Moody's ABCP rating actions ending July 23, 2007
New York, July 25, 2007 -- Moody's ABCP rating actions for the seven-day period ended July
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD JULY 17, 2007 THROUGH JULY 23, 2007:
THREE PRIME-1-RATED ABCP CONDUITS AMEND INTEREST IN EXISTING
INSURANCE PREMIUM FACILITY
Windmill Funding Corp. ("Windmill"), Liberty Street Funding
Corp. ("Liberty Street"), and Old Line Funding LLC ("Old
Line"), all partially supported, multiseller ABCP conduits
sponsored by ABN AMRO Bank (Aa2/Prime-1/B-), The Bank
of Nova Scotia ("Scotiabank," Aa1/Prime-1/B), and Royal
Bank of Canada ("RBC," Aaa/Prime-1/B+), respectively,
have amended their interest in an existing $1.43 billion
co-purchase facility. The facility is backed by insurance
premium receivables for an unrated subsidiary of an investment-grade-rated
This facility has been amended to change the concentration limits of certain
insurance carriers. This transaction remains partially supported
by liquidity in each conduit. In addition, the liquidity
facilities will be drawn upon a borrowing base deficiency or bankruptcy
of the originator or guarantor.
Windmill has $15.7 billion in total purchase commitments,
with $10.3 billion in outstanding ABCP and $1.5
billion in program-level credit enhancement. Liberty Street
has $10.6 billion in total purchase commitments, with
$6.6 billion in outstanding ABCP and $956 million
in program-level credit enhancement. Old Line has $14.4
billion in total purchase commitments, with $9.1 billion
in outstanding ABCP and $1.5 billion in program-level
LLOYDS TSB'S CANCARA ADDS USD 500 MILLION LOAN FACILITY
Cancara Asset Securitisation Limited ("Cancara"), a partially supported,
hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated
Aaa/Prime-1/B+), has added a $500 million loan
facility to its portfolio. This transaction provides financing
to a private equity fund ("Fund") and is secured by uncalled
capital commitments of the Fund.
In this transaction, Cancara is purchasing a purchaser demand note
backed by a first priority security interest in the remaining capital
commitments from institutional and private investors to the Fund.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated Lloyds TSB. In addition, this
transaction benefits from various structural protections to ensure that
investors are protected upon deterioration in the performance of the assets.
With this transaction, Cancara's program-level credit enhancement
increased by 5% of its commitment. Cancara is authorized
to issue up to USD 25.9 billion of ABCP.
NATIONAL AUSTRALIA BANK'S CENTRESTAR ADDS ECP ISSUER TO ITS PROGRAMME
CentreStar Capital No. 1 LLC ("CentreStar"),
a partially supported, multiseller ABCP programme sponsored by National
Australia Bank Limited ("NAB," rated Aa1/Prime-1/B),
has added an ECP Issuer to its programme structure.
The programme structure will remain unchanged. The ECP Issuer,
Prime-1-rated CentreStar Capital (Europe) Limited,
will rank equally with the existing USCP Issuer. CentreStar Capital
(Europe) Limited, a bankruptcy-remote entity incorporated
in Ireland, allows the CentreStar programme to issue European commercial
paper to the European market.
All liquidity facilities will be provided at the transaction-specific
level and entered into with individual asset or securities owning companies.
The CentreStar programme has a limit of USD 10 billion and is currently
authorised to issue up to Euro 2.4 billion of ABCP.
DIRECT FUNDING ADDS EURO 150 MILLION CDS TRANSACTION
DIRECT Funding S.A. ("Direct Funding"),
a partially supported, multiseller ABCP conduit sponsored by IXIS
CIB ("IXIS," rated Aa2/Prime-1/C+),
has added a Euro 150 million interest in a floating rate note backed by
Italian residential and commercial mortgage loans.
The asset addition takes the form of a subscription by Direct Funding
to a credit derivative transaction, by which it provides protection
to its counterparty, IXIS, against certain credit events arising
in connection with the underlying senior notes. This transaction
benefits from various structural protections to ensure that investors
are protected upon deterioration in the performance of the senior notes.
Direct Funding will use the proceeds from its ABCP issuance to fund a
cash deposit account, which is pledged to the benefit of the party
that is purchasing credit protection.
The affirmation of the conduit's Prime-1 rating is also based
on the rating of IXIS, as the credit derivative counterparty and
liquidity provider, through its commitment to release the cash collateral
associated with the credit derivative, when required.
Direct Funding's program-level credit enhancement has not
been increased following the addition of this transaction. Direct
Funding is authorized to issue up to Euro 5 billion of ABCP, and
its program-level credit enhancement remains at Euro 1 million.
PNC BANK'S MARKET STREET ACQUIRES $150 MILLION INTEREST IN Aaa-RATED
Market Street Funding LLC ("Market Street"), a partially supported,
multiseller ABCP conduit sponsored by PNC Bank (Aa3/Prime-1/B),
has acquired a $150 million interest in a Aaa-rated variable
funding note ("VFN"). The VFN is primarily backed by
leveraged loans. This transaction is partially support by liquidity
provided by PNC Bank. The liquidity facility will fund for maturing
ABCP so long as the VFN is rated at least Caa2.
With this transaction, Market Street has $6.77 billion
in total purchase commitments and $605.6 million in program-level
CERES CAPITAL'S MICA EURO ADDS THIRD 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 third global swap facility. The swap facility permits
Mica Euro to purchase up to $3 billion of eligible loans.
The facility is fully supported by a total return swap with an unrated
subsidiary of a Aa3/Prime-1-rated U.S. financial
institution. Since the swap counterparty is unrated, the
Aa3/Prime-1-rated U.S. financial institution
provides a straight payment guarantee on the counterparty's obligation
under the swap agreement.
Mica Euro does not have program-level credit enhancement.
Mica Euro has a program limit of $20 billion and is authorized
to issue ECP in multiple currencies along with USCP and SLNs through Mica
CAMBRIDGE PLACE INVESTMENT'S OLD COURT ESTABLISHES TENTH PURCHASING ENTITY
Old Court Funding Plc and Old Court Funding LLC (together, "Old
Court"), a partially supported, credit arbitrage ABCP programme
sponsored by Cambridge Place Investment Management LLP (unrated),
has added its tenth purchasing entity, Noosa Asset Funding Limited.
Old Court is independently administered by QSR Management Ltd (unrated),
a wholly owned subsidiary of The Bank of New York (Aaa/Prime-1/B+).
Old Court will issue ABCP and use the proceeds to finance the purchasing
entity's purchase of financial assets. The repayment of the financing
provided by Old Court is fully supported by a liquidity facility provided
by Royal Bank of Scotland (Aaa/Prime-1/B+).
With this additional facility, Old Court is authorized to issue
up to USD 2.8 billion of ABCP.
ROYAL BANK OF CANADA'S OLD LINE AND WHITE POINT ADD $151.5
MILLION CREDIT CARD TRANSACTION
Old Line Funding LLC ("Old Line") and White Point Funding Inc.
("White Point"), both partially supported, multiseller ABCP
conduits sponsored by Royal Bank of Canada ("RBC," rated Aaa/Prime-1/B+),
have added a combined $151.5 million interest in A2-rated
Class A and Baa2-rated Class B variable funding notes issued from
a credit card master trust. White Point has purchased the $120
million senior note while Old Line has funded the $31.5
million subordinate note.
Transaction-specific credit enhancement for the Class A note is
sized at 9.5% in the form of subordination and overcollateralization,
while the Class B note benefits from 3% of transaction-specific
credit enhancement. Each conduit's investment is partially
supported by a liquidity facility provided by Prime-1-rated
RBC. For the Class B note, CP investors benefit from a structural
protection that causes the liquidity bank to purchase the asset once an
excess spread trigger is breached.
With this transaction, program-level credit enhancement increased
by 10% of White Point's commitment for the Class A note and
20% of Old Line's commitment for the Class B note.
Old Line has $14.4 billion in total purchase commitments,
with $9.1 billion in outstanding ABCP and $1.5
billion in program-level credit enhancement. White Point
has $1.37 billion in total purchase commitments, with
$1.37 billion in outstanding ABCP and $137 million
program-level credit enhancement.
BNP PARIBAS' STARBIRD FUNDING ADDS $25 MILLION TRADE RECEIVABLE
Starbird Funding Corporation ("Starbird"), a partially supported,
multiseller ABCP program sponsored by BNP Paribas (Aa1/Prime-1/B),
has added a $25 million trade receivable purchase facility to its
portfolio. The trade receivables are originated by an unrated interstate
natural gas pipeline company, a subsidiary of a non-investment-grade-rated
company. The transaction is fully supported by a liquidity facility
provided by Prime-1-rated BNP Paribas.
With this transaction, Starbird's program-level credit enhancement
increased by 8% of its commitment. Starbird has $8.7
billion in total purchase commitments and $593.9 million
in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
JULY 17, 2007 THROUGH JULY 23, 2007:
HSBC FINANCE'S HSBC REAL ESTATE (USA) FUNDING TRUST RATING WITHDRAWN
Moody's has withdrawn the Prime-1 rating of HSBC Real Estate (USA)
Funding Trust, a partially supported, single-seller
ABCP program administered by HSBC Finance (Aa3/Prime-1).
As of July 10, 2007, all outstanding ABCP had been repaid
in full. There will be no further issuances under the program.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
Senior Vice President
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service