MOODY' S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED DECEMBER 5, 2002
New York, December 09, 2002 -- MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD NOVEMBER 21, 2002 THROUGH DECEMBER 5, 2002:
MOODY'S ASSIGNS PRIME-1 RATING TO MAGNUM ASSET CORP. LIMITED
In Tokyo, Moody's assigned a Prime-1 rating to Magnum Asset Corp. Limited, Tokyo Branch ("Magnum") for its fully supported Japanese Yen asset-backed commercial paper program. The rating is based on, among other things, the full liquidity support provided by UFJ Bank, Ltd. ("UFJ Bank," A3/ Prime-1/E), and the bankruptcy remoteness of Magnum as an asset-backed commercial paper issuer. The program size is 1 trillion yen.
Magnum, a bankruptcy-remote special purpose company established in the Cayman Islands, will issue yen-denominated commercial paper in the Japanese market. The proceeds from the sale of its ABCP will be used to purchase yen-denominated trade receivables, promissory notes, or beneficiary interests backed by those assets. The timely repayment of asset-backed commercial paper notes is assured by the liquidity facility provided by UFJ Bank UFJ Trust Bank (Baa1/ Prime-2/ E) acts as administrative agent for Magnum.
For further details see Moody's press release dated December 2, 2002.
MOODY'S ASSIGNS PRIME-1 RATING TO MILLENNIUM ASSET FUNDING CORP.
In Tokyo, Moody's assigned a Prime-1 rating to Millennium Asset Funding Corp. ("Millennium") for its fully supported Japanese Yen asset backed commercial paper program. The rating is based on, among other things, the liquidity facility, provided by UFJ Bank, Ltd. ("UFJ Bank") (A3/ Prime-1/ E) and the bankruptcy remoteness of Millennium as asset-backed commercial paper issuer. The program size is 100 billion yen.
Millennium, a bankruptcy-remote special purpose company established in the Cayman Islands, will issue yen-denominated asset-backed commercial paper in the Japanese market. The proceeds from the sales of its commercial paper notes will be used to purchase yen-denominated beneficiary interests backed by various assets. The timely repayment of ABCP is assured by the liquidity facility provided by UFJ Bank.. UFJ Trust Bank (Baa1/ Prime-2/ E) will act as administrative agent for Millennium.
For further details see Moody's press release dated December 2, 2002.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE PERIOD NOVEMBER 21, 2002 THROUGH DECEMBER 5, 2002:
MIZUHO CORPORATE BANK'S ADVANTAGE ASSET SECURITIZATION CORP. ACQUIRES $24.5 MILLION INVESTMENT IN TRADE RECEIVABLES PURCHASE FACILITY
Advantage Asset Securitization Corp. (Advantage), a partially supported, multiseller conduit sponsored by Mizuho Corporate Bank, Limited (A3/Prime-1/E), acquired a $24.5 million interest in a revolving purchase facility of trade receivables originated by an unrated manufacturer of plastic components for automobiles. This transaction is fully supported by liquidity provided by a Prime-1-rated bank. Advantage is authorized to issue up about $.51 billion of ABCP.
CREDIT LYONNAIS' ATLANTIC INCREASES PURCHASE LIMIT TO $200 MILLION IN MORTGAGE LOAN TRANSACTION
Atlantic Asset Securitization Corp., Credit Lyonnais' (A1/Prime-1/B-) Prime-1, rated partially supported multiseller conduit, has increased its $150 purchase limit to $200 million in a transaction backed by conforming and non-conforming residential mortgage loans. The non-conforming loans are subject to certain maximum concentration levels. The facility provides interim financing to the mortgage seller during the period when mortgage loans are transmitted to government-sponsored agencies (such as Freddie Mac) or identified to be included in a term mortgage-backed security transaction. The mortgage seller is owned by a major regional single-family home construction company rated Ba1 by Moody's. The increase, which follows closely upon a $50 million increase in August of this year, reflects in part the high volume of financing occurring in the current low-interest rate environment and in part the company's recent acquisition of a home construction company.
ABCP investors are protected by certain structural features of the transaction, which exclude 30-day delinquent loans from the eligible collateral, while continuing the liquidity funding obligation until loans are 60 days delinquent. No further ABCP may be issued when the 30-day delinquency rate exceeds 1%, and ABCP tenor is limited to 60 days. Pool-specific credit enhancement is in the form of overcollateralization (which differs among the various types of mortgage loans) and a 0.50% fully funded reserve account. In addition, the program-wide letter of credit will be increased by 10% of the amount of this transaction. With this purchase, Atlantic is now authorized to issue up to $3.6 billion of ABCP.
DRESDNER'S BEETHOVEN FUNDING PURCHASES $260 MILLION INTEREST IN CERTIFICATES BACKED BY CONSUMER LOANS
Beethoven Funding Corp., a partially supported, multiseller ABCP program sponsored by Dresdner Bank A.G. (Aa3/Prime-1/C) purchased $260 million of unrated Class A certificates issued by a trust backed by a pool of consumer loans. The trust is sponsored by an A3-rated bank. The certificates are supported by 15% subordination. Investors are also protected by various asset performance triggers that would cause the trust to wind down should performance deteriorate. Beethoven has increased its program-level credit enhancement by 12% of this transaction, and is currently authorized to issue approximately $2 billion of ABCP.
CDC IXIS CAPITAL MARKETS' DIRECT FUNDING S.A. ADDS THREE ASSET -BACKED SECURITIES TOTALING EURO $1.6 BILLION IN THE FORM OF CREDIT DERIVATIVE TRANSACTIONS
In Paris, Moody's confirmed the Prime-1 rating assigned to the asset-backed commercial paper (ABCP) of DIRECT Funding S.A., following its addition of three assets totaling Euro 1.55 billion. Direct Funding is a partially supported, multiseller ABCP program, sponsored by CDC Ixis Capital Markets (CDC IXIS CM), with a program limit of Euro 5 billion. The Direct program is now authorized to issue up to Euro 2.635 billion.
All asset additions take the form of subscriptions by Direct Funding to credit derivative transactions, by which it provides protection to its counterparty CDC Ixis Capital Markets against certain credit events arising in connection with the underlying assets. For each transaction, the proceeds of the ABCP issuance are invested into a cash deposit account, which is pledged to the benefit of the party buying credit protection.
The first credit derivative transaction relates to securities backed by United Kingdom lease receivables in the notional amount of GBP 200 million. The transaction has been structured to a high investment-grade standard, and thus is consistent with the conduit's Prime-1 rating.
The other two credit derivatives transactions are linked to Aaa- rated asset-backed securities and are structured in such a way that investors' risk is that of a rapid and severe credit deterioration scenario. Moody's has assessed this risk as consistent with the Prime-1 rating of Direct Funding. The assets are linked to an Italian asset-backed security and a synthetic global commercial mortgage-backed security. The amounts are, respectively, Euro 500 million and Euro 735 million.
For each credit derivative, confirmation of the conduit's Prime-1 rating is also based upon CDC Ixis Capital Markets (Aaa/Prime-1) as credit derivative counterparty and liquidity provider through its commitment to release the cash collateral associated with the credit derivative, when required. No increase of the program-wide credit facility was made, thus it remains at Euro 1 million.
BNP PARIBAS' ELIOPEE LTD ADDS EURO 250 MILLION POOL.
Eliopee Limited, a partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa2/Prime-1/B+)), issues Billets de Tresorerie (French ABCP). Eliopee has committed to purchase a new series of privately rated FCC units (French ABS) backed by trade receivables originated by subsidiaries of a large utility group, for a maximum purchase amount of Euro 250 million. The underlying transaction has been structured to a high investment-grade credit quality, relying on 1) credit enhancement with a minimum of 16%, 2) pool performance triggers, including mechanisms which require the transaction to stop purchasing new receivables, 3) a 5% liquidity facility to insure timely payment of interest on the FCC units, and 4) coverage of seller risk through the guarantee and conditional cash collateral provided by the parent company of the group. This pool addition is also supported by pool-specific liquidity from BNP Paribas, which is sized at 100% of the maximum purchase limit of the transaction. This transaction is the third pool added to Eliopee with the same ultimate A-rated parent company.
Eliopee is now authorized to issue up to Euro 2.2 billion of Billets de Tresorerie.
DEUTSCHE BANK'S GEMINI SECURITIZATION PURCHASES $254.89 MILLION OF UNRATED ABCP BACKED BY EQUIPMENT FINANCE RECEIVABLES
Gemini Securitization Corp., a partially supported, multiseller conduit sponsored by Deutsche Bank (Aa3/Prime-1/B), purchased $254.89 million of unrated ABCP from a sister conduit administered by DB. The unrated ABCP is backed by equipment finance receivables from an investment-grade-rated financial services company. Deutsche Bank is providing full liquidity support to the transaction. As of November 30, Gemini's total commitment amount was $8.7 billion, total outstanding ABCP was $5.4 billion, and total program enhancement was $217.3 million. Gemini's program limit is set at $10 billion.
MOODY'S ASSIGNS PRIME-1 RATING TO INDIGO FUNDING SERIES EUROCORPORATE-FUNDING AND CONFIRMS PRIME-1 RATING OF
INDIGO FUNDING SERIES TITRIWATT
In Paris, Moody's has assigned a Prime-1 rating to the Euro 245 million Series Eurocorporate-Funding of billets de tresorerie ("BTs," or French ABCP) to be issued by Indigo Funding. Indigo Funding is the Jersey-based serialised asset-backed commercial paper conduit managed by the Paris branch of Bayerische Landesbank. In this serialised ABCP pogram, Indigo Funding issues different series of ABCP. Each series is backed by specific, identifiable asset portfolios, each with its own credit enhancement and liquidity support. The liquidity and credit support for a series is solely dedicated to that respective series. Approximately Euro 245 million of billets de tresorerie may be issued under the new series.
Series Eurocorporate-Funding is the sixth series of ABCP issued by Indigo Funding Ltd. This series of Indigo ABCP is currently backed by FCC units (French asset-backed securities) issued by FCC Locos Finance. These units refinance receivables arising from contracts related to manufacturing and delivering of regional trains between Alstom Transport and SNCF. Other assets, up to an aggregate amount of Euro1 billion, may be refinanced by the same series of BTs (Series Eurocorporate-Funding) in the future. Each asset addition is subject to Moody's prior confirmation of the current rating of BTs.
Moody's Prime-1 rating of Series Eurocorporate-Funding is primarily based on the following factors: (i) the Prime-1 rating of Bayerische Landesbank which provides liquidity to fully support Series Eurocorporate-Funding ABCP, (ii) the legal integrity of the serialised structure, (iii) the capabilities and obligations of Bayerische Landesbank as program manager, and (iv) the bankruptcy remoteness of the issuer. The liquidity facility provided by Bayerische Landesbank may be syndicated with other Prime-1 rated banks, subject to Moody's prior confirmation of the Prime-1 rating of Series Eurocorporate-Funding.
Moody's also confirmed the Prime-1 rating assigned to Indigo Funding's Series Titriwatt despite the fact that the Aaa rating of the underlying assets is on review for possible downgrade (FCC Oxygen Compartiment Titriwatt units), and the announcement by Moody's of the downgrade of Electricite de France's ("EDF") long-term senior unsecured debt rating to Aa3 on November 29.
Moody's confirmation of the series' Prime-1 rating reflects its reliance on the Prime-1 ratings of the liquidity providers, the swap counterparties, and EDF. These support providers ensure that the FCC units will be repaid at their maturity. Any shortfall on the underlying trade receivables portfolio remains covered by the liquidity facilities.
Taking all of its series together, Indigo Funding may now issue up to Euro 4.24 billion of ABCP.
INTESA BCI'S ROMULUS AMENDS PROGRAM DOCUMENTS
Romulus Funding Corp. ("Romulus"), a partially supported conduit administered by IntesaBci S.p.A. ("IntesaBci"), has amended its program documents to permit it to enter into a swingline agreement with a Prime-1-rated bank. This provides an additional back-up liquidity facility to protect investors. Also, now program credit support may be provided by either IntesaBci or banks rated A-1/Prime-1. Romulus currently has approximately $931.57 million of ABCP outstanding.
BARCLAY'S SHEFFIELD ADDS $527.47 MILLION CREDIT CARD-BACKED NOTE
Sheffield Receivables Corp., a partially supported, multiseller conduit sponsored by Barclays Bank (Aa1/Prime-1/A-), has purchased $527.47 million of Class A variable funding floating rate notes from a credit card business note trust. The notes come from a paired series, meaning that one series will be funded as the other series amortizes. Credit enhancement is provided in the form of subordination at a minimum of 17%. Sheffield's program credit enhancement has increased incrementally by 10%. Sheffield is currently authorized to issue up to $20.12 billion of ABCP.
CIBC'S SPARC ADDS TWO TRANSACTIONS
Special Purpose Accounts Receivable Corp. (SPARC), a partially supported, multiseller conduit sponsored by Canadian Imperial Bank of Commerce (CIBC)(Aa3/Prime-1/B), has added two transactions. The first is a $150 million purchase of Aaa-rated Class A notes in a CLO, and the second is $120 million in an equipment securitization with a Aaa rated monoline-provided surety bond to cover any asset risk. Liquidity provided by Prime-1-rated CIBC partially supports the transactions. No incremental program credit enhancement was required for these assets. SPARC is now authorized to issue approximately $4.6 billion of ABCP.
For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly.
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