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13 Dec 2006
Moody's ABCP rating actions for the seven-day period ended December 11, 2006
New York, December 13, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD DECEMBER 5, 2006 THROUGH DECEMBER
ABN AMRO'S U.S. CONDUITS AMEND PROGRAM STRUCTURE
Amsterdam Funding Corp., Windmill Funding Corp.,
Grand II Funding Corp., and Nightwatch Funding LLC,
all partially supported, multiseller ABCP conduits sponsored by
ABN AMRO Bank (Aa3/Prime-1/B), have amended their program
documents to substitute JPMorgan Chase Bank with LaSalle Bank National
Association (Aa3/Prime-1/B-) as the issuing and paying agent
or the depositary. This amendment was driven by operational convenience,
rather than any credit-related issues.
ROYAL BANK OF CANADA'S OLD LINE ADDS $500 MILLION AUTO LOAN TRANSACTION
Old Line Funding LLC ("Old Line"), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC",
rated Aa2/Prime-1/B+), has purchased a $500 million
interest in a pool of auto loans.
This transaction is backed by an amortizing pool of sub-prime retail
auto loans. Transaction-specific credit enhancement is in
the form of overcollateralization, sized at a minimum of 12%,
and excess spread. As an additional protection to ABCP investors,
the liquidity facility will purchase the transaction in the event that
certain trigger events occur.
Old Line has added 10% program-level credit enhancement
with the addition of this transaction. Old Line has $12.9
billion in total purchase commitments, with $8.7 billion
in outstandings and $1.3 billion in program-level
ROYAL BANK OF SCOTLAND'S TAGS ADDS $227.7 MILLION INTEREST
IN CREDIT CARD 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 added a
$227.675 million interest in an unrated Class A note.
The Class A note is part of a $500 million credit card facility.
ABN AMRO's Amsterdam Funding Corp. also co-finances
this transaction. The facility was established for an investment-grade-rated
credit card issuer.
Transaction-specific credit enhancement is provided by 8.75%
subordination and a 2% cash reserve account. 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 partially supported through a liquidity facility provided
by Prime-1-rated RBS.
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 $18.15
billion of ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY AMENDS INTEREST IN 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 $50 million
investment in a Aaa-rated Class A-1 CLO note.
The liquidity facility for this transaction was amended to make it consistent
with the liquidity funding formula and out to liquidity funding used in
the amended and newly-funded CLOs in Thunder Bay and White Point
Funding, Thunder Bay's sister conduit.
Thunder Bay has $8.1 billion in purchase commitments,
with $5.1 billion of outstanding ABCP and $1.2
billion in program-level credit enhancement.
ABN AMRO'S TULIP ADDS EURO 310 MILLION TRADE RECEIVABLE TRANSACTION
Tulip Funding Corp. and Tulip Euro Funding Corp. (together,
"Tulip"), a partially supported, multiseller ABCP programme
sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has added a Euro 310 million trade receivable transaction to its portfolio.
In this transaction, Tulip lends the CP proceeds to the purchaser
to finance the purchase of trade receivables originated by a Dutch corporation
that operates in the home shopping retail industry.
Transaction-specific credit enhancement is in the form of over-collateralisation
and a dynamic reserve. In addition, Tulip has added 8%
programme-level credit enhancement in respect of this transaction.
The transaction is supported by a liquidity facility provided by Prime-1-rated
ABN AMRO. In addition, the liquidity facility may be drawn
in the event that the level of defaulted receivables exceeds a specified
With this transaction, Tulip is authorised to issue up to USD 13
billion of ABCP.
ROYAL BANK OF CANADA'S WHITE POINT AMENDS INTEREST IN $500 MILLION
CREDIT CARD TRANSACTION
White Point Funding Inc. ("White Point"), a partially supported,
multiseller conduit sponsored by Royal Bank of Canada ("RBC," rated
Aa2/Prime-1/B+), has amended its interest in an existing
$500 million Class A note issued out of a credit card master trust.
The out to liquidity funding based on the rating of the asset has been
eliminated. In addition, the bankruptcy of the seller no
longer triggers a liquidity purchase date. After the amendment,
this transaction remains partially supported by a liquidity facility provided
White Point has $1 billion in total purchase commitments with $1
billion in outstanding and $100 million in program-level
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE WITHDRAWN DURING THE PERIOD
DECEMBER 5, 2006 THROUGH DECEMBER 11, 2006:
CHARTERMAC LOW FLOATER CERTIFICATES RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Charter Mac Low Floater Certificates, a fully supported,
multiseller ABCP program administered by JPMorgan Chase Bank (Aa2/Prime-1/B+).
As of June 16, 2006, all outstanding ABCP had been repaid
in full. There will be no further issuance under this program.
PREFERRED RECEIVABLES FUNDING CORP. RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Preferred Receivables Funding Corp., a partially
supported, multiseller ABCP program administered by JPMorgan Chase
Bank (Aa2/Prime-1/B+). As of November 30, 2006,
all outstanding ABCP had been repaid in full. There will be no
further issuance under this 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
No Related Data.
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