MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 4, 2005
New York, July 06, 2005 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 28, 2005 THROUGH JULY 4,
CALYON'S ATLANTIC ADDS $200 MILLION Aaa-RATED NOTE
BACKED BY ELECTRONIC PAYMENTS
Atlantic Asset Securitization Corp. ("Atlantic"), a partially
supported, multiseller ABCP program sponsored by Calyon (Aa2/Prime-1/C),
has added a $200 million Aaa-rated note to its portfolio.
The Aaa-rated note is issued from a trust established for a non-investment
grade rated Brazilian bank. The note is backed by electronic payment
orders received by the bank and benefits from a surety bond provided by
Aaa-rated Ambac Assurance Corporation. This transaction
is supported by a liquidity facility that funds for maturing ABCP so long
as Ambac is not bankrupt. The Aaa-rated note also benefits
from an additional 2% program-level credit enhancement.
With this transaction, Atlantic currently has about $7.7
billion in purchase commitments and $670 million in program-level
HSBC'S BRYANT PARK ADDS $90.75 MILLION Aa2-RATED
REVOLVING CREDIT FACILITY
Bryant Park Funding LLC ("Bryant Park"), a partially supported,
multiseller ABCP conduit sponsored by HSBC Securities (USA) Inc.,
has added a $90.75 million interest in an existing senior
revolving credit facility. HSBC Securities (USA) Inc. is
an unrated subsidiary of HSBC Bank plc ("HSBC", rated Aa2/Prime-1/B+).
The facility is part of a $415 million market value CDO and is
ranked pari passu to the most senior tranche of the CDO, which is
also rated Aa2. This transaction is supported by a liquidity facility
that funds for maturing ABCP as long as the revolving facility is not
rated below Caa2. Bryant Park's program-level credit
enhancement will not be increased for this transaction due to the high
credit quality of the note.
With the addition of this transaction, Bryant Park has about $5.1
billion in total purchase commitments.
IXIS' EIFFEL FUNDING ADDS TWO Aaa-RATED VFNs TOTALING $198
Eiffel Funding LLC ("Eiffel"), a partially supported,
multiseller ABCP conduit sponsored and administered by IXIS Financial
Products ("IXIS", rated Aaa/Prime-1), has
added two Aaa-rated variable funding notes ("VFNs")
totaling $198 million to its portfolio. Both VFNs are issued
from the same trust. One note is backed by equipment loans,
while the other is backed by trade receivables. The equipment loans
and trade receivables in the trust are originated by a non-investment-grade-rated
manufacturer of commercial laundry equipment.
The Aaa rating on the VFNs is based on the support of a surety bond provided
by Ambac Assurance Corporation. This transaction is supported by
a liquidity facility that funds for maturing ABCP as long as Ambac has
not defaulted on its obligation in this transaction or on any other Aaa-rated
bonds. If Ambac defaults on its obligations, the liquidity
facility will fund for non-defaulted assets. With this transaction,
Eiffel's program-level credit enhancement was increased by 5%
of outstanding ABCP.
Eiffel has approximately $6.7 billion in total purchase
commitments and has program-level credit enhancement that is equal
to the lesser of: (i) 10% of outstanding for assets that
are not highly-rated or (ii) 5% of outstandings.
The program-level credit enhancement is in the form of a credit
asset purchase agreement and is provided by Prime-1-rated
PNC BANK'S MARKET STREET ACQUIRES $63.525 MILLION
INTEREST IN Aa2-RATED SENIOR REVOLVING CREDIT FACILITY
Market Street Funding Corp. ("Market Street"), a partially
supported, multiseller ABCP conduit sponsored by PNC Bank (A1/Prime-1/B-),
has acquired a $63.525 million interest a Aa2-rated
$250 million senior revolving credit facility. The credit
facility is backed by an investment portfolio comprised of high-yield
debt, bank loans, mezzanine investments and equity securities.
A liquidity facility provided by PNC Bank will fund for maturing ABCP
so long as the credit facility is rated at least Caa2.
With this transaction, Market Street has about $3.32
billion in total purchase commitments and $332.5 million
in program-level credit enhancement.
CAPITEX GROUP'S RAMS FUNDING LLC AND SECURITISED TERM ASSETS CORPORATION
LIMITED INCREASE PROGRAM LIMIT
Rams Funding LLC ("RFL") and Securitised Term Assets Corporation Limited
("STAC"), has increased its authorized issuance amount of secured
liquidity notes ("SLNs") from $1 billion to $2.5
billion. RFL and STAC (together, "RFL/STAC") are joint and
several issuers of a partially supported, single-seller program
sponsored by Capitex Group Limited. RFL/STAC is the first Australian
extendible ABCP program rated by Moody's.
The SLNs issued by RFL/STAC are short-term debt with an original
maturity of up to 90 days, but may be extended for an additional
180 days under certain conditions. RFL/STAC will fund the purchase
of short-term securities ("RMS Notes") issued by RAMS Mortgage
Securities Pty Limited from the proceeds of the SLNs on a revolving basis.
The RMS Notes are backed by a revolving pool of Australian prime residential
For further details, please see Moody's press release dated June
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS AFFIRMED BY MOODY'S AT PRIME-2
DURING THE PERIOD JUNE 28, 2005 THROUGH JULY 4, 2005:
ABN AMRO'S GRAND II ADDS LOAN FACILITY TO FINANCE EURO 150 MILLION NOTE
Grand Funding Corp. II ("Grand II"), a partially
supported, multiseller ABCP conduit sponsored and administered by
ABN Amro N.V. (Aa3/Prime-1/B), has added a
U.S. dollar-denominated loan facility to fund a Euro
150 million A2-rated Class C Note. The Class C Note is a
subordinated note issued out of a Euro 4.23 billion CLO transaction.
Grand II has issued U.S. dollar-denominated loan
notes to a bankruptcy-remote special purpose vehicle ("SPV"),
the proceeds of which are used by the SPV to purchase the Class C Note.
The principal amount of the loan notes equals the U.S. dollar
equivalent of the Euro 150 million Class C Notes purchased by the SPV.
A liquidity facility provided by Prime-1-rated ABN Amro
partially supports the loan notes issued by Grand II to the SPV.
Additionally, a total return swap covers the SPV's principal and
interest obligations on the loan notes as well as its operating expenses
and foreign exchange risk. The total return swap is between the
SPV and ABN Amro. Transaction-specific credit enhancement
for the Class C Note is in the form of subordinated notes sized at 1.7%
of the CLO transaction.
Prior to this transaction, Grand II's portfolio consisted of one
investment, a Euro 262.5 million A1-rated subordinate
note issued out of a CLO transaction. With the addition of this
new transaction, Grand II is authorized to issue up to $550
million of ABCP.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
JUNE 28, 2005 THROUGH JULY 4, 2005:
CXC, LLC COMMERCIAL PAPER RATING WITHDRAWN
At the request of Citicorp North America, Inc., Moody's
has withdrawn the Prime-1 rating of CXC, LLC. All
commercial paper has been repaid as of June 29, 2005.
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