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14 Jun 2006
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 12, 2006
New York, June 14, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 6, 2006 THROUGH JUNE 12,
BANK OF AMERICA'S AQUIFER FUNDING ADDS $1.1 BILLION Aaa-RATED
Aquifer Funding, LLC ("Aquifer"), a partially supported,
prior-review ABCP conduit administered by Bank of America N.A.
("BANA", rated Aa1/Prime-1), has added a $1.1
billion Aaa-rated CDO note to its portfolio. The CDO transaction
finances a diversified portfolio of RMBS, ABS and CDOs.
Aquifer is supported by a liquidity facility, which covers the principal
amount of maturing ABCP Notes, and by a cost of funds swap,
which covers interest on maturing ABCP Notes. The liquidity facility
and the swap are payable on any date that ABCP matures and are both provided
by Prime-1-rated BANA. Consistent with Aquifer's
investment guidelines, the Aaa-rated CDO note is the super
senior tranche of the CDO, meaning that this tranche is senior to
a subordinate Aaa-rated tranche of the same CDO transaction.
Based on the credit quality of the assets in its portfolio, Aquifer
is not required to have any credit enhancement at this time.
With this transaction, Aquifer has about $3 billion in purchase
commitments and a total authorized amount of $5 billion.
RABOBANK'S AQUINAS AMENDS PROGRAM
Aquinas Funding, LLC ("Aquinas"), a fully supported,
securities arbitrage program sponsored by Rabobank Netherland ("Rabobank",
rated Aaa/Prime-1/A), has amended its surety bond so that
it is consistent with the surety bond currently in Monument Gardens Funding
LLC, Rabobank's other securities arbitrage program.
No other material changes were made to the surety bond that would adversely
affect ABCP investors. In addition, Rabobank has increased
its liquidity facility commitment from $2.475 billion to
$3 billion to match the current program limit of $3 billion.
Rabobank is the sole liquidity provider to Aquinas.
With the increase of the liquidity facility commitment, Aquinas
is now authorized to issue up to $3 billion of ABCP.
WESTLB'S COMPASS ADDS EUR0 250 MILLION EQUIPMENT LOAN AND LEASE
Compass Securitisation Limited and Compass Securitization LLC (together
"Compass"), a partially supported, multiseller
ABCP conduit sponsored and administered by WestLB AG (A1/Prime-1/D-),
has added a Euro 250 million loan and lease receivables facility to its
portfolio. The receivables are originated by a well established
equipment finance company in Germany. The receivables in the facility
are denominated in Euros and located in Germany, and the underlying
obligors are generally German SMEs.
Transaction-specific credit enhancement is provided in the form
of excess spread, with a minimum guaranteed amount of 2.5%,
and a 6% cash account. The 6% cash account is funded
by a combination of cash from the originator and a subordinated loan from
a third party. With this transaction, Compass has increased
its program-level credit enhancement by 7%, which
is provided by Aaa-rated Ambac. This transaction is supported
by a liquidity facility provided by Prime-1-rated WestLB.
The liquidity facility funds for non-defaulted loans and is sized
at 102% of the maximum funded amount financed by Compass.
Compass is currently authorized to issue up to Euro 10 billion in ABCP.
CENTEX'S HARWOOD II INCREASES AUTHORIZED AMOUNT TO $3.14
Harwood Street Funding II LLC ("Harwood II"), a partially supported,
single-seller mortgage warehouse program sponsored by Centex Home
Equity Company LLC, has increased its authorized secured liquidity
notes ("SLNs") amount to $3.14 billion from
$2.94 billion. Centex Home Equity Company LLC is
a wholly owned subsidiary of Centex Corporation (Baa2/Prime-2).
In connection with the maturity and payoff of the $200 million
Prime-1-rated Variable Rate Term Notes Series 2005-1
("Term Notes"), Harwood II has increased the SLN's authorized
amount by $200 million to $3.14 billion. The
Term Notes and the SLNs are supported by Baa2-rated subordinated
notes, which currently total $122.5 million.
The subordinated notes, a scalable 2.25% cash collateral
account (based on outstandings) and excess spread act as credit enhancement
for the Prime-1-rated SLNs in this program.
IKB'S RHINELAND AMENDS PROGRAMME LIQUIDITY STRUCTURE
Rhineland Funding Capital Corp. ("Rhineland"),
a hybrid ABCP conduit sponsored by IKB Deutsche Industriebank AG ("IKB",
rated Aa3/Prime-1/B-), has amended its liquidity structure
for the credit arbitrage component of the programme.
In addition to the existing liquidity loan and liquidity asset purchase
agreements, the new liquidity structure allows for part of the liquidity
commitment to be in the form of put options (the "Put") under
a swap agreement. Similar to a liquidity asset purchase agreement,
the purchasing companies are obligated to sell their assets to the put
option provider upon a liquidity event. This form of liquidity
structure is limited to a maximum amount of USD 4 billion. The
form of liquidity that is provided through the Put is structured similarly
to other liquidity mechanisms currently in place.
Previously, less than 80% of the overall liquidity support
for Rhineland was provided by IKB with the remaining portion provided
by other Prime-1-rated banks. This amendment will
decrease IKB's liquidity support in the credit arbitrage component
of Rhineland to approximately 50%. IKB will continue to
provide over 95% of the liquidity support for the receivable pools.
Rhineland is authorized to issue up to Euro 9 billion of ABCP.
BARCLAYS' STRATFORD ADDS $4 BILLION MORTGAGE WAREHOUSE LENDING
AND $600 MILLION RENTAL CAR TRANSACTION
Stratford Receivables Company LLC ("Stratford"), a partially supported,
extendible note, multiseller ABCP program sponsored by Barclays
Bank PLC (Aa1/Prime-1/A-), has added two Aaa-rated
transactions. The first transaction is a $4 billion securitization
of mortgage warehouse lending receivables. The receivables,
generated by mortgage originators, are collateralized by residential
mortgage loans. The transaction's unrated seller/servicer
has an investment-grade-rated parent. Transaction-specific
credit enhancement is dynamic, which includes a market value component,
and is based on the types of mortgages provided as the underlying collateral.
A nominal liquidity commitment is being provided by Barclays.
Additionally, Stratford has financed a $600 million transaction
backed by rental cars. The underlying collateral is originated
by an unrated subsidiary of an investment-grade-rated company.
The transaction is rated Aaa based upon a financial insurance guaranty
provided by a Aaa-rated monoline insurer. Barclays is providing
liquidity for a percentage of this transaction's commitment amount.
Since both transactions are Aaa-rated, Stratford was not
required to increase its program-level credit enhancement for these
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 now authorized to
issue up to $14 billion of extendible notes and has $42
million in program-level credit enhancement.
MELLON BANK'S THREE RIVERS ADDS $50 MILLION INTEREST IN REVOLVING
Three Rivers Funding Corp. ("Three Rivers"), a partially
supported, multiseller ABCP conduit sponsored by Mellon Bank (Aa3/Prime-1/B),
has added a $50 million interest in a $500 million revolving
loan facility provided to an unrated biotechnology company. The
facility is backed by pledged securities. The transaction is fully
supported by a liquidity facility provided by Mellon Bank.
With this transaction, Three Rivers' program-level credit
enhancement was increased by 8% of its commitment. Three
Rivers has about $1.73 billion in total purchase commitments
and $221 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
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.
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