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04 Dec 2007
Moody's ABCP rating actions ending December 3, 2007
New York, December 04, 2007 -- Moody's ABCP rating actions for the seven-day period ended December
SIV SECTOR REVIEW UPDATE
Moody's announced that it has completed part of its review of the SIV
sector. This review was prompted by the continued market value
declines of SIV asset portfolios. Moody's confirmed, downgraded,
or placed on review for possible downgrade the ratings of 79 debt programmes
(with a total nominal amount of approximately US$130 billion).
The rating action affected 20 SIVs.
Moody's has completed its review of capital notes started on November
7, 2007. The significant additional deterioration in market
value of assets across the SIV sector observed since November 7,
2007 has resulted in the expansion of Moody's original review to include
the senior debt ratings of some vehicles. Moody's will continue
to closely monitor SIV ratings, taking actions on individual vehicles
For further details, please see Moody's press release dated
November 30, 2007.
THE FOLLOWING ABCP PROGRAM WAS RATED PRIME-1 DURING THE PERIOD
NOVEMBER 27, 2007 THROUGH DECEMBER 3, 2007:
MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S ELYSIAN
FUNDING LLC ABCP PROGRAM
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper issued by Elysian Funding LLC ("Elysian"). Elysian
is a fully supported, multiseller commercial paper program sponsored
by Hudson Castle Group Inc. All transactions funded by Elysian
will be subject to Moody's prior review. Elysian's program
limit is $10 billion.
Elysian will enter into transactions with various originators of assets.
The ABCP issued by Elysian to fund asset purchases will be fully supported
by liquidity facilities provided by Prime-1-rated institutions.
The Prime-1 rating assigned to Elysian's ABCP is based on,
among other factors, the following: (i) the full liquidity
support provided by Prime-1-rated financial institutions;
(ii) Moody's prior review of all transactions to affirm that they are
consistent with the Prime-1 rating; (iii) the experience and
capability of Deutsche Bank Trust Company Americas in its role as administrator
and depositary; and (iv) structural protections to ensure the bankruptcy
remoteness of the conduit.
For further details, please see Moody's press release dated
November 28, 2007.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD NOVEMBER 27, 2007 THROUGH DECEMBER 3, 2007:
HUDSON CASTLE'S BELMONT ADDS THREE LOAN FACILITIES TOTALING $9
BILLION; INCREASES INTEREST IN EXISTING FACILITIES; ADDS TWO
COUNTERPARTIES TO EXISTING $3.1 BILLION LOAN FACILITY
Belmont Funding LLC ("Belmont"), a fully supported, multiseller
ABCP program sponsored by Hudson Castle Group Inc. and administered
by Deutsche Bank Trust Company Americas (Aa3/Prime-1/C),
has added three loan facilities to its portfolio, each with a maximum
commitment of $3 billion. Belmont also increased its interest
in three existing facilities and added two counterparties to an existing
The three new facilities will be used to fund various types of loans and
other eligible assets. Each transaction is fully supported by a
liquidity facility provided by a Prime-1-rated financial
institution that guarantees the timely payment of ABCP.
Along with the new asset purchases, Belmont increased its interest
in three existing loan facilities. The first is an increase in
a loan facility to $5 billion from $1.125 billion.
The transaction remains fully supported through a combination of a variable
funding note and interest rate swap.
Belmont increased its interest in another existing loan facility to $7
billion from $3 billion. The third increase is to an existing
loan facility that finances a variety of eligible assets, with a
new purchase commitment of $3.1 billion from $1.7
billion. Both of the transactions remain fully supported by liquidity
facilities provided by Prime-1-rated financial institutions.
Lastly, Belmont has added two counterparties to an existing $3.1
billion loan facility. The transaction remains fully supported
by a liquidity facility provided by a Prime-1-rated financial
With these asset purchases and amendments, Belmont is authorized
to issue up to $20 billion of ABCP.
BNP PARIBAS' STARBIRD FUNDING ADDS TWO TRANSACTIONS TOTALING $1
Starbird Funding Corporation ("Starbird"), a partially supported,
multiseller ABCP program sponsored by BNP Paribas (Aa1/Prime-1/B),
has added two transactions totaling $1 billion.
The first transaction is a $500 million interest in an existing
student loan warehouse facility. This transaction is fully supported
by a liquidity facility provided by Prime-1-rated BNP Paribas.
The second transaction is a $500 million interest in an existing
warehouse facility that finances consumer vehicle lease receivables originated
by an investment-grade-rated auto finance company.
This transaction benefits from 17.5% transaction-specific
credit enhancement in the form of 16.5% overcollateralization
and a 1% cash reserve account. This transaction is partially
supported by a liquidity facility provided by BNP Paribas.
With these two transactions, Starbird's program-level credit
enhancement was increased by 8% of its commitments. Starbird
has $10.88 billion in total purchase commitments and $758.5
million in program-level credit enhancement.
SUNTRUST'S THREE PILLARS ACQUIRES $150 MILLION INTEREST IN COMMERCIAL
LOAN TRANSACTION; INCREASES INTEREST IN EXISTING CREDIT CARD TRANSACTION
Three Pillars Funding Company LLC ("Three Pillars"), a partially
supported, multiseller ABCP conduit sponsored by SunTrust Bank ("SunTrust,"
rated Aa2/Prime-1/B+), has acquired a $150 million
interest in a commercial loan transaction and increased its interest in
an existing credit card transaction.
The first transaction is the acquisition of a $150 million interest
in a note backed primarily by secured loans made to middle market companies.
This transaction is fully supported by a liquidity facility provided by
The second transaction is a commitment increase to an existing variable
funding note backed by credit card receivables. Three Pillars increased
its commitment to $175 million from $100 million.
This transaction remains fully supported by a liquidity facility provided
Three Pillars' program-level credit enhancement was increased
by 10% of its purchase commitments for each transaction.
Three Pillars has $8.48 billion in total purchase commitments
and $763.4 million in program-level credit enhancement.
For a more detailed description of these ABCP programs, see Moody's
Senior Vice President
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service
No Related Data.
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