New York, May 17, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 10, 2005 THROUGH MAY 16,
DZ BANK'S AUTOBAHN ADDS $100 MILLION EQUIPMENT LEASE 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 $100 million interest in a revolving loan facility.
The seller originates and services equipment leases to companies in construction,
transportation, machine tool, printing, and other capital
This transaction is fully supported through a liquidity facility provided
by DZ Bank. Autobahn is currently authorized to issue up to $2.5
billion of ABCP.
CALYON'S ATLANTIC TRANSFERS THREE TRANSACTION FROM LAFAYETTE AND DECREASES
INTEREST IN CO-PURCHASED MORTGAGE WAREHOUSE FACILITY
Atlantic Asset Securitization Corporation ("Atlantic"), a partially
supported, multiseller ABCP program sponsored by Calyon (Aa2/Prime-1/C),
has transferred three transactions from La Fayette Asset Securitization
LLC ("La Fayette") and decreased its interest in an existing mortgage
warehouse facility. La Fayette is Calyon's other partially
supported, multiseller program that is managed in the U.S.
The three transactions transferred from La Fayette are: (i) a $50
million Aaa-rated note of a $250 million issuance from a
trust established for a non-investment-grade rated Brazilian
bank (to be transferred on June 15, 2005), (ii) a $100
million co-purchased trade receivable transaction for a non-investment-grade-rated
global supplier of automotive parts, and (iii) a $50 million
co-purchased trade receivable transaction for an investment-grade-rated
company in the forest products and paper industry.
The $50 million Aaa-rated note benefits from a surety bond
provided by Ambac and is fully supported by liquidity. This Aaa-rated
note also benefits from an additional 2% program-level credit
The two trade receivable transactions are partially supported by liquidity
and benefit from an additional 10% program-level credit
enhancement in addition to their respective transaction-specific
credit enhancement. The $100 million transaction is part
of a $250 million co-purchased trade receivable facility
with BLB's Giro Balanced Funding Corp. and ABN Amro's
Amsterdam Funding Corp. Transaction-specific credit enhancement
is in the form of dynamic reserves, with a 37% floor,
based on eligible receivables. A liquidity facility provided by
Calyon funds for non-defaulted receivables and dilution.
Since the transaction has significant special obligor concentrations,
the liquidity facility also covers the special obligors in excess of their
normal concentration limits. This transaction was added to La Fayette's
portfolio in March 2002. To date, the transaction is sufficiently
enhanced with defaults of approximately 2% supported by total reserves
The $50 million transaction is part of a $200 million co-purchased
trade receivable facility with JPMorgan Chase's Falcon Asset Securitization
Corp. and The Bank of Nova Scotia's Liberty Street Funding
Corp. Transaction-specific credit enhancement is in the
form of dynamic reserves, with a 20% floor, based on
eligible receivables. A liquidity facility provided by Calyon funds
for non-charged-off receivables and dilution. This
transaction was added to La Fayette's portfolio in April 2003.
To date, the transaction is sufficiently enhanced with defaults
of less than 1% supported by total reserves of 22%.
Along with the transfer from La Fayette, Atlantic decreased its
interest in an existing co-purchased mortgage warehouse facility
with Bank of America's Yorktown Capital, LLC ("Yorktown").
The facility size decreased from $400 million to $200 million.
As such, Atlantic's share in the facility reduced from $175
million to $100 million. Yorktown holds the remaining $100
million share in the facility. In addition to the decrease in size,
various amendments were made to the transaction such as eliminating one
of the notification requirements for loan purchases, adjusting one
of the issuance conditions to accommodate a smaller facility size,
and amending the eligibility criteria to comply with current regulations
and guidelines. This transaction continues to be partially supported
by a liquidity facility provided by Calyon.
With the addition of the transferred transactions from La Fayette and
the reduction in facility size, Atlantic's has $5.4
billion in total purchase commitments and $521 million in program-level
DRESDNER'S BRAHMS ADDS FOURTH SECURITIES PURCHASE FACILITY
Brahms Funding Corp. ("Brahms"), a partially
supported, multiseller SLN program sponsored by Dresdner Bank AG
(A1/Prime-1/C-), has added its fourth securities purchase
facility. The facility permits the purchase of up to $2
billion of securities. The transaction is fully supported by a
total rate of return swap provided by Royal Bank of Scotland plc ("RBS",
rated Aa1/Prime-1/A-). The swap will fund the face
amount of SLNs at their final maturity date.
Brahms has no program-level credit enhancement and all but one
transaction is fully supported by total rate of return swaps. With
this transaction, Brahms' is authorized to issue up to $11.75
billion of SLNs and has an authorized program limit of $15 billion.
LBBW'S LAKE CONSTANCE ADDS EURO 300 MILLION AUTO LOAN TRANSACTION
Lake Constance Funding Limited and Lake Constance LLC (together,
"Lake Constance"), a partially supported, hybrid conduit sponsored
by Landesbank Baden-Wurttemberg, London Branch ("LBBW",
rated Aaa/Prime-1/B-), has added a Euro 300 million
auto loan transaction to its portfolio. The auto loans are originated
by an unrated bank based in Germany.
In this transaction, Lake Constance makes advances under a funding
agreement to an asset purchasing company, Weinberg Funding,
which finances the receivables (on a true sale basis) generated from the
auto loan contracts. Transaction-specific credit enhancement
is in the form of a reserve account with a minimum required reserve of
5.5%. This transaction also benefits from various
cease issuance trigger events. A liquidity facility provided by
LBBW partially supports this transaction.
With this, Lake Constance is now authorised to issue approximately
$6.9 billion of ABCP.
HSBC'S REGENCY MARKETS ACQUIRES $200 MILLION INTEREST IN EXISTING
AUTO LOAN FACILITY
Regency Markets No.1 LLC ("Regency Markets"), a partially
supported, multiseller conduit sponsored by HSBC Bank plc (Aa2/Prime-1/B+),
has acquired a $200 million interest in an existing auto loan facility.
This transaction is currently financed in HSBC's US conduit,
Bryant Park Funding LLC, with a $500 million commitment.
The transaction is part of $2.5 billion revolving co-purchase
facility with six other ABCP conduits: Calyon's Atlantic Asset Securitization
Corp. and La Fayette Asset Securitization LLC, Societe General's
Barton Capital LLC, HSBC's Bryant Park Funding LLC, BNP's
Starbird Funding Corp., and Fortis' Scaldis Capital Limited.
In this transaction, Regency Markets makes advances under a funding
agreement to an asset purchasing company, Regency Assets Limited,
which finances the facility on a revolving basis. The underlying
receivables consist of prime auto loans originated by an investment-grade-rated
finance subsidiary of a U.S. auto manufacturer. The
auto loans are made against new vehicles only, and 100% of
the receivables are subvened loans. Transaction-specific
credit enhancement is in the form of subordination equal to 1.25%
of the facility balance and a cash reserve sized at 1.5%
of the facility balance. The subvened loans are covered by the
sale of the receivables at a discount of 7.25%. Additionally,
the transaction benefits from a swap that mitigates the potential interest
rate risk resulting from the fixed-rate loans and floating-rate
ABCP. The swap is provided by Prime-1-rated HSBC.
This transaction is partially supported by a liquidity facility provided
by HSBC that is sized at 102% of the purchase commitment (or $204
With this transaction, Regency Markets' program-level
credit enhancement was increased by 5% of its purchase commitment.
Regency Markets has a total authorised amount of approximately $4.69
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
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 16, 2005
Structured Finance Group
Moody's Investors Service