Moody's ABCP rating actions for the seven-day period ended April 16, 2007
New York, April 18, 2007 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD APRIL 10, 2007 THROUGH APRIL 16,
DZ BANK'S AUTOBAHN ADDS $100 MILLION STUDENT LOAN FACILITY
Autobahn Funding Company LLC ("Autobahn"), a partially-supported
multiseller ABCP conduit sponsored by Deutsche Zentral-Genossenschaftsbank
AG (DZ Bank, A2/Prime-1/C-), has added a $100
million funding facility for an unrated originator of private student
loans. A liquidity facility provided by DZ Bank, sized at
102% of the transaction size, fully supports any borrowing
under the facility. The liquidity facility may be drawn to repay
maturing ABCP so long as Autobahn is not in bankruptcy.
Autobahn has no program-level credit enhancement. With this
transaction, Autobahn is authorized to issue up to $2.8
billion of ABCP.
PARAMAX'S CATAPULT-PMX ADDS $10 BILLION REVERSE REPO FACILITY
Catapult-PmX Funding LLC ("Catapult"), a fully-supported,
multiseller ABCP conduit sponsored by Paramax Capital Markets, LLC
(unrated) and administered by LaSalle Bank National Association (Aa3/Prime-1/B-),
has added a $2 billion funding facility. The facility permits
Catapult to enter into reverse repurchase agreements ("reverse repos")
with various subsidiaries of a Aa3/Prime-1 financial institution
for a variety of financial assets. Catapult issues extendible notes
to fund purchases under the repo, and repayment of those notes on
their legal final maturity is guaranteed by the Aa3/Prime-1-rated
parent. The repurchase price under each reverse repo equals the
face amount of ABCP issued by Catapult plus its funding costs.
Catapult has no program-level credit enhancement, and all
transactions must be fully supported under the terms of the funding agreement
or a support facility.
IXIS CIB'S DIRECT FUNDING ADDS EURO 154 MILLION CREDIT DEFAULT SWAP
Direct Funding S.A. ("Direct Funding"),
a partially supported, multiseller ABCP conduit sponsored by IXIS
CIB ("IXIS," rated Aa2/Prime-1/C), has
added a Euro 153.55 million asset-backed floating-rate
note backed by Italian residential mortgages to its portfolio.
The asset purchase is in the form of a subscription by Direct Funding
to a credit derivative transaction, by which it provides protection
to IXIS (as counterparty) against certain credit events arising in connection
with a pool of residential mortgages. The risk transferred to investors
is that net losses, defined as 29.6% of defaulted
receivables, exceed the transaction-specific credit enhancement
sized at 7.75%. Overall, this equates to approximately
26% enhancement available to cover defaulted receivables.
Direct Funding will use the proceeds from its ABCP issuance to fund a
cash deposit account, which is pledged for the benefit of the party
buying credit protection.
The affirmation of the conduit's Prime-1 rating is also based
on the rating of IXIS, as credit derivative counterparty and liquidity
provider, through its commitment to release the cash collateral
associated with the credit derivative, when required.
Direct Funding's program-level credit enhancement was not
increased for this transaction. With this transaction, Direct
Funding is authorized to issue up to Euro 5 billion of ABCP, and
its program-level credit enhancement remains at Euro 1 million.
COMMERZBANK'S KAISERPLATZ FUNDING AMENDS EXISTING TRADE RECEIVABLE TRANSACTION
Kaiserplatz Funding Limited ("Kaiserplatz Funding"), a partially
supported, multiseller conduit sponsored by Commerzbank AG (A2/Prime-1/C+),
has amended an existing trade receivable transaction in its portfolio.
The amendment allows for the inclusion of a new pool consisting of Swiss
trade receivables denominated in Euros. The receivables will be
originated by a French company affiliated with the existing sellers.
This transaction was added to Kaiserplatz Funding's portfolio in
With the inclusion of a new pool of assets, the transaction size
has been increased from Euro 150 million to Euro 250 million. This
transaction remains partially support by liquidity.
With this transaction amendment, Kaiserplatz Funding is authorized
to issue approximately Euro 7.1 billion of ABCP.
DEUTSCHE BANK'S RHEINGOLD ADDS GBP 175 MILLION NOTE FACILITY
Rheingold Securitisation Limited ('Rheingold'), a partially
supported, multiseller conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/B-),
has added a GBP 175 million funding note facility to its portfolio.
The underlying assets in this transaction are residential mortgage loans
to obligors in the United Kingdom.
This transaction is fully supported by a liquidity facility provided by
Deutsche Bank. The liquidity facility is sized at 102% of
the maximum amount.
With this transaction, Rheingold is authorized to issue up to approximately
Euro 6.8 billion of ABCP.
INTESA SANPAOLO'S ROMULUS ADDS EURO 103 MILLION RECEIVABLES PURCHASE
Romulus Funding Corp. ("Romulus"), a partially
supported, hybrid conduit sponsored and administered by Intesa Sanpaolo
S.p.A ("Intesa Sanpaolo," rated Aa2/Prime-1/B-),
has added a Euro 103 million receivables purchase transaction to its portfolio.
In this transaction, Romulus lends its CP proceeds to finance the
purchase of receivables originated by an Italian political party.
Transaction-specific credit enhancement is in the form of overcollateralization.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated Intesa Sanpaolo. Investors also
benefit from structural protections in the transaction such as a cease
CP issuance if the Republic of Italy is downgraded below A3 by Moody's.
With this transaction, Romulus' programme-level credit
enhancement was increased by 8% of the purchase commitment.
Romulus is authorized to issue up to USD 1.5 billion of ABCP.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
APRIL 10, 2007 THROUGH APRIL 16, 2007:
CADENZA FUNDING CORP. RATING WITHDRAWN
Moody's has withdrawn the Prime-1 rating of Cadenza Funding Corp.
("Cadenza"), a fully supported Japanese Yen asset-backed
commercial paper (ABCP) program sponsored by the Bank of Tokyo-Mitsubishi
UFJ, Ltd. ("BTMU," A1/Prime-1/D+).
The rating withdrawn was due to business reason. BTMU changed the
funding instrument of the program into Japanese Yen asset based lending
(ABL). As of April 12, 2007, there is no ABCP outstanding
and there will be no further issuances under this program.
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