Moody's ABCP rating actions for the seven-day period ended October 30, 2006
New York, November 01, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD OCTOBER 24, 2006 THROUGH OCTOBER
SOCGEN'S BARTON ADDS $500 MILLION MORTGAGE FACILITY
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program administered by Societe Generale
("SocGen", rated Aa2/Prime-1/B+), has added a
$500 million mortgage facility to its portfolio. The facility
provides interim financing for newly originated mortgages prior to term
securitization. The types of mortgage loans eligible for financing
include conventional conforming and non-conforming mortgages.
This facility is for an unrated company that originates and services mortgage
This transaction benefits from up to 5% transaction-specific
credit enhancement in the form of overcollateralization, reserves,
and seller recourse. The transaction includes various loan eligibility
criteria and portfolio concentration limits. No loan can remain
in the facility for more than 180 days. In addition, the
transaction has structural protections such as an ABCP tenor limitation,
and a cease issuance of ABCP upon the occurrence of certain trigger events.
This transaction is partially supported through a liquidity facility provided
With this amendment, Barton's program-level credit enhancement
was increased by 8% of the commitment. Barton is now authorized
to issue up to $19.88 billion of ABCP, and has $1.54
billion in program-level credit enhancement.
HUDSON CASTLE'S EBBETS ADDS $5 BILLION TRANSACTION
Ebbets Funding PLC ("Ebbets"), a fully supported,
multiseller ABCP conduit administered by Deutsche Bank Trust Company Americas
(A1/Prime-1/C) and managed by Hudson Castle Group Inc. (unrated),
has added a new transaction with a maximum commitment of $5 billion.
The transaction has been established to finance various securities and
whole loans, and is fully supported by a Prime-1-rated
financial institution that guarantees the timely payment of the ABCP.
With this transaction Ebbets is authorized to issue up to $6.8
billion of ABCP.
BANK OF NOVA SCOTIA'S LIBERTY STREET AMENDS PROGRAM STRUCTURE
Liberty Street Funding Corp. ("Liberty Street"), a partially
supported, multiseller ABCP program sponsored by The Bank of Nova
Scotia ("Scotiabank", rated Aa3/Prime-1/B), has amended
its program structure to allow for limited post review status on certain
asset types and the issuance of extendible notes (ENs).
Liberty Street's limited post review status will be granted to certain
asset types in the conduit's portfolio. The types of assets
include trade receivables, auto loans, credit card receivables
and highly-rated or fully supported assets. Liberty Street
has amended its procedures manual to outline certain guidelines and specific
criteria to achieve post review status for the above-mentioned
asset types. All asset types that do not meet the post review criteria
will continue to be subject to prior review. Additional features
have been included in the program structure to ensure that the portfolio
remains highly diversified, and that it meets specific guidelines
that are commensurate with a Prime-1 rating.
Liberty Street has also amended its structure to allow for the issuance
of ENs. The ENs will have an expected maturity date of up to 185
days from initial issuance with a final maturity date of up to 85 days
from the extension date. Similar to standard ABCP, there
is a bank liquidity facility supporting the ENs that is available at the
legal final maturity of the notes. Investors do not need to rely
on the collections from the assets or proceeds from the sale of assets
during the extension period.
Other material changes to the program structure include an increase in
the program-wide credit enhancement ("PWCE") floor
amount. The new floor amount is determined by the size of the largest
asset pool, which is currently $500 million. Prior
to the amendment, the floor amount was $50 million.
Additionally, the program structure was amended to allow fully supported
transactions to be excluded from the calculation of Liberty Street's
PWCE. Currently, only highly-rated assets, which
are assets rated Aa2 or higher, are excluded from the PWCE calculation.
Although highly-rated assets and fully supported transactions do
not require an increase in Liberty Street's PWCE, the assets
will continue to benefit from PWCE.
Liberty Street has $10.7 billion in purchase commitments,
and $1 billion in program-level credit enhancement.
WESTLB'S PARADIGM ADDS $350.5 MILLION UNRATED CDO NOTE
Paradigm Funding LLC ("Paradigm"), a partially supported,
multiseller conduit administered by WestLB AG ("WestLB", rated Aa2/Prime-1/D-),
has added a $350.5 million unrated CDO note to its portfolio.
The note is backed by mostly RMBS collateral, and benefits from
19.9% of subordination. This transaction is fully
supported by a liquidity facility so long as certain trigger events do
Moody's has reviewed the credit quality of the note and believes
that it is not necessary to increase Paradigm's program-level
credit enhancement with the addition of this transaction.
Paradigm has $455.5 million program-level credit
enhancement, with a $200 million floor, supporting
approximately $7.1 billion in outstanding ABCP.
MERRILL LYNCH'S ZANE FUNDING ADDS $300 MILLION AUTO FINANCE
Zane Funding, LLC ("Zane"), a partially supported, multiseller
ABCP program sponsored by Merrill Lynch & Co., Inc.
(Aa3/Prime-1) and administered by Merrill Lynch Bank USA ("MLBUSA",
rated Aa3/Prime-1/B-), has added its second asset
pool to its portfolio. The transaction is a $300 million
interest in a variable funding certificate backed by an automotive dealer
floorplan finance facility.
Transaction-specific credit enhancement is in the form of subordination
and a reserve fund of 9.25%. The transaction also
benefits from a liquidity facility that is available to cover non-defaulted
With this transaction, Zane's program-level credit
enhancement will be increased by 8% of outstanding ABCP issued
for this transaction. Zane is authorized to issue up to $650
million of ABCP, and has $52 million in program-level
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