Moody's ABCP rating actions for the seven-day period ended December 18, 2006
New York, December 20, 2006 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD DECEMBER 12, 2006 THROUGH DECEMBER
ABN AMRO'S AMSTERDAM ADDS $457.5 \MILLION UNRATED SENIOR
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 $457.5 million Class A CDO
note. This transaction is backed by a pool of trust preferred securities,
which are hybrid instruments that combine attributes of debt with features
The Class A note benefits from transaction-specific credit enhancement
in the form of subordination, provided by Class B notes, and
a cash collateral account. The transaction-specific credit
enhancement totals 12.5%. In addition, this
deal benefits from a structural mechanism that mitigates the credit risk
to investors. This transaction is partially supported by a liquidity
facility provided by ABN AMRO.
With this transaction, Amsterdam's program-level credit enhancement
was increased by 10% of its commitment. Amsterdam has $11.4
billion in total purchase commitments with $9.1 billion
in outstandings, and $1.1 billion in program-level
HVB'S ARABELLA ADDS EURO 40 MILLION TRADE RECEIVABLES TRANSACTION
Arabella Funding Limited ("Arabella"), a partially supported,
multiseller ABCP programme sponsored by Bayerische Hypo- und Vereinsbank
AG ("HVB," rated A2/Prime-1/D+), has added a Euro
40 million trade receivable facility to its portfolio. The receivables
in the facility are originated by a German company operating in the publishing
industry. This transaction is fully supported by a letter of credit
provided by HVB.
With this transaction, Arabella is authorized to issue up to Euro
2.5 billion of ABCP and has Euro 157 million in programme-level
DZ BANK'S CORAL ADDS EURO 15 MILLION TRADE RECEIVABLE FACILITY
Coral Capital Limited/Coral Capital LLC ("CORAL"), a
partially supported, multiseller ABCP programme sponsored by DZ
Bank AG (A2/Prime-1/C-), has added a Euro 15 million
trade receivable facility to its portfolio. In the transaction,
CORAL makes advances to a purchasing vehicle, which finances the
trade receivables originated by a German corporate operating in the food
Transaction-specific credit enhancement is provided in the form
of deferred purchase price in combination with a commercial credit insurance
policy provided by Euler Hermes Kreditversicherungs-AG ("Euler
Hermes," rated Aa3/Prime-1). All receivables will
be insured in full under the terms of the insurance policy and the aggregate
outstanding nominal amount of all purchased receivables will not exceed
the insurance limit. The credit limit of the insurance policy is
sized at 100% of the maximum purchased amount. This transaction
is supported by a liquidity facility provided by DZ Bank. The liquidity
facility funds for the nominal amount of purchased receivables that are
not defaulted receivables, and also covers all amounts payable by
Euler Hermes under the insurance policy.
CORAL has a maximum programme amount of Euro 10 billion.
ABN AMRO'S ORCHID AMENDS PROGRAM STRUCTURE AND ADDS $100 MILLION
NOTES BACKED BY DIVERSIFIED PAYMENT RIGHTS
Orchid Funding Corp ("Orchid"), a partially supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. ("ABN AMRO,"
rated Aa3/Prime-1/B), has acquired assets funded by ABCP
issuance through Orchid Asset Securitization Investment Services ("OASIS").
OASIS is a special purpose vehicle incorporated in the Cayman Islands.
A program-level credit support facility ("CSF") has
also been added at the OASIS level. The addition of the CSF will
allow OASIS to repay the borrowings from Orchid, if a default occurs
in the assets funded by Orchid. The inclusion of a CSF coincides
with ABN AMRO's decision to expand Orchid's funding scope
to support its growing securitization initiative in all emerging markets.
The CSF is composed of two facilities covering asset pools that are either
prior review by Moody's ("Reviewed Series") or those
which are not subject to prior review ("Non-Reviewed Series").
As agent to the CSF providers, ABN AMRO will be responsible for
deciding if a particular asset pool will be treated as a Non-Reviewed
The Non-Reviewed Series facility limit is fixed at $100
million. The Reviewed Series facility limit is equal to the higher
of (i) $300 million minus the draw-downs of the Non-Reviewed
Series facility limit, or (ii) 8% of the principal amount
outstanding of all the Reviewed Series. The Reviewed Series are
either unrated assets or assets rated below Aa3 or Prime-1.
To ensure equal treatment of the ABCP investors, the CSF is available
to all new and existing series funded by Orchid.
ABN AMRO is the initial CSF provider, but new CSF providers can
be added in the future. The CSF provider is required to maintain
a Prime-1 rating. Upon a ratings downgrade, the downgraded
CSF provider must be replaced or other remedial action will be required
in order to maintain Orchid's Prime-1 rating.
In addition to the amendment, Orchid has funded a $100 million
unrated floating-rate note backed by remittance receivables under
diversified payment rights to Turkey. The note is backed by diversified
payment rights flows, and is supported by a partially supported
liquidity facility provided by ABN AMRO to OASIS. The construction
of a partially supported liquidity facility allows the note to draw on
the liquidity facility under different scenarios, which enables
Orchid to maintain its Prime-1 rating. With this transaction,
Orchid is authorized to issue up to $1.5 billion of ABCP.
ROYAL BANK OF CANADA'S WHITE POINT ADDS EURO 75 MILLION Aaa-RATED
White Point Funding Inc. ("White Point"), a partially supported,
multiseller conduit sponsored by Royal Bank of Canada ("RBC," rated
Aa2/Prime-1/B+), has added a Euro 75 million Aaa-rated
Class A-2 note issued from a CDO to its portfolio. The CDO
is comprised of first and second lien loans, mezzanine loans,
and high yield debt.
This transaction is funded through White Point Capital ("WPC"),
a bankruptcy-remote feeder special purpose vehicle. This
transaction is partially supported by liquidity. A liquidity facility,
sized at 102% of the transaction, is provided by RBC at the
Despite the high credit quality of the note, White Point has increased
its program-level credit enhancement by 10% of its commitments
for this transaction. With this transaction, White Point
has $1 billion in total purchase commitments with $1 billion
in outstanding and $100 million in program-level credit
MERRILL LYNCH'S ZANE FUNDING PURCHASES $50 MILLION NOTE BACKED
BY CONTAINER FINANCE RECEIVABLES
Zane Funding, LLC ("Zane"), a partially supported, multiseller
ABCP program sponsored and administered by Merrill Lynch Bank USA ("MLBUSA,"
rated Aa3/Prime-1/B-), has added a $50 million
interest in a $200 million warehouse facility backed by notes collateralized
by a pool of intermodal marine containers that are leased or rented out
to shipping companies.
The note issued under the warehouse facility is rated Aaa, based
on a financial guaranty insurance policy provided by Aaa-rated
MBIA. The liquidity facility will fund for the face amount of ABCP
until the surety provider defaults under its obligations, or if
its rating falls below Caa3.
Despite the high credit quality of the note, Zane increased its
program-level credit enhancement by 8% of outstandings for
this transaction. With this transaction, Zane has $1.214
billion of outstanding investments and $97 million of 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