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I AGREE
27 Feb 2008
Moody's ABCP rating actions ending February 25, 2008
New York, February 27, 2008 -- Moody's ABCP rating actions for the seven-day period ended February
25, 2008
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD FEBRUARY 19, 2008 THROUGH FEBRUARY 25, 2008:
BANK OF SCOTLAND'S GRAMPIAN ADDS REPURCHASE FACILITIES AND REDUCES
INVESTOR EXPOSURE IN WIND DOWN
Grampian Funding Limited/Grampian Funding LLC ("Grampian"),
a partially supported, credit arbitrage ABCP conduit sponsored by
Bank of Scotland ("BOS," rated Aa1/Prime-1/B),
has added repurchase agreements ("Repo Facilities") between
BOS and Grampian and each of the 19 Grampian purchasing vehicles.
Grampian has also added a new structural feature to improve ABCP investors'
protection against downgrades of securities in the event of a wind-down.
Under the Repo Facilities a Grampian company may agree to enter into repurchase
transactions with BOS as counterparty in respect of securities owned by
that company. The Repo Facilities therefore provide an alternative
source of funding for the programme that may be utilized as a backup for
ABCP issuance or liquidity draws. However, as the Repo Facilities
are uncommitted, liquidity coverage continues to be available for
100% of outstanding ABCP.
Repurchase transactions will be entered into pursuant to market-standard
documentation. However, certain provisions of the repurchase
master agreements have been amended to protect Grampian from risks which
are not consistent with its Prime-1 rating. For example,
there will be no margin calls permitted, no haircut provided and
certain events of default have been excluded. The calculation of
credit enhancement under the programme remains unchanged by the addition
of the Repo Facilities. Credit enhancement will continue to be
calculated by reference to all securities of the programme, including
those sold to BOS as repurchase counterparty.
Grampian has also introduced a new structural feature that reduces ABCP
investors' exposure to downgrades of securities in a wind-down
scenario by providing interim increases in credit enhancement or,
failing that, liquidity draws. The maximum ABCP tenor has
been increased from 180 to 270 days. If a security is downgraded,
and not otherwise disposed of, this may lead to a requirement to
increase credit enhancement. Previously for Grampian, this
requirement only applied as a condition precedent to further issuance
of ABCP, so that if enhancement was not obtained then the programme
would cease issuing and investors would then be exposed to a wind-down
period of up to 180 days. This has now been amended so that,
even if no further ABCP is issued, every time enhancement is required
to be increased this must be completed within 30 days otherwise liquidity
must be drawn to cover the enhancement shortfall. This undertaking
by Grampian to draw liquidity after 30 days means the programme structure
is more responsive to changing credit risk in the portfolio as the programme
winds down. Moody's considers this mechanism to be a strongly
protective feature of the conduit.
Grampian continues to be authorized to issue up to USD 40 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS ADDS $175 MILLION AUTO LEASE TRANSACTION
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 $175 million interest in a $640 million co-purchase
facility backed by rental car receivables.
Transaction-specific credit enhancement is sized at a minimum of
16.5% in the form of overcollateralization, a reserve
account and one or more letters of credit. 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 now authorized to issue up to $18.28
billion of ABCP.
TEXAS DEPARTMENT OF ECONOMIC DEVELOPMENT AND TOURISM DIVISION AMENDS EXISTING
USCP PROGRAM
Texas Department of Economic Development and Tourism Division has amended
its existing $25 million U.S. commercial paper program
supported by an irrevocable letter of credit issued by JPMorgan Chase
Bank, N.A. (Aaa/Prime-1/B+). The
letter of credit expiration date has been extended to April 30,
2008. JPMorgan Chase Bank also acts as depository for the program.
In addition, the size of the letter of credit has been reduced to
$6.507 million from the current size of $16 million.
This program was originally established in 1992 by the Texas Department
of Commerce (TDC) with an initial size of $25 million. TDC
was renamed the Texas Department of Economic Development (TDED) in 1997
and later renamed The Office of the Governor of the State of Texas,
Economic Development and Tourism Division (TEDTD) in 2003.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
FEBRUARY 19, 2008 THROUGH FEBRUARY 25, 2008:
BAYERISCHE HYPO- UND VEREINSBANK'S BAVARIA TRR RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of the ABCP issued by Bavaria TRR Corporation, a fully supported
ABCP program administered by Bayerische Hypo- und Vereinsbank AG
(A1/Prime-1/C-). As of February 19, 2008,
all outstanding ABCP had been repaid in full and there will be no further
issuance under this program.
For a more detailed description of these ABCP programs, see Moody's
website: 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
No Related Data.
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