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PLEASE READ AND SCROLL DOWN!

 

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Announcement:

Moody's ABCP rating actions ending April 19, 2010

21 Apr 2010

New York, April 21, 2010 -- Moody's ABCP rating actions for the seven-day period ended April 19, 2010

MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD APRIL 13, 2010 THROUGH APRIL 19, 2010:

MOODY'S ASSIGNS PRIME-1 RATING TO LLOYDS TSB'S ARGENTO VARIABLE FUNDING COMPANY LIMITED AND ARGENTO VARIABLE FUNDING COMPANY LLC ABCP PROGRAM

Moody's has assigned a definitive Prime-1 rating to the asset-backed commercial paper ("ABCP") issued by Argento Variable Funding Company Limited and Argento Variable Funding Company LLC (the "Argento Funding Program"). The Argento Funding Program is a newly established, fully supported, prior review, hybrid ABCP program sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated Aa3/Prime-1/C-). Argento Funding Program is authorized to issue up to US$10 billion and has the ability to issue ABCP in both European and US markets.

The Argento Funding Program is the second ABCP program sponsored by Lloyds TSB. Lloyds TSB's existing program, Cancara Asset Securitisation Limited ("Cancara"), was established in December 2002 as a partially supported, hybrid ABCP program. Cancara's ABCP is currently rated Prime-1 by Moody's. The Argento Funding Program was established by Lloyds TSB for funding diversification purposes. All transactions financed by the Argento Funding Program are funded on a fully supported basis, with liquidity support provided by either Lloyds TSB or other Prime-1-rated banks.

The Prime-1 rating assigned to the ABCP issued by the Argento Funding Program is based on, among other factors, the following: (i) the capabilities of Lloyds TSB as an experienced conduit administrator; (ii) full liquidity support for each transaction to be provided by Prime-1-rated banks; (iii) Moody's prior review for all new transactions; (iv) indemnification provided by the Lloyds TSB as the hedging agent; and (v) structural features aimed at ensuring the bankruptcy remote nature of Argento Variable Funding Company Limited, Argento Variable Funding Company LLC Argento Funding, and the purchasing vehicles.

Lloyds TSB, the administrator to the Argento Funding Program, has significant prior experience in conduit management, notably in relation to the Cancara program, and will draw upon this expertise to perform the various administrator duties. The administrator's responsibilities include instructing the issuance of ABCP, monitoring of transactions, and ensuring timely draws of liquidity as well as other available support if required.

For further details, please see Moody's press release dated April 15, 2009.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 DURING THE PERIOD APRIL 13, 2010 THROUGH APRIL 19, 2010:

HSBC'S BRYANT PARK ADDS $55 MILLION TRADE RECEIVABLE FACILITY

Bryant Park Funding LLC ("Bryant Park"), a partially supported, multiseller ABCP conduit administered by HSBC Securities (USA) Inc., has added a $55 million trade receivables facility to its portfolio. The receivables are originated by a Ba2-rated service company for occupiers and owners of commercial real estate. Transaction-specific credit enhancement is in the form of overcollateralization sized at a minimum of 20% of eligible receivables. This transaction is partially supported by a liquidity facility provided by HSBC Bank USA (Aa3/Prime-1/C).

With this transaction, Bryant Park increased its program-level credit enhancement by 8% of outstanding ABCP. Bryant Park has $3.79 billion in outstanding ABCP and $200 million in program-level credit enhancement.

LLOYDS TSB'S CANCARA ADDS THREE TRANSACTIONS TO ITS PORTFOLIO

Cancara Asset Securitisation Limited ("Cancara"), a partially supported, hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated Aa3/Prime-1/C-), has added three new transactions to its portfolio: an EUR 296 million note, a GBP 275 million note and an USD 400 million note.

In the first transaction, Cancara has purchased EUR 296 million of funding notes that are backed by a portfolio of prime German auto loans originated by a global company specializing in auto financing. Transaction-specific credit enhancement is in the form of overcollateralization. Additionally, the transaction benefits from various structural protections, such as a CP tenor limitation and stop issuance events, which protect investors from deterioration in asset performance. The transaction is supported by a liquidity facility provided by Prime-1-rated Lloyds TSB.

In the second transaction, Cancara has purchased GBP 275 million of funding notes issued by an SPV backed by a portfolio of insurance premium loan receivables originated by a UK financial institution. This transaction benefits from various structural protections, such as a CP tenor limitation and stop issuance events, which protect investors from deterioration in asset performance. The transaction is supported by a liquidity facility provided by Prime-1-rated Lloyds TSB.

In the third transaction, Cancara has purchased a highly-rated note issued out of a master trust and backed by a portfolio of private-label retail credit card receivables originated by a global financial institution. Cancara's commitment is up to USD 400 million. Transaction-specific credit enhancement is in the form of overcollateralization. In addition, the transaction has various structural protections, such as a CP tenor limitation and stop issuance events. This transaction is partially supported by a liquidity facility provided by Prime-1-rated Lloyds TSB.

With the addition of these transactions, Cancara's program-level credit enhancement increased by 5% of its commitment. Cancara is authorized to issue up to USD 15 billion of ABCP.

NATIXIS' VERSAILLES ADDS $50 MILLION TRADE RECEIVABLE FACILITY

Versailles Assets, LLC ("Versailles Assets"), a partially supported, multiseller ABCP conduit administered by Natixis Financial Products ("Natixis," rated Aa3/Prime-1/D+), has added a $50 million interest in a $125 million trade receivables facility originated by a producer and marketer of coal.

Versailles Assets will finance this facility by issuing Prime-1-rated ABCP to Versailles Commercial Paper, LLC ("Versailles CP"), who will in turn issue Prime-1-rated ABCP to investors. The liquidity support is at the Versailles Assets level and covers any timing mismatch (or liquidity risk) in cash flows between the underlying receivables and the ABCP issued to Versailles CP. The trade receivable transaction is fully supported by a liquidity facility provided by Natixis. Therefore, investors of the Versailles CP's ABCP are not exposed to any losses associated with the transaction.

The program-level credit enhancement is at the Versailles CP level and was increased by 10% of outstanding ABCP even though the transaction is fully supported. Versailles CP has $2.835 billion in outstanding ABCP and $238 million in program-level credit enhancement.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD APRIL 13, 2010 THROUGH APRIL 19, 2010:

LAKE CONSTANCE FUNDING LIMITED RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 rating of the ABCP issued by Lake Constance Funding Limited, ("Lake Constance"), a partially supported, multiseller ABCP programme administered by Landesbank Baden-Württemberg ("LBBW," rated Aa2/Prime-1/C-). As of February 22, 2010, all outstanding ABCP had been repaid in full. Lake Constance will not issue any further ABCP under its program. Moody's policies regarding the withdrawal of ratings are described in "Moody's Guidelines for the Withdrawal of Ratings".

The principal methodology used in rating and monitoring the above-referenced ABCP programs is described in "The Fundamentals of Asset-Backed Commercial Paper" (February 2003), which is available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the rating process can also be found in the Rating Methodologies sub-directory on Moody's website.

Moody's monitors and analyzes ABCP programs on an ongoing basis. The rating actions apply to the CP issued by the ABCP programs and not the individual transaction in the programs' portfolio. A detailed description of each program is published in the ABCP Program Review. Some ABCP programs have monthly updated performance information, which is published in the Performance Overviews. All publications are available on Moody's website.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

New York
Paolo Obias
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Wanda Lee
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's ABCP rating actions ending April 19, 2010
No Related Data.
© 2021 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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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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