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27 Oct 2003
New York, October 27, 2003 -- THE FOLLOWING ABCP CONDUIT WAS RATED PRIME-1 DURING THE PERIOD
OCTOBER 16, 2003 THROUGH OCTOBER 23, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO EXTENDIBLE ABCP OF AMERIQUEST'S
MAIN STREET WAREHOUSE FUNDING TRUST
Moody's has assigned a rating of Prime-1 to up to $1 billion
of extendible ABCP, known as secured liquidity notes ("SLNs"),
to be issued by Main Street Warehouse Funding Trust ("Main Street") as
well as a rating of Baa2 to the $42 million variable rate subordinated
notes ("Subordinated Notes") to be issued by Main Street. Main
Street also has the ability to issue Medium Term Notes (MTNs) with an
expected rating of Aaa. Ameriquest Mortgage Company ("Ameriquest")
and its subsidiaries will originate the loans purchased by Main Street.
Ameriquest will service all loans purchased by Main Street. It
will also act as administrator of the conduit and manage its day-to-day
Main Street is a single-seller, non-prime residential
mortgage loan warehouse facility sponsored by Ameriquest. Main
Street will fund the purchase of non-prime mortgage loans originated
or purchased by Ameriquest, from the proceeds of the SLNs,
MTNs, and Subordinated Notes on a revolving basis. As the
portfolio of purchased mortgage loans increases, pools of the non-prime
mortgages will be removed by securitization or whole loan sale and replaced
with new originations. The Subordinated Notes are subordinated
to both the SLNs and the MTNs. The SLNs issued by Main Street are
short-term debt with an expected maturity of up to 180 days,
but which may be extended up to an additional 180 days under certain conditions.
The Prime-1 rating assigned to Main Street's SLNs was based on,
and the Aaa rating assigned to the MTNs will be based on, among
other factors, the expected performance of the mortgage loans;
the credit enhancement provided by a reserve fund equal to 2% of
the authorized amount of the program, in addition to 4% subordination
of the Baa2-rated Subordinated Notes for the SLNs, and 5.5%
subordination of the Baa2-rated Subordinated Notes for the Aaa
MTNs. In addition, the ratings take into account the market
value risk protection of the collateral through a swap with Bank of America
N.A.(Aa1/Prime-1/A-), and other Prime-1-rated
swap counterparties; a commitment from Bank of America N.A.
(Aa1/Prime-1/A-), acting as a committed buyer of the
mortgages, to purchase non-delinquent and non-defaulted
collateral; and structural protections, including a requirement
to cease issuing SLNs and purchasing mortgage loans if the portfolio is
not in compliance with aging guidelines or if the program credit enhancement
is not at the required level.
The quality of the non-prime mortgages purchased by Main Street
is controlled through strict eligibility criteria and portfolio concentration
limits to ensure a well-diversified loan portfolio. A majority
of the loans are required to be newly originated and each purchased loan
must be sold or securitized within 1 year from date of acquisition.
Liquidity support is provided through a combination of a committed buyer,
Bank of America N.A., who is obligated to make a bid
on non-delinquent or non-defaulted collateral as and when
required along with proceeds of a market value swap, provided by
Bank of America N.A. and other Prime-1-rated
swap counterparties, for non-delinquent or non-defaulted
collateral. The combination of a required liquidation of mortgages
in the pool upon a failure to reissue SLNs at their initial maturity of
up to 180 days or during the subsequent 180 day extension period,
plus the committed buyer arrangement and market value swap, is structured
to refund the SLNs by their legal final maturity of up to 360 days.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD OCTOBER 16, 2003 THROUGH OCTOBER
BRYANT PARK ADDS $200 MILLION OF GOVERNMENT CONTRACT RECEIVABLES
HSBC's Bryant Park Funding LLC, an ABCP program sponsored and administered
by HSBC Bank USA (Aa3/Prime-1/B-), added a $200
million facility backed by a note issued out of an unrated trust.
The note is backed by service contracts between the U.S.
Government, for the benefit of the U.S. Navy and Marine
Corp.; and a service company whose parent is rated Baa3.
The service company specializes in information solutions, management
consulting, systems development and integration and business-to-business
e-commerce support. It also provides custom applications
software programming services. The facility is fully supported
by liquidity provided by Prime-1-rated HSBC. Also,
program-wide credit enhancement has been increased by 8%
of outstanding ABCP for this transaction.
BANK ONE'S FALCON AMENDS PROGRAM DOCUMENTS
Moody's has affirmed the Prime-1 rating of Bank One's (Aa2/Prime-1/B+)
Falcon Asset Securitization Corporation ("Falcon"), after several
program amendments. On December 1, 2003, the existing
subordinated term loan that serves as a portion of the conduit's program
credit enhancement will be replaced by a $450 million letter of
credit issued by Bank One. The letter of credit will be irrevocable
and will have no conditions precedent to funding. Falcon's program
credit enhancement will continue to be sized at 10% of ABCP outstanding.
Also, the conduit's uncommitted swing line is being increased to
$25 million from $10 million. Falcon is authorized
to issue $23 billion of ABCP and as of October 15, 2003,
had over $11.5 billion in ABCP outstanding.
DEUTSCHE BANK'S GEMINI SECURITIZATION PURCHASES $150 MILLION SHARE
OF TRADE RECEIVABLE NOTE TRUST
Gemini Securitization Corp., a partially supported,
multiseller conduit sponsored by Deutsche Bank (Aa3/Prime-1/B)
co-purchased a $150 million share of a $950 million
note issued from a trade receivable note trust. The seller is an
investment-grade-rated consulting and support services provider
in the information technology industry. The facility is fully supported
by liquidity provided by Deutsche Bank.
As of August 31, 2003, Gemini's total asset commitments were
$9.4 billion, total outstanding ABCP was $5.4
billion, and total program enhancement was $439.9
BANK ONE'S JUPITER AMENDS PROGRAM DOCUMENTS
Moody's has affirmed the Prime-1 rating of Bank One's (Aa2/Prime-1/B+)
Jupiter Securitization Corp. ("Jupiter") after several program
amendments. These include an increase in the amount of the conduit's
existing subordinated term loan to $325 million from $275
million and a concurrent increase in the surety bond limit to $975
million from $825 million. The term loan and the surety
bond together make up the conduit's program credit enhancement.
On December 1, 2003, the existing subordinated term loan will
be replaced by a $325 million letter of credit issued by Bank One.
The letter of credit will be irrevocable and will have no conditions precedent
to funding. Program credit enhancement will continue to remain
sized at 10% of ABCP outstanding. Also, the conduit's
uncommitted swing line facility is being increased to $25 million
from $10 million. Jupiter is authorized to issue $17
billion of ABCP and as of October 15, 2003 had over $10.5
billion in ABCP outstanding.
BANK ONE'S PREFCO AMENDS PROGRAM DOCUMENTS
Moody's has affirmed the Prime-1 rating of Bank One's (Aa2/Prime-1/B+)
Preferred Receivables Funding Corporation ("PREFCO"), after several
program amendments. On December 1, 2003, the conduit's
existing subordinated term loan, which serves as part of the conduit's
program credit enhancement, will be replaced by a $300 million
letter of credit issued by Bank One. The letter of credit will
be irrevocable and will have no conditions precedent to funding.
Program credit enhancement will continue to be sized at 7% of ABCP
outstanding. Also, the conduit's uncommitted swing line is
being increased to $25 million from $10 million.
PREFCO is authorized to issue $20 billion and as of October 15,
2003 had over $10.7 billion in ABCP outstanding.
SUNTRUST'S THREE PILLARS ADDS $70 MILLION TRADE RECEIVABLES FACILITY
Three Pillars Funding Corp., SunTrust Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit, has added a
$70 million partially supported revolving trade receivable facility.
The seller is a producer, processor, marketer, and distributor
of fresh and processed poultry products. Transaction-specific
credit enhancement, in the form of overcollateralization,
is set at a minimum of 15.86%. The pool-specific
enhancement increases dynamically based upon the performance of the pool
A liquidity facility provided by Prime-1-rated Sun Trust
Bank partially supports Three Pillars' commitment. Program-level
credit enhancement for Three Pillars was increased by 10%,
or $7 million of the facility limit for this transaction.
Three Pillars is now authorized to issue up to $4.6 billion
MOODY'S PHDS OF ABCP ON OCTOBER 30, 2003
On Thursday, October 30, 2003, from 1 to 5 P.M.,
Moody's is offering a seminar in New York City called "Moody's PhDs of
ABCP, Advanced Topics in Asset-Backed Commercial Paper."
Members of Moody's ABCP Group will discuss topics including an overview
of the ABCP market, FIN 46 and its effects upon ABCP, Moody's
ABCP research, and alternative forms of liquidity and related regulatory
issues, exotic assets in conduit facilities, and mortgage
The seminar will be held at the Union League Club, 38 East 37th
Street in New York. To enroll online, go to Moodys.com.
Otherwise, please call (212) 553-1658.
SAVE THE DATE FOR MOODY'S & IPMA EUROPEAN ABCP CONVENTION: OCTOBER
Moody's Investors Service and the IPMA will hold a conference on European
Asset-Backed Commercial Paper on October 29, 2003 at the
Dorchester Hotel in London. For further information, please
contact Moody's by e-mail on RSVP@moodys.com.
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which
is published quarterly at http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
CORRECTION TO TEXT: MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED OCTOBER 23, 2003:
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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