Moody's ABCP rating actions for the seven-day period ended May 21, 2007
New York, May 23, 2007 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
MAY 15, 2007 THROUGH MAY 21, 2007:
MOODY'S ASSIGNS PRIME-1 RATING TO ALADDIN CAPITAL'S OTTIMO FUNDING
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper ("ABCP") issued by Ottimo Funding Ltd.
("Ottimo"), a newly established ABCP program sponsored and administered
by Aladdin Capital Management LLC ("Aladdin," unrated). Deutsche
Bank Trust Company Americas ("DB," Aa3/Prime-1/C) will act
as program sub-administrator, collateral agent, issuing
and paying agent and indenture trustee. Ottimo has a program limit
of $3 billion.
Ottimo will issue Secured Liquidity Notes (SLNs), a form of extendible
ABCP, and use the proceeds to invest in certain Agency-backed
and Aaa-rated private label mortgage securities. In addition,
Ottimo has the ability to issue variable funding notes and/or subordinate
term notes in the future.
The Prime-1 rating assigned to Ottimo's SLNs is based on,
among other factors, the following: (i) the credit quality
of the Agency-backed and Aaa-rated private label mortgage-backed
securities, (ii) credit enhancement, provided by overcollateralization,
sized to cover the market value risk of liquidating the collateral over
a 10 business day period, (iii) liquidity provided by the ability
to extend the note maturity for an additional 30 business days if notes
cannot be rolled over, and (iv) the capabilities of Aladdin as administrator
and the capabilities of DB as sub-administrator, issuing
and paying agent, and collateral agent.
For further details, please see Moody's press release dated May
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 15, 2007 THROUGH MAY 21,
LLOYDS TSB'S CANCARA ADDS EUR 100 MILLION CLO TRANSACTION
Cancara Asset Securitisation Limited ("Cancara"), a partially supported,
hybrid conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," rated
Aaa/Prime-1/B+), has added a EUR 100 million CLO transaction
to its portfolio.
In this transaction, Cancara is purchasing senior Variable Funding
Notes issued by a 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 Aa3 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
Caa3 by Moody's or CCC- by S&P.
With this transaction, Cancara's program-level credit enhancement
was increased by 5% of its commitment. Cancara is authorized
to issue up to USD 25 billion of ABCP.
COMMERZBANK'S KAISERPLATZ FUNDING ADDS GBP 205 MILLION NOTE FACILITY
Kaiserplatz Funding Limited ("Kaiserplatz Funding"), a partially
supported, multiseller ABCP conduit sponsored by Commerzbank AG
(Aa3/Prime-1/C+), has added a revolving GBP 205 million
dual currency funding note facility to its portfolio. The note
is the Class A-1 tranche issued by Glastonbury Finance 2007-1
PLC, which uses the funds to acquire a pool of CMBS notes denominated
in Pound Sterling and Euro originated by Eurohypo AG.
This transaction will be deemed a "LBU" transaction within Kaiserplatz
Funding and will not benefit from the conduit's programme-level
With this transaction, Kaiserplatz Funding is authorized to issue
up to Euro 7.4 billion of ABCP.
CALYON'S LMA ADDS EUR 220.5 MILLION TRADE RECEIVABLES TRANSACTION
LMA S.A. ("LMA," also known as Liquidites de Marche)
has added one new transaction to its portfolio. This transaction
refinances a pool of auto loans originated by an Italian car manufacturer
for an asset purchase limit of EUR 220.5 million.
LMA is a fully supported, multiseller ABCP program sponsored and
administered by Calyon (Aa1/Prime-1/C+). LMA uses the
proceeds of its Billets de Tresorerie and Euro commercial paper ("Euro
ABCP") to fund the purchase of FCC units, asset-backed securities
and bonds issued by corporate entities.
The Prime-1 rating assigned to LMA's Billets de Tresorerie and
Euro ABCP is based primarily on: (i) the full liquidity support
provided by Prime-1-rated banks through transaction-specific
purchase and sale agreements, which allows for timely repayment
of maturing Billets de Tresorerie and Euro ABCP, (ii) the integrity
of the conduit's structure, and (iii) the operational ability of
Calyon as the program administrator. Currently, LMA's liquidity
facility is provided by a syndicate of seven Prime-1-rated
LMA is authorized to issue up to EUR 8.78 billion, USD 324.25
million and GBP 908.12 million of ABCP.
CERES CAPITAL'S MICA ADDS NEW BORROWERS TO LOAN FACILITY
Mica Funding LLC ("Mica"), a partially supported, multiseller
ABCP conduit sponsored by Ceres Capital Partners, LLC (unrated,
formerly named Stanfield Global Strategies) and administered by Deutsche
Bank Trust Company Americas (Aa3/Prime-1/C), has added two
new borrowers to an existing $10 billion loan facility.
With the additional borrowers, Mica may now lend funds to six unrated
loan borrowers. As the borrowers are all unrated, each loan
borrower will benefit from a guaranty provided by a Aa3/Prime-1-rated
financial institution. Each loan facility is structured to be fully
Mica has no program-level credit enhancement; however,
all but two transactions are fully supported by liquidity facilities or
total rate of return swaps. Mica has a program limit of $20
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