Moody's ABCP rating actions for the seven-day period ended June 4, 2007
New York, June 07, 2007 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 29, 2007 THROUGH JUNE 4,
2007:
THREE PRIME-1-RATED ABCP CONDUITS PURCHASE INTEREST IN $705
MILLION SENIOR NOTE BACKED BY DEALER FLOORPLAN LOANS
A syndicate of banks has participated in a $705 million senior
note backed by dealer floorplan loans. Each participating conduit
has acquired an interest in the note. The note benefits from transaction-specific
credit enhancement sized at 25.5% in the form of subordination
and a reserve account.
The following Prime-1-rated ABCP conduits participated in
the $705 million senior note:
Societe Generale's Antalis S.A./Antalis
U.S. Funding Corp. (together, "Antalis") purchased
a Euro 235 million share of the note. Antalis increased its program-level
credit enhancement by 6% of its purchase limit. This transaction
is partially supported by a liquidity facility provided by Prime-1-rated
Societe Generale. The liquidity facility
funds for non-defaulted assets.
ABN AMRO's Tulip Funding Corp. and Tulip Euro Funding
Corp. (together, "Tulip"), purchased a Euro 235 million
share of the note. Tulip increased its program-level credit
enhancement by 8% of its purchase commitment. This transaction
is partially supported by a liquidity facility provided by Prime-1-rated
ABN AMRO Bank. The liquidity facility funds for non-defaulted
assets.
CALYON'S LMA S.A. ("LMA," also known
as Liquidites de Marche), purchased a Euro 235 million
share of the note. In LMA, the transaction is fully supported
by a liquidity line provided by Prime-1-rated Calyon.
SOCIETE GENERALE'S ANTALIS ADDS EURO 40 MILLION TRADE RECEIVABLE TRANSACTION
Antalis S.A./Antalis US Funding Corp. (together,
"Antalis"), a partially supported, multiseller programme sponsored
by Societe Generale ("SG," rated Aa1/Prime-1/B),
has financed a Euro 40 million trade receivable transaction.
In this transaction, Antalis makes a deposit to fund senior notes,
up to Euro 40 million. The senior notes are backed by a pool of
trade receivables originated by an Italian company operating in the food
industry. This transaction is partially supported by a liquidity
facility provided by SG. In addition, the transaction benefits
from various structural protections such as an ABCP tenor limitation of
95 days, CP cease issuance triggers based on the pool performance,
and a dynamic credit enhancement.
With this transaction, Antalis' programme-level credit enhancement
was increased by 6% of the commitment. Antalis has approximately
Euro 238.3 million in programme-level credit enhancement
and is authorized to issue approximately Euro 6.1 billion of ABCP.
LLOYDS TSB'S CANCARA ADDS USD 900 MILLION OF HIGHLY RATED BONDS BACKED
BY HOME EQUITY LINES OF CREDIT
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 USD 900 million of Aa1-rated
notes backed by a pool of home equity lines of credit to its portfolio.
In this transaction, Cancara is purchasing Aa1-rated notes
issued by a trust and backed by a portfolio of home equity lines of credit.
This transaction benefits from various structural protections including
a short maximum CP tenor 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 the note principal balance as long as the notes 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 USD 45 million of its commitment. Cancara is authorized
to issue up to USD 25 billion of ABCP.
IXIS CIB'S DIRECT FUNDING ADDS USD 1 BILLION CDS TRANSACTION
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 USD 1 billion interest in a portfolio of highly rated securities.
The asset addition takes the form of a subscription by Direct Funding
to a credit derivative transaction, by which it provides protection
to its counterparty, IXIS, against certain credit events arising
in connection with the underlying Aaa-rated securities.
These credit events are linked to the bankruptcy or downgrade of the relevant
security below Aa2. Investors have very limited exposure to rating
transition.
Direct Funding will use the proceeds from its ABCP issuance to fund a
cash collateral account, which is pledged to the benefit of the
party that is purchasing credit protection.
The affirmation of the conduit's Prime-1 rating is also based
on the rating of IXIS, as credit derivative counterparty,
through its commitment to release the cash collateral associated with
the credit derivative, when required.
Direct Funding's program-level credit enhancement has not
been increased following the addition of 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.
PNC BANK'S MARKET STREET ADDS $500 MILLION NOTE BACKED BY AUTO
LOAN RECEIVABLES
Market Street Funding LLC ("Market Street"), a partially supported,
multiseller ABCP conduit sponsored by PNC Bank (Aa3/Prime-1/B),
has acquired a $500 million note backed by an amortizing pool of
sub-prime retail auto loans.
This transaction benefits from transaction-specific credit enhancement
in the form of a 2% cash reserve account, overcollateralization
sized at a minimum of 9%, and excess spread. This
transaction is partially supported by a liquidity facility provided by
PNC Bank.
With this transaction, Market Street's program-level
credit enhancement was increased by 10% of its commitment.
Market Street has about $6.76 billion in total purchase
commitments and $635.1 million in program-level credit
enhancement.
CERES CAPITAL'S MICA EURO ADDS SECOND TRANSACTION
Mica Funding Ltd. ("Mica Euro"), a fully 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 its second global swap facility. The swap facility permits
Mica Euro to purchase up to $3 billion of securities. The
facility is fully supported by a total return swap with a Aaa/Prime-1-rated
financial institution.
Mica Euro does not have program-level credit enhancement.
Mica Euro has a program limit of $20 billion and is authorized
to issue ECP in multiple currencies along with USCP and SLNs through Mica
Funding LLC.
FORTIS BANK'S SCALDIS ADDS USD 50 MILLION Aaa-RATED SENIOR FACILITY
Scaldis Capital Limited and Scaldis Capital LLC (together, "Scaldis"),
a partially supported, hybrid ABCP conduit sponsored by Fortis Bank
S.A./N.V. (Aa2/Prime-1/B-),
has added a USD 50 million interest in a Aaa-rated senior revolving
facility from a CLO. This transaction is partially supported by
a liquidity facility provided by Fortis Bank.
With this transaction, Scaldis' programme-level credit enhancement
was increased by 5% of the facility limit. Scaldis is authorised
to issue up to USD 28 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS ADDS EURO 250 MILLION TRANSACTION
Thames Asset Global Securitization No.1, Inc. ("TAGS"),
a partially supported, multiseller conduit sponsored by The Royal
Bank of Scotland plc (Aaa/Prime-1/B+), has added a Euro
250 million portfolio of Spanish mortgage loans. The loans are
debt consolidation mortgages originated across both the prime and non-conforming
sectors and secured by first mortgages on the borrowers' primary
residence. TAGS will issue ABCP to subscribe for discounted notes
("Notes") issued by a special purpose vehicle established
for this transaction which will use the subscription proceeds to purchase
the mortgage loans.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated RBS, whereby RBS agrees to purchase
the Notes from TAGS if certain events occur. This transaction benefits
from a minimum of 7% transaction-specific credit enhancement
in the form of over-collateralization of the mortgage loan portfolio.
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.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE WITHDRAWN DURING THE PERIOD
MAY 29, 2007 THROUGH JUNE 4, 2007:
CDR FINANCIAL PRODUCTS' CEDAR FINANCE MASTER TRUST ABCP PROGRAM
RATING WITHDRAWN
Moody's has withdrawn the Prime-1 rating of Cedar Finance Master
Trust, a partially supported, multiseller ABCP program administered
by the CDR Financial Products. As of May 30, 2007,
the program had no ABCP outstanding.
IAT'S SUPERLUMINA FUNDING N.A., LLC ABCP PROGRAM
RATING WITHDRAWN
Moody's has withdrawn the Prime-1 rating of SuperLumina Funding
N.A., LLC, a partially supported, multiseller
ABCP program sponsored by International Asset Transactions LLC ("IAT")
and administered by the Deutsche Bank Trust Company Americas (Aa3/Prime-1/C).
As of May 30, 2007, the program had no outstanding ABCP.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Jesse DeSalvo
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653