Moody's ABCP rating actions for the seven-day period ended September 25, 2006
New York, September 27, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD SEPTEMBER 19, 2006 THROUGH SEPTEMBER
LEHMAN BROTHERS HOLDINGS INC.'S AEGIS INCREASES PROGRAM LIMIT
Aegis Finance LLC ("Aegis"), a partially supported, single-seller
ABCP program sponsored by Lehman Brothers Holdings Inc. ("Lehman",
rated A1/Prime-1) and administered by Lehman Commercial Paper Inc.
("LCPI", unrated), has increased its program limit to $2.4
billion from $2.1 billion.
Aegis issues secured liquidity notes and uses the proceeds to purchase
certain permitted investments, including highly-liquid short-term
assets and eligible loan participations. Aegis had slightly more
than $2 billion of outstanding SLNs at the end of August.
PARAMAX'S CATAPULT-PMX ADDS $1 BILLION EQUITY-LINKED
Catapult-PmX Funding LLC ("Catapult"), a fully-supported,
multiseller ABCP conduit sponsored by Paramax Capital Markets, LLC
(unrated) and administered by LaSalle Bank National Association (Aa3/Prime-1/B-),
has purchased a $1 billion dollar equity-linked note.
The note is fully supported by means of a guarantee provided by a Aa3/Prime-1-rated
financial institution and an option provided by a Aa3/Prime-1-rated
bank. The note matures in less than 90 day.
Catapult has no program-level credit enhancement; however,
all transactions must be fully supported by a form of liquidity facility
or transaction-specific credit enhancement. With this transaction,
Catapult may issue up to $2.5 billion of ABCP.
BAYERISCHE LANDESBANK'S GIRO LION ADDS STERLING 54 MILLION CMBS
Giro Lion Funding Limited ("Giro Lion"), a partially
supported, hybrid ABCP conduit sponsored by Bayerische Landesbank
("BayernLB", rated Aa2/Prime-1/D+),
has added a CMBS transaction backed by a portfolio of ground lease receivables
originated in the United Kingdom.
The senior notes are funded through ABCP issued by Giro Lion, while
the junior notes are purchased by a private investor. Since interest
rate fluctuations may affect the value of the portfolio, an interest
rate hedge is in place to mitigate the risk. Transaction-specific
credit enhancement is provided in the form of over-collateralisation.
This transaction is partially supported by liquidity provided by BayernLB.
With this transaction, Giro Lion's programme-level
credit enhancement was increased by 5% of the facility limit.
Giro Lion is authorized to issue up to Euro 4.43 billion of ABCP.
PNC BANK'S MARKET STREET ACQUIRES $81.97 MILLION INTEREST
IN Aaa-RATED SENIOR REVOLVING CREDIT FACILITY
Market Street Funding LLC ("Market Street"), a partially supported,
multiseller ABCP conduit sponsored by PNC Bank (A1/Prime-1/B-),
has acquired an $81.97 million interest in a Aaa-rated
$217 million senior revolving credit facility. The credit
facility is backed by an investment portfolio comprised of high-yield
debt, bank loans, mezzanine investments and equity securities.
A liquidity facility provided by PNC Bank will fund for maturing ABCP
so long as the credit facility is rated at least Caa2.
With this transaction, Market Street has about $5.4
billion in total purchase commitments and $510 million in program-level
ROYAL BANK OF CANADA'S THUNDER BAY AMENDS INTEREST IN TWO Aaa-RATED
Thunder Bay Funding, LLC ("Thunder Bay"), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC",
rated Aa2/Prime-1/B+), has amended its investment in
two Aaa-rated CLO notes.
The two transactions are an $80 million investment in a $270
million Class A CLO Note and a $35 million interest in a $345
million Class A CLO note. The liquidity facility for both transactions
was amended so that it conforms to the funding formula and outs to liquidity
funding used in existing and newly funded CLOs in White Point Funding,
Thunder Bay's sister conduit.
Thunder Bay has $8.1 billion in purchase commitments,
with $4.7 billion of outstanding ABCP and $863 million
in program-level credit enhancement.
TRANSAMERICA'S TAFCO INCREASES PROGRAM SIZE
Transamerica Asset Funding Company I ("TAFCO"), a fully
supported, single-seller ABCP program sponsored and administered
by AEGON N.V. (A2/Prime-1), has increased its
program size from $1.65 billion to $1.7 billion.
The increase in program size was a result of the addition of a new liquidity
bank, SanPaolo IMI S.p.A. (Aa3/P-1/B),
New York Branch.
TAFCO had $487 million of outstanding ABCP at the end of August
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
SEPTEMBER 19, 2006 THROUGH SEPTEMBER 25, 2006:
HARWOOD STREET FUNDING II'S RATING WITHDRAWN
Upon the program sponsor's request, Moody's has withdrawn
the ratings of the notes issued by Harwood Street Funding II, LLC.
The rating action applies to:
(i) the Prime-1 rating assigned to the Extendible asset-backed
(ii) the Baa2 rating assigned to the Subordinated Notes Series 2002-A,
Series 2003-A, Series 2003-B, and Series 2005-A.
As of September 22, 2006, the conduit paid all of its obligations
in full and no further notes will be issued under the program.
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