Moody's ABCP rating actions for the seven-day period ended January 1, 2007
New York, January 03, 2007 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
DECEMBER 26, 2006 THROUGH JANUARY 1, 2007:
MOODY'S ASSIGNS PRIME-1 RATING TO HSBC SECURITIES'
ABINGTON SQUARE FUNDING ABCP PROGRAM
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper ("ABCP") issued by Abington Square Funding LLC ("Abington").
Abington is a newly established, partially supported, multiseller
extendible ABCP program sponsored by HSBC Securities USA ("HSBC"),
an unrated subsidiary of HSBC Holdings plc (Aa2/Prime-1).
HSBC or its affiliates will be the administrator, letter of credit
provider, swingline provider, liquidity provider, issuing
and paying agent and collateral agent. Abington may issue US dollar-denominated
ABCP in the US market, and has a program limit of $10 billion.
Abington is a reduced liquidity, multiseller extendible program
that will use the proceeds from the sale of extendible ABCP to invest
in various types of financial assets. Abington can purchase non
dollar-denominated assets as well as fixed and floating rate assets.
Any currency or interest rate risk will be covered through a hedging agreement
with a Prime-1-rated counterparty. All transactions
are subject to Moody's prior review.
The Prime-1 rating assigned to Abington's ABCP is based on,
among other factors, the following: (i) the structural protections
to ensure the bankruptcy-remoteness of Abington and its purchasing
SPV, (ii) the liquidity support provided by liquidation of the assets
during the extension period, as well as liquidity facilities and
swingline facilities provided by HSBC and other Prime-1-rated
banks, and (iii) the capabilities of HSBC as administrator,
and in its roles as the liquidity agent, hedge counterparty and
agent, letter of credit provider, collateral agent,
and swingline provider.
For further details, please see Moody's press release dated
December 27, 2006.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD DECEMBER 26, 2006 THROUGH JANUARY
$5 BILLION STUDENT LOAN AND STUDENT LOAN ABS FACILITY IS AMENDED
A $5 billion co-purchase facility backed by student loans
and student loan asset-backed securities ("ABS") has been amended
and increased to $6 billion. The student loans are originated
by a major public issuer of student loan-backed securities.
The collateral is predominantly student loans, while the student
loan ABS portion may be up to 15% of the maximum transaction size.
The student loan ABS must be rated at least A2 to be included in the facility.
Also, the concentration limits restrict the proportions of the types
of loans that may be added. There is no time limitation for the
holding of the loans or ABS in the facility.
The conduits' liquidity facilities advance against the portion of the
loans that is guaranteed by U.S. government agencies and
subtracts from funding only the non-guaranteed, defaulted
portion of the government-guaranteed loans. The liquidity
facilities will fund against student loan ABS as long as the ABS is rated
at least C. Some of the loans are not guaranteed by the government
because the loans are private credit loans.
Varying levels of credit enhancement cover all student loans and securities.
Transaction-specific credit enhancement also includes a 0.25%
reserve account held against all of the loans.
The amendment increases the concentration limit for private credit loans
from 35% to 50% of the $6 billion maximum commitment
and includes loans originated under three other private credit loan programs,
including the private consolidation loan program. Also, the
25% concentration limit for loans which are not currently paying
interest (which was previously only applicable under certain circumstances)
has been removed.
The conduit participants include Barclays' (Aa1/Prime-1/A-)
Sheffield Receivables Corp., ABN AMRO's (Aa3/Prime-1/B)
Amsterdam Funding Corp. and Windmill Funding Corp; Bank of
America's (Aa1/Prime-1/A-) Ranger Funding Company,
LLC and Yorktown Capital, LLC; Royal Bank of Canada's
(Aa2/Prime-1/B+) Old Line Funding, LLC and Thunder Bay
Funding, LLC; RBS' (Aa1/Prime-1/A-) Thames
Asset Global Securitization No. 1, Inc.; and
Deutsche Bank's (Aa3/Prime-1/B-) Gemini Securitization Corp.,
LLC, Saratoga Funding Corp., LLC, and Tahoe Funding
DZ BANK'S AUTOBAHN ADDS $60 MILLION REVOLVING LOAN FACILITY
Autobahn Funding Company LLC ("Autobahn"), a partially supported,
multiseller conduit administered by DZ Bank Deutsche Zentral-Genossenschaftsbank
Frankfurt AM MAIN ("DZ Bank," rated A2/Prime-1/C-),
has added a $60 million revolving loan facility to its portfolio.
The facility is established for a company that provides asset-based
financing to its clients.
This transaction is fully supported through a liquidity facility provided
by DZ Bank. With this transaction, Autobahn is authorized
to issue up to $2.7 billion of ABCP.
LLOYDS TSB'S CANCARA ADDS USD 291 MILLION AND EURO 125 MILLION TRANSACTIONS
Cancara Asset Securitisation Limited ("Cancara"), a partially supported,
hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB,"
rated Aaa/Prime-1/A), has added two new transactions to its
In the first transaction, Cancara purchased USD 291 million of senior
notes issued by an Italian SPV and backed by a pool of auto loans originated
by an Italian company operating in the automobile industry. This
transaction benefits from various structural protections including a CP
tenor limitation of 60 days and a cease issuance of ABCP upon the occurrence
of certain performance related triggers. The transaction is partially
supported by a liquidity facility provided by Prime-1-rated
In the second transaction, Cancara purchased Euro 125 million of
senior notes issued by an SPV and backed by a portfolio of senior and
mezzanine loans and high yield bonds. The senior notes are rated
Aaa. This transaction benefits from various structural protections
including a CP tenor limitation of 6 months and a cease issuance of ABCP
upon the downgrade of the notes below A1 by Moody's or AA-
by S&P. The transaction is partially supported by a liquidity
facility provided by Prime-1-rated Lloyds TSB. The
liquidity facility funds for the Face Amount of the notes as long as they
are rated at least Caa2 by Moody's and CCC- by S&P.
With these transactions, Cancara's program-level credit enhancement
was increased by 5% of its commitment for each transaction.
Cancara is authorized to issue up to USD 24 billion of ABCP.
RABOBANK'S MERMAID FUNDING ADDS TWO CREDIT-LINKED NOTES
Mermaid Funding Corp. ("Mermaid"), a partially
supported, Prime-2-rated multiseller program administered
by Rabobank (Aaa/Prime-1/A), has added two credit-linked
note transactions to its portfolio. The first one is in the amount
of $141 million, with a reference entity rated Baa2/Prime-2.
The second transaction is in the amount of $100 million,
with a reference entity rated Baa1/Prime-2.
In each transaction, Mermaid makes a deposit with Rabobank and executes
a swap with Rabo Capital Services, Inc. (unrated),
whose obligations are guaranteed by Rabobank. Throughout the period
of the transaction, Rabobank will pay Mermaid interest on the deposits
on a quarterly basis. The deposit serves as a source of liquidity
for the transaction. The transaction also benefits from an ABCP
tenor limitation of 95 days. In addition, no further ABCP
may be issued if the reference entity is downgraded below Baa2 or Prime-2.
If no credit event occurs with respect to the reference entity (such as
a downgrade of the reference entity below Caa2), Rabobank must pay
the deposit amount back to Mermaid at the end of the transaction.
If a credit event does occur, Mermaid forfeits the deposit amount.
With this transaction, Mermaid is authorized to issue up to $541
million of ABCP.
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