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25 Apr 2007
Moody's ABCP rating actions for the seven-day period ended April 23, 2007
New York, April 25, 2007 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD APRIL 17, 2007 THROUGH APRIL 23,
DEUTSCHE BANK'S RHEINGOLD ADDS EURO 151.2 MILLION NOTE FACILITY
Rheingold Securitisation Limited ("Rheingold"), a partially
supported multiseller conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/B-),
has added a Euro 151.2 million funding note facility to its portfolio.
The underlying assets in this transaction are CDO notes.
This transaction is fully supported by a liquidity facility provided by
Deutsche Bank. The liquidity facility is sized at 103% of
the maximum amount.
With this transaction, Rheingold is authorized to issue up to approximately
Euro 6.8 billion of ABCP.
BARCLAYS' SHEFFIELD ADDS TWO NOTES TOTALING STERLING 352.2
Sheffield Receivables Corp. ("Sheffield"), a
partially supported, multiseller ABCP program sponsored by Barclays
Bank PLC (Aa1/Prime-1/B+), has added two notes totaling
Sterling 352.2 million: a Sterling 328.66 million
Aaa-rated note and a Sterling 23.54 million Aa2-rated
note. Both notes are backed by dealer floorplan receivables originated
by a non-investment-grade-rated automobile manufacturer.
With the purchase of the Aa2-rated note, Sheffield's
program-level credit enhancement increased by 10% of the
purchase commitment. Sheffield did not increase its program-level
credit enhancement with the purchase of the Aaa-rated note due
to the high credit quality of the note. Sheffield is now authorized
to issue up to $33.952 billion of ABCP, and has $2.338
billion in program-level credit enhancement.
BARCLAYS' STRATFORD ADDS STERLING 412.8 MILLION Aaa-RATED
Stratford Receivables Company LLC ("Stratford"), a partial
liquidity, extendible note, multiseller ABCP program sponsored
by Barclays Bank PLC (Aa1/Prime-1/B+), has added a Sterling
412.8 million Aaa-rated note to its portfolio. The
note is backed by dealer floorplan receivables originated by a non-investment-grade-rated
automobile manufacturer. This transaction is supported by a bank
liquidity facility in the amount of 6.3% of the transaction.
The liquidity facility is provided by Barclays Bank. No incremental
program-level credit enhancement was needed for this transaction
due to high credit quality of the asset.
Stratford is now authorized to issue up to $13.394 billion
of extendible notes and has $10.5 million in program-level
ROYAL BANK OF SCOTLAND'S TAGS ADDS $1.47 BILLION TRANSACTION
Thames Asset Global Securitization No.1, Inc. ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc ("RBS," rated Aaa/Prime-1/B+),
has added a $1.47 billion transaction that provides financing
to a private equity fund (the Fund). The assets backing the transaction
are interests in uncalled capital commitments to the Fund.
The asset purchase is in the form of a revolving credit facility provided
by TAGS to the Fund. When the Fund draws on the facility,
TAGS will issue CP to fund its obligations as the lender. The transaction
has approximately 17% transaction-specific credit enhancement,
and benefits from a partially supported liquidity facility provided by
Prime-1-rated RBS. Under the liquidity facility,
RBS agrees to purchase all advances made by TAGS under the facility if
certain events occur. In addition, the transaction has various
structural protections to ensure that investors are protected upon deterioration
in the performance of the facility
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 $21
billion of ABCP, and maintains a program-level credit enhancement
equal to 5% of outstanding ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY, OLD LINE AND WHITE POINT
AMEND PROGRAM; OLD LINE AND THUNDER BAY AMEND THREE TRANSACTIONS
Thunder Bay Funding LLC ("Thunder Bay"), Old Line Funding LLC ("Old
Line") and White Point Funding Inc. ("White Point"),
all partially supported, multiseller ABCP conduits sponsored by
Royal Bank of Canada ("RBC," Aaa/Prime-1/B+),
have amended their program documents to allow all three conduits to fund
assets through a bankruptcy-remote, feeder special purpose
Previously, only Thunder Bay had the ability to fund assets through
this purchasing SPV. With this amendment, Old Line and White
Point now have the ability to also purchase assets through the SPV.
RBC's conduits may now all purchase assets through this SPV.
This amendment was necessary so that Old Line may finance non-USD
denominated assets with USD denominated ABCP through the SPV. All
non-USD denominated transactions that are added to Old Line will
be prior reviewed by Moody's.
Following Old Line's amendment to fund non-USD denominated
assets, Old Line and Thunder Bay now co-fund an existing
credit card transaction, which was previously funded only in Thunder
Bay through the purchasing SPV. The transaction is a GBP 409.5
million Class A note. The transaction remains partially supported
by two liquidity facilities provided by RBC. The liquidity facilities
are at the conduit level.
Old Line and Thunder Bay also co-fund two mortgage warehouse facilities
(one backed by Dutch receivables and the other backed by German receivables)
with a combined maximum commitment limit of Euro 800 million for both
conduits. The warehouse facilities were previously funded only
by Thunder Bay through the purchasing SPV. Now that Old Line will
also be funding the facilities, Old Line has a Euro 525 million
maximum commitment in the Dutch facility and a Euro 300 million maximum
commitment in the German facility, while Thunder Bay has a Euro
275 million maximum commitment in the Dutch facility and a Euro 150 million
maximum commitment in the German facility. In addition, the
liquidity facilities were moved from the SPV level to the conduit level.
This transaction remains partially supported by liquidity.
Thunder Bay has $8.6 billion in total purchase commitments,
with $5.5 billion in outstandings and $908 million
in program-level credit enhancement. Old Line has $13.2
billion in total purchase commitments, with $9.3 billion
in outstandings and $1.3 billion in program-level
credit enhancement. White Point has $1.4 billion
in total purchase commitments, with $1.4 billion in
outstandings and $137 million program-level credit enhancement.
ROYAL BANK OF CANADA'S THUNDER BAY AMENDS INTEREST IN TWO Aaa-RATED
Thunder Bay Funding, LLC ("Thunder Bay"), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC,"
rated Aaa/Prime-1/B+), has amended its interest in two
existing Aaa-rated CLO notes.
The first transaction is a $76.8 million investment in a
Aaa-rated Class A-1 CLO note, and the second is a
$40 million interest in a $840 million Aaa-rated
CLO note. The liquidity facilities for both transactions were amended
to make them consistent with the liquidity funding formula and out to
liquidity funding used in amended and newly-funded CLOs in Thunder
Bay and White Point Funding, Thunder Bay's sister conduit.
With this transaction, Thunder Bay has $8.6 billion
in purchase commitments, with $5.5 billion of outstanding
ABCP and $908 million in program-level credit enhancement.
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
No Related Data.
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