MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUG 1, 2005
New York, August 03, 2005 --
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JULY 26, 2005 THROUGH AUGUST 1,
IN "CLUB" DEAL, FOUR PRIME-1-RATED ABCP CONDUITS ADD
COMMITMENT IN EURO 380 MILLION TRADE RECEIVABLE FACILITY
JPMorgan Chase Bank N.A. and Barclays Bank PLC acted as
joint structuring agents for a Euro 380 million trade receivable facility
for a German industrial group. The receivables from a number of
jurisdictions, including Germany, the United Kingdom,
Spain and France are sold to an intermediate special purpose company.
The transaction benefits from dynamic transaction-specific credit
enhancement sized to cover losses and dilutions, with a minimum
reserve of 10% of outstanding receivables. In addition,
there are various trigger events that will prevent the conduits from financing
further receivables such as delinquencies of 2% and defaults of
The following Prime-1-rated ABCP conduits participated in
JPMorgan Chase Bank's Chariot Funding Limited/Chariot Funding LLC
added a Euro 115 million commitment and increased its program-level
credit enhancement by 5% of its commitment; liquidity support
is provided by JPMorgan Chase Bank.
Barclays' Sheffield Receivables Corp. added a Euro
95 million commitment and increased its program-level credit enhancement
by 10% of its commitment; liquidity support is provided by
Barclays Bank PLC.
Societe Generale's Antalis S.A./Antalis
US Funding Corp. added a Euro 85 million commitment and increased
its program-level credit enhancement by 8% of its commitment;
liquidity support is provided by Societe Generale.
ABN AMRO's Tulip Funding Corp./Tulip Euro Funding
Corp. added a Euro 85 million commitment and increased its programme-level
credit enhancement by 10% of its commitment; liquidity support
is provided by ABN AMRO.
The liquidity facilities for Chariot Funding Limited/Chariot Funding,
Sheffield Receivables Corp., and Antalis S.A./Antalis
US Funding Corp. were sized at 102% of their respective
commitments and partially supported the transaction. The transaction
was fully supported in Tulip Funding Corp./Tulip Euro Funding Corp
through a combination of a liquidity loan facility and a stand-by
letter of credit.
HUDSON CASTLE'S BELMONT ADDS $1 BILLION LOAN FACILITY
Belmont Funding LLC ("Belmont"), a fully supported, multiseller
conduit sponsored by Hudson Castle Group Inc. and administered
by Deutsche Bank Trust Company Americas (A1/Prime-1/C), has
added a $1 billion loan facility to its portfolio. The facility
will be used to fund loans, variable funding notes and other eligible
Belmont finances the facility through the issuance of asset-backed
commercial paper ("ABCP"). A total rate of return swap, provided
by a Prime-1-rated financial institution, fully supports
Belmont has no program-level credit enhancement. With this
transaction, Belmont is authorized to issue up to $5.6
billion of ABCP.
DEUTSCHE BANK'S GEMINI PURCHASES SARATOGA ABCP BACKED BY $200 MILLION
CREDIT CARD RECEIVABLES
Gemini Securitization Corp., LLC, ("Gemini"),
a partially supported, multiseller conduit sponsored by Deutsche
Bank AG (Aa3/Prime-1/B-), has purchased ABCP from
its sister conduit, Saratoga Funding Corp., LLC ("Saratoga").
The Saratoga ABCP is backed by six unrated variable funding trust securities
totaling $200 million. The underlying collateral is a pool
of sub-prime credit card receivables issued by a non-investment
grade credit card issuer. The transaction is fully supported by
liquidity facilities provided by Deutsche Bank. Therefore,
Gemini is not required to increase its program-level credit enhancement.
Gemini has total asset commitments of $14.8 billion,
with $6.8 billion of outstanding ABCP. Gemini's total
program-level credit enhancement is $533.8 million
(with a floor of $250 million).
ABN AMRO'S TULIP PROGRAMME AMENDS STRUCTURE TO ALLOW FOR PARTIALLY
Tulip Funding Corp. and Tulip Euro Funding Corp. (together,
"Tulip programme"), a fully supported, multiseller
ABCP programme sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has amended its structure to allow for the ability to fund transactions
on a partially supported basis through the issuance of Euro ABCP ("ECP").
Tulip Funding Corp. and Tulip Euro Funding Corp. are co-issuers
of the Tulip programme. Tulip Funding Corp. ("TULIP")
issues U.S. ABCP, while Tulip Euro Funding Corp.
("TEFCO") issues Euro ABCP. In the event that TEFCO
in unable to roll its ECP, it will issue dollar-denominated
loan notes to TULIP and fund the purchase through the US ABCP.
The Tulip program finances all transactions through a single purchasing
company, Tulip Asset Purchase Company B.V. ("TAPCO").
Presently, all transactions are fully supported by way of (i) a
transaction-specific liquidity facility sized at 90% of
the purchase commitment and (ii) a standby letter of credit sized at 10%
of the purchase commitment. ABN AMRO provides two standby letters
of credit to TAPCO: one U.S. dollar-denominated
for TULIP transactions and one Euro-denominated for TEFCO transactions.
Following the proposed amendments, TEFCO will be authorised to enter
into partially supported transactions, as well as fully supported
transactions. For the time being, all transactions funded
by TULIP will continue to be fully supported.
Tulip Funding Corp. has an authorised amount of $15 million
and Tulip Euro Funding Corp. has an authorised amount of Euro 10
THE RATING OF THE FOLLOWING SHORT-TERM PROGRAM WAS CONFIRMED AT
PRIME-1 DURING THE PERIOD JULY 19, 2005 THROUGH AUGUST 1,
DISCOVER CARD'S NEWCASTLE CERTIFICATE PROGRAM CONFIRMED AT PRIME-1
Moody's has confirmed the Prime-1 rating assigned to the certificates
issued out of the Newcastle Certificate Program. These securities
were placed under review for possible downgrade on April 13, 2005.
The rating action follows the July 20, 2005, downgrade of
Discover Bank's ("Discover") deposit rating to A3 from Aa3,
bank financial strength rating to C- from C, and short-term
rating to Prime-2 from Prime-1. Discover Bank's long-term
ratings (except for the financial strength rating) remain under review
for possible further downgrade. The ultimate outcome of the continuing
rating review is dependent upon Morgan Stanley's final decision on whether
to proceed with a spin-off of Discover. This action reflects
Moody's opinion that Discover is now less of a strategic asset for Morgan
Stanley than prior to the announcement of the spin-off.
If the spin-off occurs as planned, Moody's expects to assign
a Baa2 long-term deposit rating and Baa3 senior unsecured rating
to Discover Bank, with a stable outlook.
Newcastle Certificate Program is a short-term credit card receivable-backed
certificate program issued out of Discover's existing credit card master
trust ("Discover Card Master Trust I"). The program
has an authorized amount of $8 billion and is issued as Series
2000-A from the Discover Card Master Trust I. As of June
30, 2005, the outstanding invested amount of Newcastle Certificates
was $4 billion.
For further details, please see Moody's press release dated July
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
MOODY'S ABCP QUERY UPDATE
ABCP Query is an Excel-based tool that provides data on Moody's-rated
asset-backed commercial paper conduits. ABCP Query provides
data specific to individual programs, including liquidity providers,
credit enhancement, seller industries, seller ratings,
and other information. A frequently asked questions ("FAQ")
guide is also included with ABCP Query to help answer some questions related
to the product. The FAQ may be downloaded from Moody's website,
ABCP Query's current coverage, which includes the largest multiseller
and securities arbitrage conduits, has been enhanced to include
hybrid conduits. A hybrid conduit combines the features of two
or more program types, such as multiseller and securities arbitrage,
into one program. All programs in ABCP Query have now been updated
through March 2005. For some programs, information is available
through May 2005.
MOODY'S ABCP MARKET AT A GLANCE UPDATE
The ABCP Market Snapshot provides an overview of the characteristics of
various programs in a particular market industry. There are two
types of market snapshot reports currently available: the ABCP Multiseller
Snapshot and the ABCP Credit Arbitrage Snapshot. The charts in
both reports offer a view of the global ABCP market at a discrete point
in time. Moody's publishes the ABCP Market Snapshot at regular
intervals to offer a dynamic view of the evolution of the ABCP market.
The charts in the Multiseller Snapshot are based upon the largest ABCP
multiseller programs, determined according to the amount of ABCP
outstanding. The charts in the Credit Arbitrage Snapshot cover
24 credit arbitrage conduits. The Multiseller Snapshots and Credit
Arbitrage Snapshots have been updated through March 2005.
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service