MOODY' S ABCP RATING ACTIONS FOR THE FOURTEEN-DAY PERIOD ENDED FEBRUARY 27, 2003:
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD FEBRUARY 14, 2003 THROUGH FEBRUARY 27, 2003:
ROYAL BANK OF CANADA'S OLD LINE FUNDING AND SOCGEN'S BARTON CAPITAL EACH ACQUIRE A $500 MILLION INTEREST IN $2.5 BILLION VARIABLE FUNDING NOTE BACKED BY TRADE RECEIVABLES
Old Line Funding Corp. (Old Line), Royal Bank of Canada's (Aa2/Prime-1/B+), partially supported, multiseller ABCP program; and Barton Capital Corporation, Societe Generale's (Aa3/Prime-1/B), partially supported, multiseller ABCP conduit; each acquired a $500 million interest in a variable funding note (VFN) backed by trade receivables originated by an investment grade-rated industrial company and its subsidiaries. This transaction is supported by a minimum of 8% deal-specific credit enhancement that adjusts dynamically depending upon asset performance and the parent company's rating. Also, incremental program-level credit enhancement of 10% of Old Line's and 8% of Barton's interests in the VFN is provided. Canadian Imperial Bank of Commerce's (Aa3/Prime-1/B-) Asset Securitization Cooperative Corp. acquired a $500 million interest, and Bank of America's (Aa1/Prime-1/A-) Enterprise Funding Corp. and Kitty Hawk Funding Corp. have a combined $1 billion interest in the VFN.
DZ BANK'S AUTOBAHN FUNDING ADDS $75 MILLION AND $100 MILLION LOAN FACILITIES
Autobahn Funding Co. LLC, DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN's ("DZ Bank") (A2/Prime-1/D) partially supported, multiseller ABCP conduit, added $75 million and $100 million revolving loan facilities. The seller of the $75 million facility originates both secured and unsecured loans to residential real estate owners for the purpose of home remodeling and other home improvement projects.
Autobahn also added a $100 million revolving loan facility. The unrated seller originates loans to franchisees of a major, unrated United States automobile rental company for the purpose of purchasing automobiles for its rental fleets.
Liquidity fully supports both of these transactions in Autobahn.
Autobahn is currently authorized to issue up to $2.77 billion of ABCP.
NORDLB'S HANNOVER FUNDING ADDS $75 MILLION VARIABLE FUNDING NOTE BACKED BY COMMERCIAL LOANS
Hannover Funding Corp. is Norddeutsche Landesbank Girozentrale's (Aa1/Prime-1/C-) hybrid ABCP conduit. Hannover combines the features of several types of ABCP programs: partially supported term and trade receivable financing, maturity-matched loan-backed program and a security credit arbitrage program. Hannover purchased $75 million of variable funding certificates (VFC) which are backed by a revolving pool of commercial loans that are originated and serviced by a company that provides financing to small to medium-sized, privately held companies. Liquidity provided by NordLB, partially supports the conduit's investment in the VFC. Deal-specific credit enhancement is in the form of dynamic overcollateralization with a floor of 25%. Hannover has also increased its program-level credit enhancement by 10% of the amount of this transaction. This transaction increases the size of Hannover's multiseller portfolio to $1.05 billion. Hannover is authorized to issue approximately $1.8 billion against term and trade receivables, and has program-level credit enhancement of $121 million.
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS TWO TRADE RECEIVABLES DEALS
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/P-1/B) partially supported, multiseller ABCP conduit, added a $50 million and a $100 million trade receivables transaction. The $50 million deal is quick-turning transaction is backed by short-term receivables originated by a lead automotive supplier rated in the Baa category. Liquidity will purchase the assets should the seller servicer become insolvent or reserves fall below the required amount. Liquidity provided by The Bank of Nova Scotia funds for non-defaulted assets. Investors, in addition to deal reserves, will also benefit from a 10% incremental increase in the program letter of credit.
Liberty Street also added a $100 million trade receivables facility. The seller in this facility is an unrated distributor of laboratory diagnostic and testing equipment. Credit risk is mitigated by overcollateralization sized dynamically based upon asset performance, with a floor of 10%. The pool is required to wind down upon the seller's bankruptcy, or if the amount of non-defaulted assets is not enough to support the conduit's investment plus the required overcollateralization. The deal is supported by a liquidity facility is provided by Prime-1-rated Scotia. Liberty Street will increase program-level credit enhancement by 10% of the amount of ABCP issued against this deal. Liberty currently is authorized to issue approximately $5 billion in ABCP commitments and has close to $3 billion in ABCP outstanding.
WESTLB'S COMPASS SECURITIZATION LLC FUNDED $150 MILLION TRADE RECEIVABLES DEAL FROM FOREIGN MANUFACTURING COMPANY
Compass Securitization LLC, the partially supported, multiseller conduit sponsored by WestLB AG (Aa1/Prime-1/D), has funded a $150 million trade receivables facility from a non-U.S.-based manufacturing company. Although the seller's underlying receivables are not U.S. dollar- denominated, its performance has been comparable historically to its U.S.-based peers. The foreign exchange risk is hedged, with WestLB as the counterparty. Foreign currency risk is absorbed by the liquidity provider, which is also WestLB. In addition, there are ABCP cease issuance triggers tied to seller default and the rating of the country where the seller is domiciled. First-loss protection from the loss and dilution reserves has historically averaged 15%. The program credit enhancement has been increased by 8% of this transaction.
As of January 31, 2003, Compass had approximately $10.6 billion of ABCP outstanding and $687.5 million of program wide credit enhancement.
ROYAL BANK OF CANADA'S OLD LINE FUNDING REMOVES FULL SUPPORT FROM $87.5 MILLION INTEREST IN $350 MILLION CLUB REVOLVING TELECOMMUNICATION RECEIVABLES FINANCE FACILITY
Old Line Funding Corp. (Old Line), Royal Bank of Canada's (Aa2/Prime-1/B+) partially supported, multiseller ABCP program, unwrapped its $87.5 million interest in a $350 million club facility that finances consumer receivables originated by the subsidiaries of an investment- grade-rated telecommunication company. This deal is now partially supported by a minimum of 12% deal-specific credit enhancement that adjusts dynamically depending upon asset performance. Also, incremental program-level credit enhancement of 10% of Old Line's interest in the facility is provided. Bank of Tokyo-Mitsubishi, Ltd. (A2/Prime-1/D-) Victory Receivables Corp., Bank One's (Aa2/Prime-1/B+) Preferred Receivables Funding Corp., Bank of America's (Aa1/Prime-1/A-) Receivables Capital Corp. are all co-purchasers of this facility. Old Line is authorized to issue up to $8 billion of ABCP. Currently, Old Line has about $7.4 billion in outstanding ABCP, with $1.57 billion in program-level credit enhancement.
JPMORGAN CHASE'S PARCO ADDS $160.02 MILLION TRADE RECEIVABLES FACILITY
Park Avenue Receivables Corp. (PARCO), JPMorgan Chase's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, added a $160.02 million trade receivables facility to its portfolio. The seller is an unrated manufacturer of auto parts. The deal is supported by overcollateralization that is sized dynamically based upon asset performance with a 12% floor. Various asset performance triggers exist to protect investors from significant portfolio deterioration. The transaction is also supported by a liquidity facility provided by Prime-1-rated JPMorgan Chase. Program-level credit enhancement will be increased by 10% of PARCO's investment in this transaction. PARCO is currently authorized to issue about $12 billion of ABCP.
BARCLAYS' SHEFFIELD ADDS EURO CP ISSUANCE CAPABILITY
Sheffield Receivables Corp., a partially supported, multiseller ABCP conduit sponsored by Barclays Bank PLC, has added program amendments which allow it to issue ABCP in the Euro market. The Euro ABCP may be denominated in various currencies. In most cases, Euro ABCP will be issued against foreign-denominated assets. Liquidity commitments for these transactions will generally be issued in the currency of such assets. For any exceptions, Barclays will enter into hedging arrangements to cover any currency risk. Barclays provides a broad indemnification as program sponsor for any hedging errors. Program credit enhancement will be marked on a monthly basis to ensure that the required program amount is maintained despite any currency fluctuations. Sheffield is currently authorized to issue about $23 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. This information is also available at http://www.moodys.com.
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