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29 Nov 2006
Moody's ABCP rating actions for the seven-day period ended November 27, 2006
New York, November 29, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD NOVEMBER 21, 2006 THROUGH NOVEMBER
CALYON'S ATLANTIC ADDS $125 MILLION INTEREST IN CLO FACILITY
Atlantic Asset Securitization LLC, ("Atlantic"), a partially
supported, multiseller conduit sponsored by Calyon (Aa2/Prime-1/C),
has added a $125 million interest in a CLO facility.
The loan facility is established to finance a portfolio of middle market
loans. This transaction benefits from a financial guarantee insurance
policy provided by Aaa-rated Ambac Assurance Corp. ("Ambac").
A liquidity facility provided by Prime-1-rated Calyon funds
for the face amount of ABCP as long as Ambac is not bankrupt or does not
default on its payment obligation under the insurance policy. In
addition, the liquidity facility may be used in the event that Ambac
is downgraded to below A2.
With this transaction, Atlantic has $9.4 billion in
purchase commitments and $814 million in program-level credit
BMO CAPITAL MARKETS' FAIRWAY INCREASES TWO POST REVIEW FACILITIES FROM
$5 BILLION TO $7.5 BILLION
Fairway Finance Company, LLC ("Fairway"), a partially
supported, multiseller program administered by BMO Capital Markets
Corp., has increased the size of two post-review facilities
from $5 billion to $7.5 billion.
The first facility allows Fairway to purchase highly-rated or monoline
wrapped assets originated by third party entities (in both cases,
rated Aa2 or higher). The assets purchased under this facility
are fully supported by a liquidity facility provided by Prime-1-rated
Bank of Montreal, except under certain circumstances. The
exceptions to the full liquidity support are if the rating of the asset
falls below Baa3 or for assets fully wrapped by a monoline insurer,
if the insurer defaults on a payment obligation under the insurance policy,
insurer's rating falls below Caa2, or the insurer is insolvent.
Under these circumstances Bank of Montreal's full liquidity support
reverts to an amount that is based on the balance of non-defaulted
assets supporting the transaction.
Moody's does not pre-approve the assets purchased by Fairway
under this facility. If an asset is downgraded below Aa2,
BMO Capital Markets, as administrator for Fairway, must notify
Moody's within two business days. Unlike many credit arbitrage
securities programs, there is no ratings level that will automatically
remove an asset from Fairway upon it being downgraded. This feature
could lead to a higher level of ratings volatility to Fairway in the event
of any material downgrades to assets held by Fairway under this program.
However, due to the high ratings of the assets funded in this portfolio
as well as the capability of BMO Capital Markets, as administrator,
to take action upon a downgrade of an asset, this risk is commensurate
with a Prime-1 rating.
The second facility allows Fairway to purchase assets or fund transactions
originated by third party entities on a post-review basis.
All transactions funded under this facility are fully supported by liquidity
facilities provided by Prime-1-rated Bank of Montreal,
and sized at 102% of Fairway's aggregate commitments.
The only time that the liquidity facility will not fund is when Fairway
The increase to these facilities from $5 billion to $7.5
billion corresponds to the increase to Fairway's overall portfolio
as well as its anticipation of future growth in purchases of highly rated
assets and financings of fully supported transactions. At the end
of September 2006, Fairway had $10.3 billion in total
purchase commitments and $160 million program-level credit
ROYAL BANK OF SCOTLAND'S TAGS INCREASES ITS INTERESTS AND RESTRUCTURES
LIQUIDITY SUPPORT IN EXISTING TIMESHARE TRANSACTION
Thames Asset Global Securitization No.1, Inc. ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc (Aa1/Prime-1/A-), has increased
its interest in an existing timeshare transaction to $93.75
million from $75 million. Along with the increase in commitment,
it also restructured its liquidity structure to a partially supported
liquidity facility and eliminated the intermediary purchasing SPV structure
so that TAGS can now fund the transaction directly. This transaction
is part of co-purchase facility.
Transaction-specific credit enhancement is provided by overcollateralization
sized at 20%. In addition, CP investors' exposure
to credit losses is reduced through the use of structural mechanisms such
as limiting the tenor of ABCP and including an ABCP cease issuance trigger
upon a collateral deficiency test. This transaction is now partially
supported through 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 now authorized
to issue up to $18 billion of ABCP.
ROYAL BANK OF CANADA'S WHITE POINT PURCHASES $125 MILLION
INTEREST IN Aa3-RATED SYNTHETIC CDO NOTE
White Point Funding Inc. ("White Point"), a partially supported,
multiseller conduit sponsored by Royal Bank of Canada ("RBC," rated
Aa2/Prime-1/B+), has purchased a $125 million
interest in a Aa3-rated synthetic CDO note.
The note benefits from 30% transaction-specific credit enhancement.
This transaction is a synthetic CDO, meaning that the performance
of the security is not determined by the assets in the portfolio,
but rather it is determined by a credit default swap and its related reference
entities. This transaction is partially supported by a liquidity
facility provided by Prime-1-rated RBC. The transaction
also benefits from a structural protection that causes the liquidity bank
to purchase the asset once certain trigger events occur.
With this transaction, White Point's program-level credit
enhancement was increased by 10% of the commitment. White
Point has $1 billion in total purchase commitments with $1
billion in outstanding and $100 million in program-level
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
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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