New York, March 19, 2008 -- Moody's ABCP rating actions for the seven-day period ended March
17, 2008
THE FOLLOWING ABCP PROGRAMS WERE RATED PRIME-1 DURING THE PERIOD
MARCH 11, 2008 THROUGH MARCH 17, 2008:
MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S FENWAY
FUNDING LLC INVESTOR OPTION NOTES
Moody's has assigned a Prime-1 rating to the USD-denominated
Series 2008-1 investor option notes (IONs) issued by Fenway Funding
LLC (Fenway Funding). Fenway Funding is a fully supported,
multiseller commercial paper program sponsored by Hudson Castle Group
Inc. (Hudson Castle). Fenway Funding's ION program has an
initial program limit of $10 billion.
Fenway Funding is a bankruptcy remote company with Fenway Capital LLC
(Fenway Capital) as its sole member. Fenway Funding will issue
fully supported IONs with a final maturity date of up to 390 days and
a renewal period not less than 30 days prior to the final maturity date.
The proceeds of the IONs will be used to purchase inter-company
funding notes issued by Fenway Capital, a bankruptcy remote,
multiseller and multi-debt issuing entity sponsored by Hudson Castle.
Fenway Capital, which itself is unrated, will in turn use
the proceeds from these inter-company funding notes to acquire
or make loans secured by interests in eligible collateral originated or
referred by its clients as is typical of a multiseller ABCP conduit.
Moody's will review each asset purchase entered into by Fenway Capital.
Fenway Capital will obtain fully supporting liquidity facilities from
Prime-1-rated financial institutions in order to pay,
when due, the interest and principal on the IONs issued by Fenway
Funding.
The Prime-1 rating assigned to Fenway Funding's IONs is based on
the following: (i) the full liquidity support provided by Prime-1-rated
financial institutions, (ii) Moody's prior review of all transactions,
(iii) structural protections that ensure the bankruptcy remoteness of
the conduit, and (iv) the experience and capability of Deutsche
Bank Trust Company Americas (Aa3/Prime-1/C) in its role as administrator,
issuing and paying agent, and collateral agent for the program.
For further details, please see Moody's press release dated
March 11, 2008.
MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S FOXBORO
FUNDING LLC INVESTOR OPTION NOTES
Moody's has assigned a Prime-1 rating to the USD-denominated
Series 2008-1 investor option notes (IONs) issued by Foxboro Funding
Ltd. and Foxboro Funding LLC (Foxboro Funding). Foxboro
Funding is a fully supported, multiseller commercial paper program
sponsored by Hudson Castle Group Inc. (Hudson Castle). Foxboro
Funding's ION program has an initial program limit of $10 billion.
Foxboro Funding Ltd. is a bankruptcy remote corporation owned by
Foxboro Capital Ltd. (Foxboro Capital). Its co-issuer,
Foxboro Funding LLC, is a bankruptcy remote company with Foxboro
Capital Ltd. as its sole member. Foxboro Funding LLC will
issue fully supported IONs with a final maturity date of up to 390 days
and a renewal period not less than 30 days prior to the final maturity
date. The proceeds of the IONs will be used to purchase inter-company
funding notes issued by Foxboro Capital Ltd., a bankruptcy
remote, multiseller and multi-debt issuing entity sponsored
by Hudson Castle. Foxboro Capital, which itself is unrated,
will in turn use the proceeds from these inter-company funding
notes to acquire or make loans secured by interests in eligible collateral
originated or referred by its clients as is typical of a multiseller ABCP
conduit. Moody's will review each asset purchase entered into by
Foxboro Capital.
Foxboro Capital will obtain fully supporting liquidity facilities from
Prime-1-rated financial institutions in order to pay,
when due, the interest and principal on the IONs issued by Foxboro
Funding.
The Prime-1 rating assigned to Foxboro Funding's IONs is based
on the following: (i) the full liquidity support provided by Prime-1-rated
financial institutions, (ii) Moody's prior review of all transactions,
(iii) structural protections that ensure the bankruptcy remoteness of
the conduit, and (iv) the experience and capability of Deutsche
Bank Trust Company Americas in its role as administrator, issuing
and paying agent, and collateral agent for the program.
For further details, please see Moody's press release dated
March 11, 2008.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD MARCH 11, 2008 THROUGH MARCH 17, 2008:
SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTERESTS
IN $32 BILLION STUDENT LOAN FACILITY
A syndicate of banks has participated in four newly established student
loan warehouse facilities totaling $32 billion. These facilities
include three FFELP issuers with a combined limit of $26 billion,
and a $6 billion private credit loan facility. The Federal
Family Education Loan Program (FFELP) loans carry a guarantee from the
U.S. Department of Education; the guarantee covers
a minimum of 97% of defaulted principal and accrued interest.
The warehouse facilities are established for a major public issuer of
student loan-backed securities.
The FFELP facilities issue two classes of notes; a senior tranche
sized at 97% (Class A note) and a 3% junior tranche (Class
B note). The Class A notes are rated Aaa, which is based
on the 3% subordination provided by the Class B notes. The
Class B notes are rated A2. Transaction-specific credit
enhancement is in the form of advance rates, which vary depending
on the type of loan. In addition, both notes benefit from
a 0.50% cash reserve account that is funded at closing.
The private credit loan facility is structured as a single tranche issuance.
The variable funding note (VFN) issued by the trust is rated Aaa and is
supported by transaction-specific credit enhancement in the form
of overcollateralization, which is determined by the loan type and
borrower's credit quality. The VFN also benefits from a 0.50%
cash reserve account that is funded at closing.
The liquidity facility for each participating conduit is sized at 100%
(plus all CP interest) or 102% of its respective commitment.
For the FFELP facilities, the liquidity facilities fund against
the portion of loans that is guaranteed by the government and deduct the
amount of non-guaranteed, defaulted student loans.
For the private credit facility, the liquidity facilities advance
against the portion of non-defaulted student loans net of recoveries.
All participating banks finance both FFELP and private-credit facilities.
Unless otherwise noted, 20% of each participating bank's
commitment was used to finance the Aaa-rated private-credit
VFN.
The following Prime-1-rated ABCP conduits participated in
the warehouse facilities:
• JPMorgan's conduits acquired an $8 billion interest across
the four facilities. At closing, Falcon Asset Securitization
Company LLC, Jupiter Securitization Company LLC, and Park
Avenue Receivables Company, LLC increased their program-level
credit enhancement by 10% of outstanding ABCP issued by each conduit
to finance its commitment. Chariot Funding LLC increased its program-level
credit enhancement by 5% of outstanding ABCP issued with respect
to its commitment. The conduits' program-level credit
enhancement may be reduced at a later date to only cover the FFELP Class
B notes.
• Bank of America's Ranger Funding Company, LLC acquired a
$2.2 billion interest and Yorktown Capital, LLC acquired
a $2.1 billion interest in the facilities. Ranger
and Yorktown increased their program-level credit enhancement by
3% of their commitment to the FFELP facilities. Kitty Hawk
Funding Corporation acquired a $700 million interest in the private-credit
facility on a fully supported basis.
• The Royal Bank of Scotland plc's Thames Asset Global Securitization
No. 1, Inc. ("TAGS") has a $5.0 billion
commitment and increased its program-level credit enhancement by
5% of outstanding ABCP issued with respect to this transaction.
• Barclays Bank's Sheffield Receivables Corp. has a $4.0
billion commitment and increased its program-level credit enhancement
by 10% of its commitment to FFELP Class B notes.
• Deutsche Bank's Gemini Securitization Funding Corp. has
acquired a $3.0 billion interest.
• Credit Suisse's Alpine Securitization Corp. has acquired
a $1.25 billion interest.
Other non-conduit lenders provided the remaining commitments.
SOCIETE GENERALE'S BARTON ADDS $250 MILLION LOAN FACILITY
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program administered by Société Générale
("SG," rated Aa2/Prime-1/B-), has added a $250
million loan facility to its portfolio. The transaction is part
of a $500 million co-purchased facility with another lender.
The loan facility is established for a limited partnership fund ("Fund").
The Fund invests in various global real estate opportunities. The
loan facility provides interim financing for the Fund's investments
and is secured by the uncalled capital commitments of the Fund's
investors.
The transaction benefits from transaction-specific credit enhancement
ranging from 10% to 35%, in the form of overcollateralization.
In addition, the transaction has various structural protections
to ensure that investors are protected upon deterioration in the performance
of the facility. This transaction is partially supported by a liquidity
facility provided by Prime-1-rated SG.
With this transaction, Barton's program-level credit enhancement
increased by 8% of the invested amount. Barton is authorized
to issue up to $22.6 billion of ABCP, and has $1.06
billion in program-level credit enhancement.
DIRECT FUNDING ADDS EURO 350 MILLION CONSUMER LOAN TRANSACTION
DIRECT Funding S.A. ("Direct Funding"),
a partially supported, multiseller ABCP conduit sponsored by Natixis
("Natixis," rated Aa2/Prime-1/C), has added
a Euro 350 million transaction secured by a portfolio of consumer and
auto loans originated by a Spanish company specialized in consumer financing.
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, Natixis, against certain credit events
arising in connection with the underlying receivables portfolio.
These credit events are linked to trigger events. This transaction
benefits from over 25% transaction-specific credit enhancement
in the form of a cash reserve, excess spread and junior notes.
The transaction also benefits from various structural protections.
Direct Funding will use the proceeds from its ABCP issuance to fund a
cash collateral account, which is pledged to the benefit of the
party purchasing credit protection.
The affirmation of the conduit's Prime-1 rating is also based
on the rating of Natixis, as credit derivative counterparty,
through its commitment to release the cash collateral associated with
the credit derivative, when required.
Direct Funding was not required to increase its program-level credit
enhancement following the addition of this transaction. Direct
Funding is authorized to issue up to Euro 6.2 billion of ABCP and
has Euro 1 million in program-level credit enhancement.
JPMORGAN CHASE'S JUPITER ADDS $750 MILLION AUTO LEASE FACILITY
Jupiter Securitization Company LLC ("Jupiter"), a partially supported,
multiseller ABCP program sponsored by JPMorgan Chase Bank ("JPM,"
rated Aaa/Prime-1/B+), has added a $750 million
auto lease facility to its portfolio. The facility is established
for an automotive captive finance company. The borrowers in the
auto lease facility are of prime-credit quality.
Transaction-specific credit enhancement is provided by overcollateralization
that builds up over time and excess spread, in aggregate sized at
a minimum of 10%. This transaction is partially supported
by a liquidity facility provided by Prime-1-rated JPM.
With this transaction, Jupiter's program-level credit enhancement
increased by 10% of outstanding ABCP issued with respect to the
transaction. Jupiter has $18 billion in total purchase commitments
and $1.4 billion in program-level credit enhancement.
NATIXIS' VERSAILLES CDS LLC CHANGED TO VERSAILLES COMMERICAL PAPER LLC
Effective March 12, 2008, Versailles CDS LLC, a prior
review, partially supported, multiseller ABCP conduit sponsored
and administered by Natixis Financial Products, Inc. ("Natixis,"
rated Aa2/Prime-1/C) changed its name to Versailles Commercial
Paper LLC. Versailles CDS LLC was created in 2006 as a limited
liability company set up to issue ABCP backed primarily by ABCP issued
by Versailles Assets, LLC. Versailles Assets, LLC is
also an ABCP conduit sponsored and administered by Natixis. ABCP
issued by both conduits is rated Prime-1 by Moody's.
No other changes were made to the 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
Moody's ABCP rating actions ending March 17, 2008
