CORRECTION TO HEADLINE AND TEXT: MOODY'S ASSIGNS PRIME-1 RATING TO ROMULUS FUNDING CORPORATION
New York, March 26, 2002 -- Moody's Investors Service has assigned a rating of Prime-1 to the Romulus Funding Corporation (Romulus) asset-backed commercial paper (ABCP) program. Romulus is a newly created ABCP program and the first program sponsored and administered by IntesaBci S.p.A. (IntesaBci) (A1/P-1/B-). JPMorgan Chase Bank (JPMorgan Chase) (Aa2/P-1/B+) will act as a sub-administrator. Romulus is a partially supported multiseller program with an authorized amount of $2 billion and is structured to permit the funding of term and trade receivables and highly-rated asset-backed securities. ABCP may be issued in the US and European markets with a maturity of up to 180 days.
RATING OPINION: The Prime-1 rating assigned to Romulus is based on, among other factors, the following:
* The credit quality of the assets, which will be highly-rated or subject to prior review by Moody's;
* Dynamic program-wide credit enhancement equal to at least 8% of assets other than highly-rated assets;
* Liquidity support for the face amount of ABCP outstanding;
* The ability of IntesaBci as administrator and JPMorgan Chase as a sub-administrator of the program;
* Structural protections to ensure the bankruptcy-remoteness of Romulus.
ASSETS: Each purchase by Romulus of an eligible asset (other than highly-rated eligible assets) will be subject to prior review by Moody's. Assets purchased on a post review basis constitute high investment grade rated securities, rated Aa3 or higher. In case of securities downgrade, the credit enhancement shall be increased appropriately.
Moody's has reviewed the investment guidelines, credit enhancement, liquidity and hedging arrangements for these asset types and determined that they are consistent with a Prime-1 rating. IntesaBci as administrator and JPMorgan Chase as sub-administrator are both required to daily monitor the quality of the conduit's portfolio, and respond appropriately to any asset downgrades.
CREDIT ENHANCEMENT: Program credit enhancement consists of an irrevocable multi-currency Letter of Credit. IntesaBci will act as a program credit enhancement provider as well as a liquidity provider. The amount of the credit enhancement is dynamic and fluctuates with the credit quality and composition of Romulus' asset portfolio, subject to a floor amount of $20 million.
LIQUIDITY: Each asset purchased by Romulus will be supported by one or more liquidity facilities, generally in the form of liquidity loan agreements or liquidity asset purchase agreements. The aggregate amount of liquidity commitments related to such assets will generally be sufficient to cover the face amount of ABCP issued to fund the asset. IntesaBci will be Romulus' initial liquidity provider.
HEDGING: IntesaBci as administrator and JPMorgan Chase as sub-administrator are required to ensure that Romulus enters into appropriate hedging arrangements to cover interest rate and currency risk. The hedge counterparty will be IntesaBci or any other entity that has ratings commensurate with the rating on the Romulus ABCP. IntesaBci as a Hedging Agent indemnifies the conduit against failures to enter into appropriate hedge agreements.
PARTIES TO THE TRANSACTION: IntesaBci is the largest banking group in Italy, with assets in excess of EUR 316 billion as of September 30, 2001. IntesaBci has a long-term bank deposit rating of A1, and a short-term bank deposit rating of P-1. This is their first ABCP program.
JPMorgan Chase is one of the largest banks in the US, with $435 billion in assets as of September 30, 2001. It has a long-term bank deposit rating of Aa2 and short-term rating of Prime-1 by Moody's. The bank's financial strength rating is B+. JPMorgan Chase will act as sub-administrator and perform most of administrative operational duties. JPMorgan Chase acts as administrator for seven of its own conduits, with over $30 billion in ABCP outstanding.
A detailed description of this and other asset-backed commercial paper programs may be found in MOODY'S ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, published quarterly.
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