Moody's ABCP rating actions for the seven-day period ended September 11, 2006
New York, September 13, 2006 -- MOODY'S PUBLISHES MID-YEAR 2006 ABCP MARKET OVERVIEW
Moody's has published its mid-year 2006 review for the ABCP market
in a report titled, "ABCP Market Overview: Mid-year
2006 Review." As the report explains, ABCP outstandings reached
$920 billion as of June 30, 2006, an increase of $72
billion or 8.5% from $848 billion as of December
The growth in ABCP outstandings is largely attributable to continued growth
across all types of traditional ABCP programs and new program types as
well. The traditional multiseller, hybrid and security arbitrage
programs accounted for 64% of the increase. Newer programs
including repo conduits, short-term tranches of CDOs and
single-seller programs made up approximately 36%.
The report also includes new and terminated program for the first half
of 2006, the top 20 program administrators, and the top 20
For further details, please see the "ABCP Market Overview:
Mid-year 2006 Review," Special Report available on Moody's
MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
SEPTEMBER 5, 2006 THROUGH SEPTEMBER 11, 2006:
MOODY'S ASSIGNS PRIME-1 RATING TO RESIDENTIAL CAPITAL CORPORATION'S
MINT II EXTENDIBLE ABCP PROGRAM
Moody's has assigned a Prime-1 rating to the extendible ABCP
issued by MINT II, LLC ("MINT II"). MINT II is
a multi-asset mortgage program sponsored by Residential Capital
Corporation (Baa3/Prime-3, on watch for possible downgrade).
The program serves as a warehouse for mortgages of various types originated
and/or acquired by GMAC Mortgage Corporation and Residential Funding Corporation
(RFC), and funds loans made by these companies to other mortgage
originators. MINT II has a program size of $25 billion.
MINT II will also issue a subordinate variable funding note rated Baa2
by Moody's that provides credit enhancement to support the Prime-1-rated
ABCP. The amount of required enhancement is variable based on the
program size as well as the type and amount of mortgages being funded.
For further details, please see Moody's press release dated September
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD SEPTEMBER 5, 2006 THROUGH SEPTEMBER
ABN AMRO'S AMSTERDAM PURCHASES INTEREST IN $425 MILLION NOTE BACKED
BY RETAIL LOANS AND LEASES
Amsterdam Funding Corp. ("Amsterdam"), a partially supported,
multiseller ABCP conduit sponsored by ABN AMRO Bank (Aa3/Prime-1/B),
has purchased an interest in a $425 million amortizing note backed
by a pool of retail loans and leases.
This note benefits from transaction-specific credit enhancement
in the form of overcollateralization and a cash reserve account,
together sized at a minimum of 5%. As an additional protection
to ABCP investors, the liquidity facility will purchase the transaction
in the event that certain trigger events occur.
With this transaction, Amsterdam's program-level credit enhancement
was increased by 10% of the commitment. Amsterdam has $11.7
billion in total purchase commitments with $9.1 billion
in outstanding and $1.1 billion in program-wide credit
CALYON'S LMA REFINANCES FOUR NEW TRANSACTIONS TOTALING EURO 1,190.4
MILLION AND GBP 132.5 MILLION
LMA S.A. ("LMA," also known as Liquidites de
Marche) has added four new transactions totaling Euro 1,387.2
million to its portfolio:
(i) The first transaction is backed by trade receivables originated by
an Italian company operating in the tourism industry. The asset
purchase limit of this transaction is Euro 55 million.
(ii) The second transaction is backed by trade receivables originated
by an Italian company operating in the financial sector. The asset
purchase limit of this transaction is Euro 300 million.
(iii) The third transaction is backed by trade receivables originated
by an Italian company operating in the telecommunication sector.
The asset purchase limit of this transaction is Euro 450 million.
(iv) The fourth transaction is backed by credit default swaps on a portfolio
of commercial mortgage loans. There are two sub-portfolios
in this transaction: one in Euro for an asset purchase limit of
Euro 385.4 million, and one in GBP for an asset purchase
limit of GBP 132.5 million.
LMA is a fully supported, multiseller ABCP program sponsored and
administered by Calyon (Aa2/Prime-1/C). LMA uses the proceeds
of its Billets de Tresorerie and Euro commercial paper ("Euro ABCP")
to fund the purchase of FCC units, asset-backed securities
and bonds issued by corporate entities.
The Prime-1 rating assigned to LMA's Billets de Tresorerie
and Euro ABCP is based primarily on: (i) the full liquidity support
provided by Prime-1-rated banks through transaction-specific
purchase and sale agreements, which allows for timely repayment
of maturing Billets de Tresorerie and Euro ABCP, (ii) the
integrity of the conduit's structure, and (iii) the operational
ability of Calyon as the program administrator. Currently,
LMA's liquidity facility is provided by a syndicate of seven Prime-1-rated
LMA is authorized to issue up to Euro 8.10 billion, US$
409.22 million and GBP 234.5 million of ABCP.
PNC BANK'S MARKET STREET ADDS $750 MILLION NOTE BACKED BY
Market Street Funding LLC ("Market Street"), a partially
supported, multiseller ABCP conduit sponsored PNC Bank (A1/Prime-1/B-),
has acquired a $750 million interest in a A1-rated Class
A variable funding note issued out of a credit card master trust.
The transaction benefits from 16.75% deal-specific
credit enhancement in the form of subordination. The note is partially
supported by a liquidity facility provided by PNC Bank.
With this transaction, Market Street's program-level
credit enhancement was increased by 10% of its commitment.
Market Street has about $5.35 billion in total purchase
commitments and $509 million in program-level credit enhancement.
ROYAL BANK OF CANADA'S THUNDER BAY AND OLD LINE AMEND EXISTING STUDENT
LOAN FACILITY; THUNDER BAY REMOVES FULL SUPPORT FROM INTEREST IN
CLASS B VFN AND AMENDS EXISTING INVESTMENT IN CLASS A VFN
Thunder Bay Funding LLC ("Thunder Bay") and Old Line Funding LLC ("Old
Line"), both partially supported, multiseller ABCP conduits
sponsored by Royal Bank of Canada ("RBC", Aa2/Prime-1/B+),
have amended their interest in a $750 million revolving student
loan warehouse facility.
This facility funds all FFELP student loans, which are 97%
guaranteed by the federal government. The facility has been amended
to update some valuation assumptions and increase the advance rate on
certain FFELP consolidation loans.
Thunder Bay has also removed full support from its Euro 450 million investment
in a Class B VFN backed by a pool of residential mortgage loans extended
to German obligors. The Class B VFN is purchased by Irish Ring,
a purchasing SPV for Thunder Bay. The note benefits from transaction-specific
credit enhancement in the form of a subordinate piece that is dynamically
sized, with a floor of 5%.
In addition, Thunder Bay has amended its interest in a Class A VFN
backed by a revolving pool of Dutch residential mortgage loans.
This amendment increases the size of the facility to Euro 650 million
and modifies the liquidity facility so that it conforms to the structure
used in the Class B VFN mentioned above. Transaction-specific
credit enhancement for the Class A VFN is in the form of a subordinate
note that is sized dynamically based on the performance of the mortgage
loans, with a 2% floor.
Thunder Bay has $7.4 billion in total purchase commitments,
with $4.9 billion in outstandings and $1 billion
in program-level credit enhancement. Old Line has $14.1
billion in total purchase commitments, with $9.3 billion
in outstandings and $1.4 billion in program-level
BNP PARIBAS' STARBIRD FUNDING ADDS TWO TRANSACTIONS TOTALING $100
Starbird Funding Corporation ("Starbird"), a partially supported,
multiseller ABCP program sponsored by BNP Paribas (Aa2/Prime-1/B+),
has added two trade receivables purchase facilities totaling $100
million. The trade receivables facilities, each sized at
$50 million, are established for two unrated interstate natural
gas pipeline company subsidiaries of a non-investment-grade-rated
company. Both transactions are fully supported by a liquidity facility
provided by BNP Paribas.
With these transactions, Starbird's program-level credit
enhancement was increased by 8% of its commitments. Starbird
has about $9.48 billion in total purchase commitments and
$609.5 million in program-level credit enhancement.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service