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Announcement:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 22, 2006

24 May 2006
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 potentially adjusted.

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 WAREHOUSE PROGRAM

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 loans.

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, 2006:

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 portfolios.

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 MILLION

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

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

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​
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