up to 240 days from the issuance
date. After extension, the notes will become Extended Notes
or Non-Called Notes and bear an interest rate of LIBOR + 25bps.
IndyMac may also issue Term Notes ("TNs") at some point in the future.
IndyMac can issue up to $2.5 billion of SLNs and CNs.
This short-term debt program is a single-seller residential
mortgage warehouse facility. IndyMac will fund the purchase of
eligible mortgage loans, including HELOCs, closed-end
second mortgage loans, Alt-A mortgage loans, jumbo
mortgage loans, conforming loans or sub-prime mortgage loans,
from the proceeds of the SLNs, CNs (and, when rated,
TNs) on a revolving basis. From time to time, subject to
certain portfolio limits and requirements, mortgages will be taken
out through securitization or whole loan sales and replaced with new eligible
Moody's Prime-1 rating assigned to IndyMac's SLNs and
CNs is based on, among other factors, the following:
(i) expected performance of the mortgage loans based on Moody's review
of both the eligibility requirements and the historical performance of
mortgage loans; (ii) the credit enhancement in the form of cash reserve
and overcollateralization. The required cash reserve amount equal
to 0.20%, and the overcollateralization amount is
determined by the collateral mix and the corresponding credit enhancement
requirement for the collateral type; (iii) structural protections
to limit investors' risk exposure, including a requirement to cease
issuing notes or to terminate the facility if certain events occur;
(iv) the liquidity support provided primarily by the ability to extend
the SLNs or not to call the CNs, providing 60 days during which
the mortgage loans may be sold, with a Prime-1-rated
bank committed to purchase non-delinquent and non-defaulted
collateral when there are loans unsold at the end of the auction period,
and market value and interest rate swaps provided by Prime-1-rated
banks to cover the market value shortfall and interest rate shortfall
on the collateral; (v) the resources, capability and credit
strength of IndyMac (servicer rating: SQ2) to service the loan portfolio
and perform administrative duties; and (vi) a first priority perfected
security interest in the mortgage loans and other assets for the benefit
of the note holders, which would be enforceable under the provisions
of the FDIA (Federal Deposit Insurance Act ).
For further details, please see Moody's press release dated
May 9, 2006.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 16, 2006 THROUGH MAY 22,
FOUR PRIME-1-RATED ABCP CONDUITS PURCHASE INTEREST IN $1.75
BILLION VFN BACKED BY DEALER FLOORPLAN LOANS
A syndicate of banks has participated in a $1.75 billion
VFN backed by dealer floorplan loans. Each participating conduit
has acquired an interest in the VFN. The note, which is privately
rated by Moody's, benefits from transaction-specific
credit enhancement sized at 9.25% in the form of subordination
and a reserve account. Each conduit acquiring an interest in the
VFN will be required to increase its program-level credit enhancement
by the applicable amount.
The following Prime-1-rated ABCP conduits participated in
the $1.75 billion VFN:
Deutsche Bank's Gemini Securitization Corp. LLC ("Gemini")
has purchased ABCP from its sister conduit, Riverside Funding LLC,
backed by a $500 million share of the VFN. Gemini increased
its program-level credit enhancement by 8% of the purchase
limit for this transaction.
The Royal Bank of Scotland plc's Thames Asset Global Securitization
No. 1, Inc. ("TAGS") has added a $500 million
interest and increased its program-level credit enhancement by
5% of the purchase limit with respect to this transaction.
PNC Bank N.A.'s Market Street Funding LLC has
added a $250 million interest and increased its program-level
credit enhancement by 10% of the purchase limit for the transaction.
Dresdner Bank's Beethoven Funding has added a $500 million
interest through a purchasing SPV, Symphony No. 3,
and increased its program-level credit enhancement by 10%
of the outstandings with respect to this transaction.
The liquidity facility for each participating conduit funds for the lesser
of: (i) the face amount of ABCP used to finance the asset,
and (ii) the yield on ABCP plus the invested amount.
KBCFP'S ATOMIUM AMENDS PROGRAM DOCUMENTS
Atomium Funding Corp. ("Atomium"), a partially
supported, credit arbitrage ABCP programme sponsored by KBC Financial
Products Limited ("KBCFP", unrated), a subsidiary
of KBC Bank NV (Aa3/Prime-1/B), has made some amendments
to its programme documents to reflect the following: (i) the liquidity
facility was amended to reduce the loan commitment to 15% of outstanding
face amount of ABCP issued; (ii) the administrator must sell any
asset which is downgraded to below Aa3, within 15 days. If
the asset cannot be sold within this time period, the liquidity
asset purchase agreement will be available to cover its full par value
plus interest; (iii) the programme's Investment Policy was
modified to reduce the total programme concentration limit for Aaa-Aa3
issuers/guarantors/insurers to 7.5% or less of the total
portfolio; and (iv) in relation to assets benefiting from a secondary
monoline surety policy, Moody's will rely on the rating of
the underlying asset which must achieve a Aa3 threshold and provided the
concentration limits for the issuer are not breached.
As a result of the amendments, Moody's has affirmed its Prime-1
rating of Atomium's ABCP based on the following factors: (i)
a liquidity facility (provided by KBC Bank NV) that continues to be sized
at 100% of outstanding face amount of ABCP; (ii) any asset
rating which falls below Aa3 must be sold within 15 days by the administrator,
otherwise the liquidity asset purchase agreement facility will be drawn
for its par value plus interest; and (iii) the reductions in the
overall concentration limit for Aaa-Aa3 issuers/guarantors/insurers;
this protects investors from the risks associated with highly concentrated
Atomium's maximum programme amount is currently sized at USD 5 billion.
PARAMAX'S CATAPULT-PMX ADDS $1 BILLION REVERSE REPO FACILITY
Catapult-PmX Funding LLC ("Catapult"), a fully-supported,
multiseller ABCP conduit sponsored by Paramax Capital Markets, LLC
(unrated) and administered by LaSalle Bank National Association (Aa3/Prime-1/B-),
has added a $1 billion facility which permits Catapult to enter
into reverse repurchase agreements ("reverse repos").
The obligations of the repo counterparty under the reverse repos are guaranteed
by the repo counterparty's Prime-1-rated parent.
The repurchase price under each reverse repo equals the face amount of
ABCP issued by Catapult plus its funding costs and is due by no later
than the maturity date of the ABCP issued to fund the reverse repo.
Catapult has no program-level credit enhancement; however,
all transactions must be fully supported by a form of liquidity facility
or transaction-specific credit enhancement. With this transaction,
Catapult may issue up to $1.86 billion of ABCP.
BANK OF NOVA SCOTIA'S LIBERTY STREET AND PNC BANK'S MARKET STREET
ACQUIRE $173.53 MILLION INTEREST IN EXISTING NOTE
Liberty Street Funding Corp. ("Liberty Street") and
Market Street Funding LLC ("Market Street") have acquired
an interest in an existing $900 million co-purchase note.
Liberty Street, a partially supported, multiseller conduit
sponsored by Bank of Nova Scotia ("Soctiabank", rated
Aa3/Prime-1/B), has added a $100 million interest.
Market Street, a partially supported, multiseller conduit
sponsored by PNC Bank, NA (A1/Prime-1/B-), has
added a $73.53 million share in the transaction.
The note is backed by future cashflows from television networks for the
rights to air certain sports programs. This transaction is fully
supported in both Liberty Street and Market Street. The $900
million co-purchase note is financed in three other conduits:
Banc of America's Kitty Hawk Funding Corp., and JPMorgan
Chase Bank's Park Avenue Receivables Company, LLC and Falcon
Asset Securitization Corp.
Since the transaction is fully supported by liquidity, Liberty Street
is not required to increase its program-level credit enhancement.
Liberty Street is authorized to issue up to $9.92 billion
of ABCP and has $924 million in program-level credit enhancement.
With this transaction, Market Street increased its program-level
credit enhancement by 10% of its purchase commitment. Market
Street has an aggregate purchase limit of $4.64 billion
and $444 million in program-level credit enhancement.
BARCLAYS' STRATFORD ADDS DEALER FLOORPLAN TRANSACTION FOR $912
Stratford Receivables Company LLC ("Stratford"), a partially supported,
extendible note, multiseller ABCP program sponsored by Barclays
Bank PLC (Aa1/Prime-1/A-), has added a Aaa-rated
dealer floorplan transaction. The transaction has bank-provided
liquidity in the amount of 5% of the commitment. The liquidity
facility is 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 U.S. market. Stratford is authorized to issue
up to $8.4 billion of extendible notes and has $42
million in program-level credit enhancement.
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