Moody's ABCP rating actions for the seven-day period ended June 18, 2007
New York, June 20, 2007 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 12, 2007 THROUGH JUNE 18,
WESTLB'S COMPASS ADDS EUR0 60 MILLION TRADE RECEIVABLE FACILITY
Compass Securitisation Limited and Compass Securitization LLC (together
"Compass"), a partially supported, multiseller ABCP conduit
sponsored and administered by WestLB AG (A1/Prime-1/D-),
has added a Euro 60 million trade receivable facility to its portfolio.
The receivables in the facility are denominated in Euros and are originated
by a major machine manufacturer and its subsidiaries in Germany,
France and Italy. This transaction is also financed with Landesbank
Hessen Thuringen GZ's Opusalpha Funding Limited, a partially
supported multiseller ABCP conduit administered by Bedell Trust UK Limited
Transaction-specific credit enhancement is provided by the combination
of a first loss reserve, a dilution reserve, and a cost reserve.
This transaction is fully supported by the combination of a liquidity
facility and credit insurance policy. The liquidity facility is
provided by Prime-1-rated WestLB, with a commitment
amount sized at 102% of principal CP funded by Compass.
The liquidity facility funds for non-defaulted receivables,
while the credit insurance provided by Coface Kreditversicherungs AG (Aa3/Prime-1)
covers all defaulted receivables.
With this transaction, Compass is authorized to issue up to USD
15 billion in ABCP.
PNC BANK'S MARKET STREET INCREASES INTEREST IN EXISTING Aaa-RATED
Market Street Funding LLC ("Market Street"), a partially supported,
multiseller ABCP conduit sponsored by PNC Bank (Aa3/Prime-1/B),
has increased its interest to $125 million from $75 million
in a Aaa-rated variable funding note ("VFN").
The VFN is backed by an investment portfolio comprised of leveraged loans,
high yield bonds, subordinated loans and senior unsecured loans.
A liquidity facility provided by PNC Bank funds for maturing ABCP so long
as the VFN is rated at least Caa2.
With this transaction, Market Street has $6.59 billion
in total purchase commitments and $635.1 million in program-level
ABN AMRO'S ORCHID ADDS FOUR TRANSACTIONS
Orchid Funding Corp. ("Orchid"), a partially supported,
multiseller ABCP conduit administered by ABN AMRO Bank N.V.
("ABN AMRO," rated Aa2/Prime-1/B-), has added
four transactions to its portfolio.
All four transactions were purchased through Orchid Asset Securitization
Investment Services ("OASIS"). Orchid issues ABCP and uses the
proceeds to acquire the notes issued by OASIS, which in turn uses
the proceeds to purchase the underlying floating-rate notes.
The first transaction is a USD 50 million Aaa-rated and USD 250
million Baa1-rated notes backed by diversified payment rights flows
originated by a major Brazilian financial institution.
The second transaction is a USD 23.2 million A3-rated notes
backed by mortgage-backed securities originated by a major Kazakhstani
The third transaction is a USD 150 million Baa2-rated notes backed
by diversified payment rights flows originated by a major Turkish financial
The fourth transaction is a USD 142 million notes backed by auto loans
and installment sales, originated by a major Russian financial institution.
The notes are unrated but will benefit from the liquidity facility as
will the other three transactions.
All four transactions are partially supported by liquidity facilities
provided by ABN AMRO to OASIS. The structural protection in the
underlying transactions, together with a partially supported liquidity
structure, allows the notes to benefit from a draw on the liquidity
facility under different scenarios.
This is the first time where Orchid has taken asset exposures in Brazil,
Kazakhstan and Russia. With these transactions, Orchid may
issue up to approximately USD 2.7 billion of ABCP.
HSBC'S REGENCY ADDS EURO 275 MILLION TRADE RECEIVABLE TRANSACTION
Regency Markets No.1 LLC ("Regency"), a partially supported,
multiseller ABCP conduit administered by HSBC Bank plc (Aa1/Prime-1/B),
has added a Euro 275 million trade receivables transaction to its portfolio.
In this transaction, Regency is purchasing FCC units backed by a
pool of trade receivables originated by a French company operating in
the water industry. This is a co-purchase transaction with
Direct Funding S.A. The transaction has also been financed
with Bryant Park Funding and Direct Funding S.A. for five
years. The total facility limit is Euro 550 million.
Transaction-specific credit enhancement is provided in the form
of overcollateralisation, which is calculated dynamically,
with a floor of 4.5%. In addition, Regency
has added 5% programme-level enhancement for the purchase
of this transaction. The transaction is partially supported by
a liquidity facility provided by Prime-1-rated HSBC France.
The liquidity facility is sized at 102% of the purchase commitment.
With this transaction, Regency may issue up to USD 11.6 billion
SUNTRUST'S THREE PILLARS ACQUIRES $150 MILLION INTEREST IN MIDDLE
Three Pillars Funding Company LLC ("Three Pillars"), a partially
supported, multiseller ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+)
has acquired a $150 million interest in variable funding certificates
primarily backed by syndicated middle market loans. The loans are
originated by an unrated finance company. This transaction is fully
supported by a liquidity facility provided by SunTrust.
With this transaction, Three Pillars' program-level credit
enhancement increased by 10% of its purchase commitment.
Three Pillars has $7.6 billion in total purchase commitments
and $683.4 million in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
JUNE 12, 2007 THROUGH JUNE 18, 2007:
CARMEL MOUNTAIN FUNDING TRUST RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of Carmel Mountain Funding Trust, a partially supported single-seller
ABCP program administered by the Accredited Home Lenders, Inc (unrated).
As of May 25, 2007, all outstanding ABCP had been repaid in
full and there will be no further issuance 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