New York, August 23, 2007 -- Moody's ABCP rating actions for the seven-day period ended August
20, 2007
MOODY'S PLACES THE PRIME-1 RATING OF FOUR CONDUITS ON WATCH
FOR POSSIBLE DOWNGRADE; SUBORDINATE NOTES ISSUED BY OTTIMO DOWNGRADED
On August 15, 2007, Moody's placed the following programs
on watch for possible downgrade:
KKR Financial Corp.'s KKR Pacific Funding Trust ("KKR
Pacific"): Prime-1-rated SLNs were placed on
watch for possible downgrade.
KKR Financial Corp.'s Atlantic Funding Trust ("KKR
Atlantic"): Prime-1-rated SLNs were placed on
watch for possible downgrade.
Thornburg Mortgage Inc.'s Thornburg Mortgage Capital
Resources LLC ("Thornburg Mortgage"): Prime-1-rated
SLNs were placed on watch for possible downgrade.
Aladdin Capital Management LLC's Ottimo Funding Ltd.
("Ottimo"): Prime-1 rating of the SLNs and extended
notes were placed on watch for possible downgrade. In addition,
the Ottimo Series 2007-A and Series 2007-B subordinated
term notes were downgraded to B2 on watch for possible downgrade from
Baa2. The Ottimo Series 2007-C subordinated term notes was
downgraded to Caa2 on watch for possible downgrade from Ba2.
KKR Pacific and KKR Atlantic have $4.912 billion and $3.101
billion of outstanding ABCP, respectively. Thornburg Mortgage
has $5.542 billion of outstanding ABCP. Ottimo has
$2.844 billion of outstanding ABCP and $35.1
million of outstanding subordinated notes.
For further details, please see Moody's press releases dated
August 15, 2007
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD AUGUST 14, 2007 THROUGH AUGUST 20, 2007:
SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTERESTS
IN AUTO FACILITIES TOTALLING $30 BILLION
A syndicate of banks has participated in four newly established facilities
totaling $30 billion. These facilities include a $13.0
billion auto loan facility, auto lease amortizing and revolving
facilities totaling $10.6 billion, and a $6.4
billion dealer floorplan facility established for a non-investment-grade-rated
financial services firm in the automotive industry. Each participating
bank has taken a pro rata share in each of the four facilities,
while the conduits themselves have added interests in some or all of the
facilities. The retail loan facility note benefits from 6.25%
initial transaction-specific credit enhancement in the form of
overcollateralization. Enhancement will increase in the event losses
rise or excess spread drops. The auto lease amortizing facility
initially has 14.75% transaction-specific credit
enhancement in the form of subordination, overcollateralization
and a cash reserve with a target of 15.75% through accumulation
of excess spread in the transaction. In the revolving lease facility,
transaction-specific credit enhancement is based on a dynamic formula.
Transaction-specific credit enhancement for the dealer floorplan
facility is about 18.5%, and subject to increase if
the payment rate decreases.
The liquidity facility for each participating conduit is sized at 102%
of its respective commitment, and funds for non-defaulted
assets and estimated recoveries in most cases.
The following Prime-1-rated ABCP conduits participated in
the $30 billion facilities:
JPMorgan's conduits acquired a $2.25 billion
interest in the facilities.
ABN AMRO's Amsterdam Funding Corp. added a $426.6
million interest in the dealer floorplan transaction, while Windmill
Funding Corp. added a $1.57 billion interest in the
other three facilities. Each conduit's program-level
credit enhancement was increased by 10% of its commitments.
Barclays Bank's Sheffield Receivables Corp. added
a $2 billion interest in the facilities and increased its program-level
credit enhancement by 10% of its commitment.
Calyon's Atlantic Asset Securitization LLC acquired a $2
billion interest and increased its program-level credit enhancement
by 10% of its commitment. However, Calyon's $866.7
million interest in the auto loan facility may be funded in either Atlantic
Asset Securitization LLC or La Fayette Asset Securitization LLC.
Deutsche Bank's Gemini Securitization Funding Corp.
acquired an $884 million interest in the retail loan transaction,
while Riverside Funding LLC added a $399.5 million commitment
to the amortizing lease transaction and a $321.3 commitment
to the revolving lease transaction. Monterey Funding LLC added
a $435.2 million commitment to the dealer floorplan transaction.
Each conduit increased its program-level credit enhancement by
8% of outstanding ABCP issued for the transaction.
HSBC's Abington Square Funding, LLC acquired a $1.34
billion interest in the retail loan and revolving lease transaction,
while Bryant Park Funding, LLC acquired a $2 billion interest
in all four transactions. The aggregate amount funded by Abington
and Bryant Park may not exceed $2 billion. Bryant Park increased
its program-level enhancement by 8% of outstanding ABCP
issued for the transaction. Abington's program-level
credit enhancement was increased by 5% to 8% of outstanding
ABCP, depending on the type of auto facility financed.
BNP Paribas' Starbird Funding Corp. added a $1.8
billion commitment and increased its program-level credit enhancement
by 8% of purchase commitments.
Societe Generale's Barton Capital, LLC added a $1.75
billion commitment and increased its program-level enhancement
by 8% of purchase commitments.
Royal Bank of Canada's conduits, Old Line Funding,
LLC and Thunder Bay Funding LLC, added a combined $530 million
commitment to the two lease transactions, and a $970 million
aggregate commitment to the retail loan and dealer floorplan transactions.
Each conduit increased its program-level enhancement by 10%
of outstanding ABCP issued for the transaction.
Bank of America's Ranger Funding Company, LLC acquired
a $433 million interest in the retail loan securitization facility,
while Kitty Hawk Funding Corporation acquired an aggregate $567
million interest in the amortizing lease, revolving lease and wholesale
securitization facilities. The aggregate amount funded by Ranger
and Kitty Hawk may not exceed $1 billion. The conduits increased
their program-level enhancement increased by 10% and 8%
of outstanding ABCP, respectively.
The Bank of Nova Scotia's Liberty Street Funding Corp. added
a $1 billion interest and increased its program-level credit
enhancement by 10% of the purchase commitment.
The Royal Bank of Scotland plc's Thames Asset Global Securitization
No. 1, Inc. ("TAGS") added a $1.0 billion
interest and was required to increase its program-level credit
enhancement by 5% of outstanding ABCP issued with respect to this
transaction.
NordLB's Hannover Funding Corp. added an $800
million commitment and increased its program-level enhancement
by 10% of its commitment.
Lloyds TSB Bank Plc's Cancara Asset Securitisation Limited
added a $625 million commitment and increased its program-level
enhancement by 5% of its commitment.
Credit Suisse's Alpine Securitization Corp. added
a $525 million interest.
PNC Bank's Market Street Funding LLC has a $500 million
commitment to the transaction and increased its program-level enhancement
by 10% purchase commitment.
WestLB AG's Paradigm Funding LLC acquired a $500 million
interest and increased its program-level credit enhancement by
8% of the purchase limit.
BLB's Giro Balanced Funding Corp. added a $300
million commitment and increased its program-level enhancement
by 10% of its commitment.
Other non-conduit lenders provided the remaining commitments.
HVB'S BUFCO PURCHASES BLACK FOREST ABCP BACKED BY $50 MILLION INTEREST
IN EXISTING MORTGAGE WAREHOUSE FACILITY
Bavaria Universal Funding Corp. ("BUFCO"), a partially supported
program sponsored by Bayerische Hypo- und Vereinsbank AG ("HVB,"
rated A1/Prime-1/C-), has purchased ABCP from its
sister conduit, Black Forest Funding Corporation ("Black Forest").
The Black Forest ABCP is backed by a $50 million interest in an
existing $250 million revolving mortgage warehouse facility.
This warehouse facility finances commercial mortgage loans provided primarily
to multi-family property investors. This transaction is
fully supported by program-level credit enhancement at the Black
Forest level, in the form of a letter of credit provided by Prime-1-rated
HVB.
With this transaction, BUFCO has $2.96 billion in
total asset purchase commitments and $650.56 million in
program-level credit enhancement.
CERES CAPITAL'S MICA EURO ADDS FOURTH TRANSACTION
Mica Funding Ltd. ("Mica Euro"), a fully supported,
multiseller ABCP conduit sponsored by Ceres Capital Partners, LLC
(unrated, formerly named Stanfield Global Strategies) and administered
by Deutsche Bank Trust Company Americas (Aa3/Prime-1/C),
has added its fourth global swap facility. The swap facility permits
Mica Euro to purchase up to $4 billion of assets under a total
return swap with Prime-1-rated European financial institution.
This transaction is fully supported by the total return swap.
Mica Euro does not have program-level credit enhancement.
Mica Euro has $1.5 billion of purchase commitments available
for funding, and is authorized to issue up to $20 billion
of ABCP. Mica Euro may issue ECP in multiple currencies along with
USCP and SLNs through Mica Funding LLC.
ROYAL BANK OF SCOTLAND'S TAGS ADDS $525 MILLION CLASS A VFN BACKED
BY CREDIT CARD RECEIVABLES
Thames Asset Global Securitization No.1, Inc. ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc ("RBS," rated Aaa/Prime-1/B+),
has added a $525 million unrated Class A variable funding note
(VFN) to its portfolio. The Class A VFN is backed by a pool of
private label credit card receivables.
Transaction-specific credit enhancement is provided by 12.5%
subordination and a 3.5% cash reserve account. In
addition, CP investors' exposure to credit losses is reduced
through the use of structural mechanisms such as limiting the tenor of
ABCP and including an ABCP cease issuance trigger upon certain events.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated RBS.
With this transaction, TAGS was required to increase its program-level
credit enhancement by 5% of outstanding ABCP issued with respect
to this transaction. TAGS is authorized to issue up to $23.04
billion of ABCP.
MBIA'S TRIPLE-A ONE FUNDING ADDS $388 MILLION IN NOTES BACKED
BY CONSUMER RECEIVABLES
Triple-A One Funding Corp., a fully supported,
multiseller conduit sponsored and administered by MBIA Insurance Corporation
(Aaa), has purchased notes totaling $388 million, including
(i) $100 million of Class A-1b term notes, (ii) $260
million of Class A-3 notes, and (iii) $28 million
of Class A-4 variable funding notes. The notes are supported
by a surety bond provided by Aaa-rated MBIA and backed by consumer
receivables.
This transaction is fully supported by liquidity facilities provided by
HSBC Bank USA, N.A. (Aa2/Prime-1/B-)
and KBC Bank N.V. (Aa2/Prime-1/B-).
Triple-A One is authorized to issue approximately $1.1
billion of ABCP.
ABN AMRO'S TULIP ADDS USD 500 MILLION TRANSACTION
Tulip Funding Corp. and Tulip Euro Funding Corp. (together,
"Tulip"), a partially supported, multiseller ABCP programme
sponsored by ABN AMRO Bank N.V. ("ABN AMRO,"
rated Aa2/Prime-1/B-), has added a USD 500 million
A1-rated note to its portfolio. The note is backed by a
pool of existing and future utility receivables originated by a utility
company located in Dubai.
In this transaction, Tulip lends the CP proceeds to the purchasing
entity to finance the purchase of the A1-rated note. This
transaction is partially supported by a liquidity facility provided by
Prime-1-rated ABN AMRO. The liquidity facility is
available to repay maturing CP so long as the note is rated Caa2 or above.
In addition, the transaction benefits from various structural protections
such as a cease issuance trigger based on the rating of the note.
Tulip may immediately draw on the liquidity facility if the rating of
the note is downgraded to A3.
For this transaction, Tulip's programme-level credit enhancement
increased by 8% of the purchase commitment. Tulip is authorised
to issue up to Euro 10 billion of ABCP.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Jesse DeSalvo
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's ABCP rating actions ending August 20, 2007