New York, November 08, 2007 -- Moody's ABCP rating actions for the seven-day period ended November
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD OCTOBER 30, 2007 THROUGH NOVEMBER 5, 2007:
MIZUHO CORPORATE BANK'S ADVANTAGE ADDS TWO VFNS TOTALING $245 MILLION
Advantage Asset Securitization Corporation ("Advantage"), a partially
supported, multiseller conduit sponsored by Mizuho Corporate Bank,
Limited ("Mizuho," rated Aa2/Prime-1/C), has acquired
an interest in two variable funding notes (VFNs) totaling $245
The first transaction is a $150 million interest in a A2-rated
VFN that is backed by rental car fleet receivables. The second
transaction is a $95 million interest in a A2-rated VFN
backed by vacation timeshare loan receivables. Both transactions
are fully supported by liquidity facilities provided by Prime-1-rated
With these transactions, Advantage has $1.5 billion
in total purchase commitments.
HSBC'S BRYANT PARK ADDS TWO TRANSACTIONS TOTALING $700 MILLION
Bryant Park Funding LLC ("Bryant Park"), a partially supported,
multiseller ABCP conduit sponsored by HSBC Securities (USA) Inc.,
has added two transactions to its portfolio totaling $700 million
in purchase commitments.
The first transaction is a $200 million interest in a Class A note
issued from a credit card master trust. This transaction is backed
by credit card receivables originated and serviced by an unrated jewelry
company. Transaction-specific credit enhancement includes
28% subordination in the form of a Class B subordinate note and
14.5% overcollateralization used to cover dilution.
Noteholders also benefit from structural mechanisms in the transaction
that cause an early amortization event to occur.
The second transaction is a $500 million interest in a $1.7
billion auto loan facility that is currently also financed by another
conduit. This transaction is backed by auto loans originated by
an investment-grade-rated automotive manufacturer.
The facility benefits from transaction-specific credit enhancement
in the form of overcollateralization and a reserve sized at a minimum
of 12%, with a $10 million floor.
Both transactions are partially supported by liquidity facilities provided
by Prime-1-rated HSBC.
Bryant Park's program-level credit enhancement was increased
by 8% of outstanding ABCP issued for each transaction. Bryant
Park has $8.44 billion in purchase commitments with $5.16
billion of outstanding ABCP and $330 million in program-level
DEUTSCHE BANK'S RHEIN-MAIN ADDS EURO 155.8 MILLION NOTE
Rhein-Main Securitisation Limited ("Rhein-Main"),
a partially supported, multiseller ABCP conduit sponsored by Deutsche
Bank AG (Aa1/Prime-1/B), has added a Euro 155.8 million
funding note facility to its portfolio. The underlying assets in
this transaction are Aaa-rated CLO notes.
This transaction is partially supported by a liquidity facility provided
by Deutsche Bank AG.
Due to the high credit quality of the asset, Rhein-Main is
not required to increase its program-level credit enhancement.
With this transaction, Rhein-Main is authorized to issue
up to approximately Euro 7.9 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS INCREASES INTEREST IN EXISTING CREDIT CARD
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 increased its interest in an existing credit card transaction to $1.4
billion from $1 billion. TAGS' interest is in the
form of a Class A Note, and the underlying assets of the note consist
of private label credit cards originated by various sellers. This
transaction was added to TAGS' portfolio in 2005, and has
performed as expected.
The Class A note benefits from 11% transaction-specific
credit enhancement in the form of subordination. This transaction
remains partially supported by a liquidity facility provided by Prime-1-rated
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 $25.5
billion of ABCP.
NATIXIS' VERSAILLES ADDS TWO AUTO LEASE FACILITIES TOTALING $530
Versailles Assets, LLC ("Versailles Assets"), a partially
supported, multiseller ABCP conduit sponsored and administered by
Natixis (Aa2/Prime-1/C+), has added a $530 million
combined interest in two auto lease facilities. This transaction
is part of a $30 billion co-purchase facility. Versailles
Assets has purchased a $293.8 million interest in an amortizing
auto lease facility and a $236.2 interest in a revolving
auto lease facility. Versailles' commitment is guaranteed
by a surety bond provided by a Aaa-rated financial guaranty insurance
Versailles Assets will finance these two facilities by issuing Prime-1-rated
ABCP to Versailles CDS, LLC ("Versailles CDS"). Versailles
CDS, in turn, will issue Prime-1-rated ABCP
to investors in the capital market to purchase the Versailles Assets ABCP.
The liquidity support is at the Versailles Assets level, and covers
any timing mismatch, or liquidity risk, between the underlying
notes and the ABCP issued to Versailles CDS. The program-level
credit enhancement is at the Versailles CDS level, and is available
to cover credit risk.
The amortizing auto lease 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. Liquidity funding is provided by
Natixis in the form of a liquidity loan agreement. The liquidity
facility partially supports this transaction, with the only circumstance
in which funds are unavailable being the bankruptcy of Versailles Assets.
Due to the surety bond that supports this transaction, Versailles
CDS is not required to provide additional program-level credit
enhancement. Versailles has $6.7 billion in purchase
commitments, with $4.4 billion in outstanding ABCP
and $293 million in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
OCTOBER 30, 2007 THROUGH NOVEMBER 5, 2007:
MARSHALL & ILSLEY'S WATERFRONT FUNDING RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Waterfront Funding Corporation, a partially supported,
credit arbitrage ABCP program administered by the
Marshall & Ilsley Corporation (rated Prime-1). As of
October 31, 2007, all outstanding ABCP had been repaid in
full and no further ABCP will be issued under the program.
For a more detailed description of these ABCP programs, see Moody's
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's ABCP rating actions ending November 5, 2007
Structured Finance Group
Moody's Investors Service