MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 3, 2006
New York, July 06, 2006 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
JUNE 27, 2006 THROUGH JULY 3, 2006:
MOODY'S ASSIGNS PRIME-1 RATING TO MERRILL LYNCH'S ZANE FUNDING
LLC ABCP PROGRAM
Moody's has assigned a Prime-1 rating to the notes issued by Zane
Funding, LLC ("Zane"). Zane is a newly established,
partially supported, multiseller ABCP program sponsored by Merrill
Lynch & Co., Inc. (Aa3/Prime-1) and administered
by Merrill Lynch Bank USA ("MLBUSA", rated Aa3/Prime-1/B-),
a subsidiary of Merrill Lynch & Co., Inc. Zane
is a bankruptcy-remote limited liability company organized under
the laws of Delaware whose sole member is GSS Holding.
Zane has the ability to issue several types of notes, including
traditional ABCP, extendible notes and callable notes. Additionally,
the notes can be issued at a discount or be interest-bearing.
If interest bearing notes are issued, then any interest not covered
through liquidity will be covered through hedge agreements with Prime-1-rated
counterparties. Zane's ABCP will have a tenor limitation
of 270 days. Its extendible and callable notes will have an expected
maturity date of up to 90 days from issuance with a legal final maturity
date of up to 270 days from issuance.
The portfolio mix is expected to consist primarily of residential real
estate, as well as consumer and commercial finance assets.
Zane can purchase non-dollar denominated assets as well as fixed
and floating rate assets. Any currency or interest rate risk will
be covered through hedge agreements with Prime-1-rated counterparties.
Zane is a prior review conduit. Therefore, Moody's will be
reviewing each asset pool prior to it being added to the portfolio.
Moody's Prime-1 rating assigned to Zane's notes is
based on, among other factors, the following: (i) the
liquidity support provided by Prime-1-rated MLBUSA;
(ii) the program-level credit enhancement in the form of a letter
of credit provided by Prime-1-rated MLBUSA; (iii) MLBUSA's
role as the program administrator and hedging agent, including its
strong indemnifications, and Deutsche Bank Trust Company of America's
role as the sub-administrator; and (iv) the structural protections
to ensure the bankruptcy-remoteness of Zane Funding, LLC.
For further details, please see Moody's press release dated June
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 27, 2006 THROUGH JULY 3,
ABN AMRO'S AMSTERDAM PURCHASES $300 MILLION SHARE OF CO-PURCHASE
EQUIPMENT LEASE FACILITY; EXISTING CO-PURCHASE FACILITY AMENDED
Amsterdam Funding Corp. ("Amsterdam"), a partially supported,
multiseller ABCP conduit sponsored by ABN AMRO Bank (Aa3/Prime-1/B),
has purchased a $300 million interest in a co-purchase equipment
lease facility. The equipment lease and loan receivables in the
facility are originated by a non-investment-grade-rated
manufacturer and distributor of agricultural and construction equipment.
This transaction is part of a $1.2 billion co-purchased
facility along with Credit Suisse's Alpine, BNP's Starbird
and Rabobank's Nieuw Amsterdam.
This transaction benefits from 5% credit enhancement in the form
of overcollateralization, a spread account and a discount applied
to receivables purchases. The facility was also amended to allow
for the addition of consumer loans in the facility. In addition,
Amsterdam is replacing JPMorgan as the agent of the transaction and taking
over its commitment.
With this transaction, Amsterdam's program-level credit
enhancement was increased by 10% of the commitment. Amsterdam
has $11.3 billion in total purchase commitments with $8.5
billion in outstanding and $1.1 billion in program-wide
DZ BANK'S AUTOBAHN ADDS $200 MILLION REVOLVING LOAN FACILITY
Autobahn Funding Company LLC ("Autobahn"), a partially supported,
multiseller conduit administered by DZ Bank Deutsche Zentral-Genossenschaftsbank
Frankfurt AM MAIN ("DZ Bank", rated A2/Prime-1/C-),
has added a $200 million revolving loan facility to a real estate
investment trust ("REIT"). The facility, which
is governed by a master repurchase agreement, provides interim financing
to the REIT for the first-lien residential mortgages in its portfolio
that meet certain eligibility requirements.
This transaction is fully supported through a liquidity facility provided
by DZ Bank. Autobahn is currently authorized to issue up to $2.04
billion of ABCP.
NBP'S ELIXIR ADDS EURO 70 MILLION OF FCC UNITS BACKED BY TRADE RECEIVABLES
Elixir Funding Limited ("Elixir") has added Euro 70 million
of FCC notes (French ABS) to its portfolio. Elixir is a partially
supported, multiseller ABCP programme sponsored by Natexis Banques
Populaires ("NBP", rated Aa3/Prime-1/C) and administered
by Deutsche Bank AG (Aa3/Prime-1/B). Elixir uses the proceeds
of its Billets de Tresorerie (French ABCP) to fund the purchase
of Euro 70 million of FCC notes backed by a portfolio of trade receivables
originated by a French company operating in the building industry.
A liquidity facility provided by Natexis Banques Populaires fully supports
With this transaction, Elixir owns six asset pools backed by trade
receivables. Elixir is authorized to issue up to Euro 1.14
billion of Billets de Tresorerie and has Euro 20 million in programme-level
COMMERZBANK'S KAISERPLATZ FUNDING ADDS EURO 4.1 BILLION Aaa-RATED
Kaiserplatz Funding Funding Limited ("Kaiserplatz Funding"),
a partially supported, multiseller ABCP conduit sponsored by Commerzbank
AG (A2/Prime-1/C+), has added a Euro 4.1 billion
Aaa-rated security to its portfolio.
The Aaa-rated security references the Class A+ notes issued
by CoCo Finance 2006-1 PLC ("CoCo"). The Class
A+ notes are the super senior tranche of CoCo. This transaction
is structured to provide credit protection for Commerzbank in respect
of the Class A+ tranche. CoCo is a fully-funded synthetic
transaction, arranged by Commerzbank AG London, in which investors
are exposed to the credit risk related to a portfolio of reference claims
granted to corporate entities, including financial institutions.
The ABCP structure does not benefit from the usual migration trigger in
the liquidity facility that protects investors from a negative rating's
slide. If the rating of the Class A+ note falls below a rating
level that is no longer consistent with the Prime-1 rating of the
conduit, without any immediate action taken on behalf of the conduit
administrator, the rating of Kaiserplatz Funding's ABCP would
be downgraded. This transaction is supported by a liquidity facility
provided by Commerzbank, which is available to be drawn if a market
disruption occurs and Kaiserplatz Funding is unable to issue commercial
paper in the ABCP market.
With this transaction, Kaiserplatz Funding is authorized to issue
approximately Euro 6 billion of ABCP.
ROYAL BANK OF CANADA'S WHITE POINT AND THUNDER BAY PURCHASE INTEREST
IN Aaa-RATED CLASS A-2 NOTE; WHITE POINT ACQUIRES INTEREST
IN TWO Aaa-RATED SENIOR NOTES
White Point Funding Inc. ("White Point") and Thunder
Bay Funding LLC ("Thunder Bay"), both partially supported,
multiseller conduits sponsored by Royal Bank of Canada ("RBC,"
Aa2/Prime-1/B+), have purchased interests in a Aaa-rated
Class A-2 CLO note. The underlying assets are primarily
U.S. dollar-denominated senior loans, non-senior
secured loans, high yield bonds, and second lien loans.
White Point has a $60 million interest in the note, while
Thunder Bay has acquired a $40 million interest.
White Point has also purchased a $37.5 million interest
in a Aaa-rated Class A-1 CLO note. The underlying
assets consist primarily of U.S. senior secured leveraged
loans along with a small allocation to high yield bonds. This transaction
benefits from 22.5% transaction-specific credit enhancement
in the form of subordination and excess spread.
In addition, White Point has acquired a $60 million interest
in a Aaa-rated Class A CLO note. The underlying assets consist
of senior secured broadly syndicated and middle market loans along with
second lien loans and high yield bonds/mezzanine.
With these transactions, the program-level credit enhancement
was increased by 10% of each commitment. The program-level
credit enhancement for White Point will remain at the floor of $100
Thunder Bay has $7.7 billion in total purchase commitments,
with $5.6 billion in outstandings and $826 million
in program-level credit enhancement. White Point has $500
million in total purchase commitments with $500 million in outstandings.
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