MOODY' S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED DECEMBER 12, 2002:
New York, December 13, 2002 -- MOODY'S PUBLISHES THIRD QUARTER ABCP MARKET OVERVIEW
Uncertainty continues to plague the ABCP market in the latter half of
2002. Low interest rates, poor economic conditions,
and uncertainty on economic, accounting and regulatory points were
all evident. The market shrank, albeit by a mere two tenths
of a percent. Both issuers and investors are engaged in a "wait
and see" strategy as they attempt to gauge the effects of these current
economic and regulatory factors.
Moody's Third Quarter Market Overview titled "ABCP Market Overview:
Third Quarter 2002 - Walking In Place, Face to the Wind"
provides some insight and summaries of the issues that have been affecting
the market. The article explains financial influences, such
as the continuing low yields on ABCP and recent high-profile ABS
defaults. It also examines regulatory factors, such as the
Basel committee's working paper on securitization and the impending FASB
consolidation interpretation. The Third Quarter Market Overview
also examines significant aspects of the ABCP market, such as the
largest increases in asset pools in the third quarter, and it provides
details on the market's largest dealers, administrators, and
conduits.
This article is available at http://www.moodys.com.
MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD
DECEMBER 5, 2002 THROUGH DECEMBER 12, 2002:
MOODY'S ASSIGNS PRIME-1 RATING TO THE ABCP OF CANCARA ASSET SECURITISATION
LIMITED
Moody's has assigned a definitive rating of Prime-1 to the asset-backed
commercial paper ('ABCP') conduit Cancara Asset Securitisation Limited
('Cancara'). Cancara is a newly established, partially supported,
hybrid ABCP program sponsored by Aaa/Prime-1/A rated Lloyds TSB
Bank PLC ('Lloyds TSB'). Cancara will be Lloyds TSB's first ABCP
conduit. Prime-1 rated Lloyds TSB is appointed as administrator
of Cancara and has delegated certain administrative functions to Global
Securitization Services L.L.C (GSS). Notwithstanding
such delegation, Lloyds TSB remains primarily liable as administrator
and has covenanted to indemnify Cancara against any losses arising out
of the failure to perform any of the administrative duties
Cancara will be able to purchase or finance various asset types via different
purchasing com-panies. Broadly speaking, they can
be divided into two different categories: Client receivables transactions,
in particular trade and consumer receivables, via Gresham Receivables
Limited (multiseller portion); and highly rated securities purchased
pursuant to pre-agreed investment criteria via Dragon Securities
Limited (securities arbitrage portion). The securities arbitrage
portion has a "buy and hold to maturity" investment philosophy.
Accordingly, investors are not exposed to the changes in the market
value of securities typically associated with actively man-aged
investment portfolios.
Lloyds TSB, in its role as Investment Advisor is expected to underwrite
and structure all of Cancara's purchases. Except for highly rated
securities purchased by Dragon Securities Limited, Moody's will
review each seller addition prior to inclusion into Cancara.
Moody's Prime-1 rating is based on, among other things:
Moody's review of all assets prior to acquisition, except for highly
rated securities purchased in accordance with pre-agreed investment
criteria; tight investment criteria, which include asset class
and obligor restrictions as well as a limitation on assets eligible for
purchase to assets rated Aa3 or above (90% of the securities will
be Aaa at time of purchase); the dynamic nature of credit enhancement
for credit arbitrage portion; the provision for a cease issuance
of commercial paper should available credit enhancement be less than that
which is required under the program documentation; liquidity support
from Prime-1-rated institutions with a funding basis of
non-defaulted assets; hedging agreements with Prime-1-rated
counterparties that mitigate interest rate and currency risk; standby
letter of credit provided by Lloyds TSB; and adequate expense coverage
through overdraft facility, expense facility and a committed standby
L/C provided by Lloyds TSB to the Issuer.
The following feature is specific to the Cancara program. The corporate
structure of the Cancara program is segregated to enable program-wide
credit enhancement (PWE) to be available only to receivables transactions
purchased or financed by Gresham Receivables (multiseller portion).
The credit arbitrage portion, Dragon Securities, does not
have access to PWE.
Lloyds TSB will provide an irrevocable standby letter of credit (L/C)
only to support eligible receivables which shall be no less than the higher
of (i) five percent (5%) of the face amount of the outstanding
Commercial Paper Notes issued to purchase or finance the purchase of such
Eligible Receivables, and (ii) U.S. $12,500,000.
As mentioned above, Dragon Securities Limited will not have access
to this L/C.
For further details, please see Moody's press release dated December
9, 2002.
MOODY'S RATES DAIMLERCHRYSLER REVOLVING AUTO CONDUIT LLC PRIME-1
Moody's Investors Service has assigned a rating of Prime-1 to DaimlerChrysler
Revolving Auto Conduit LLC (DRAC) for its $3 billion asset-backed
commercial paper (ABCP) program. DRAC is a newly established single-seller
ABCP program sponsored by DaimlerChrysler Services North America LLC (DCS),
a Michigan limited liability company and a wholly-owned subsidiary
of DaimlerChrysler Corp. DCS is the administrator of the DRAC program.
It is a wholly owned subsidiary of DaimlerChrysler Corp. and an
indirectly owned subsidiary of DaimlerChrysler AG (A3/Prime-2).
The rating is based primarily on the support from the liquidity facilities,
an interest rate hedge agreement to DRAC from Prime-1 rated HSBC
Bank USA, the quality of the assets to be included in the program,
and the program's legal structure.
DRAC will fund its acquisitions of the assets by issuing commercial paper
in two series. The two series will share ratably in the assets
of DRAC. Both series are rated P-1 by Moody's. The
form of liquidity agreement for the program has been constructed to absorb
only liquidity risk, not credit risk associated with the underlying
assets that will eventually be financed through the DRAC program.
DRAC's ABCP issuance is backed by a liquidity facility provided by a 19-bank
syndicate of Prime-1 rated banks. The administrative agent
is JP Morgan Chase Bank. It, together with Deutsche Bank
holds the largest amounts of the liquidity commitment at $270 million
each.
DRAC will purchase discrete amortizing pools of receivables backed by
retail installment sales contracts for new and used automobiles and light-duty
trucks originated by DaimlerChrysler Service North America LLC (DCS) dealers.
These pools may be purchased up to the program limit of $3 billion.
The bankruptcy remote structure, eligible receivables parameters
and proposed credit enhancement levels for the receivable purchases are,
at this time, consistent with a prospective long-term rating
of no less than Aa2.
JPMorgan Chase Bank (Aa3/P-1/B) will serve as depositary for the
program and as Administrative Agent for the lenders under the liquidity
agreement. Certain important administrative duties of the ABCP
program will be performed by JP Morgan Chase as well.
For further details, please see Moody's press release dated December
11, 2002.
MOODY'S ASSIGNS PRIME-1 RATING TO MANE FUNDING
Moody's has assigned a prospective Prime-1 rating to the asset-backed
commercial paper ("ABCP") of Mane Funding Corp ("Mane"). Mane is
a newly established, partially supported ABCP program sponsored
by ING Bank NV ("ING"). Mane is a single-seller program
and will provide credit protection and/or funding to ING.
The first pool addition is structured as a credit derivative. Mane
uses the proceeds of ABCP to make loans ("CP Loans") to a Cayman special
purpose vehicle ("Mane Cayman"). In turn, Mane Cayman provides
credit protection to ING in respect of a portfolio of rated ABS and corporate
bonds pursuant to a credit protection swap (the "Swap"). The ABCP
proceeds serve a dual purpose: first, they provide collateral
for Mane Cayman's contingent obligations under the Swap; second they
can be used to repay ABCP in the event of a funding disruption.
The maximum authorized ABCP for this pool is approximately EUR 4 billion.
Other asset pools may be financed by Mane in the future, subject
to prior ratings confirmation.
The Prime-1 rating of Mane's ABCP is based on, among other
factors, Moody's Aa1 rating of the Swap, the availability
of the collateral to repay ABCP in the event of a funding disruption,
cease issuance triggers and ABCP loan acceleration events including (i)
a downgrade of the Swap below A1 and (ii) reduction of the Reserve Threshold
below 1.875%; the Prime-1 rating of ING as Swap
counterparty and collateral account bank; and structural protections
in order to achieve bankruptcy-remote status for Mane and Mane
Cayman.
There is no program-wide credit enhancement for Mane. Transaction-specific
enhancement of 2.75% is provided by way of a reserve threshold
under the Swap. In addition, excess spread accrues at a pre-determined
rate of approximately 0.2% per annum.
A recovery rate of 50% is assumed in respect of any defaulted assets.
On each occasion that an asset becomes defaulted, the reserve threshold
will be reduced by an amount equal to the assumed loss. The reserve
threshold is initially set at 2.75%. Once the reserve
threshold is reduced to zero, an amount will be transferred out
of the Collateral Accounts in respect of the related credit protection
payment. ABCP proceeds are deposited in Collateral Accounts held
with ING in the name of Mane Cayman. The collateral will be used
to make any protection payments under the Swap. In addition,
it is available to repay maturing ABCP. As for traditional partially
supported conduits, ABCP investors benefit from 100% liquidity
support, subject to the risk that asset defaults exceed the available
credit enhancement.
ABCP funding costs will be financed by way of interest earned on the Collateral
Accounts. Any remaining shortfall, together with program
expenses, will be paid by ING as Swap premiums. Any possible
currency mismatch is dealt with under the terms of the Swap. In
the event that the Swap is downgraded below A1 or the Reserve Threshold
is reduced below 1.875% then (i) no further ABCP may be
issued, and (ii) the CP Loans will immediately accelerate.
Upon acceleration of the CP Loans, the collateral will be withdrawn
and transferred to Mane pending the maturity of outstanding ABCP.
ING Capital Markets LLC ("ING Capital") is the administrator of the program
with responsibility for, among other things, cash administration,
the issuance of ABCP and withdrawal of collateral. ING Capital
already acts as administrator for Mont Blanc Capital Corp. Moody's
believes ING Capital has the necessary systems and ability to perform
its functions.
For further details, please see Moody's press release dated December
9, 2002.
MOODY'S RATED THE FOLLOWING STRUCTURED INVESTMENT VEHICLE PRIME-1/Aaa
DURING THE PERIOD DECEMBER 5, 2002 THROUGH DECEMBER 12, 2002:
MOODY'S ASSIGNS DEFINITIVE RATINGS TO SENIOR PROGRAMS OF TANGO FINANCE
LIMITED AND TANGO FINANCE CORP.
In London, Moody's has assigned definitive ratings to the debt programs
of Tango Finance Limited ("Tango") and Tango Finance Corp. ("Tango
USA"). The programs collectively have a program size of $20
billion. The ratings include the following:
1. a short-term credit rating of Prime-1 to the Euro-Commercial
Paper Program of Tango;
2. a short-term credit rating of Prime-1, and
a long-term credit rating of Aaa to the Euro Medium Term Note Program
of Tango;
3. a short-term credit rating of Prime-1 to the U.S.
Commercial Paper Program of Tango USA; and
4. a short-term credit rating of Prime-1, and
a long-term credit rating of Aaa to the U.S. Medium
Term Note Program of Tango USA.
Tango is a structured investment vehicle incorporated as an exempted company
in the Cayman Islands. Tango will purchase diversified investment
grade assets with the proceeds of debt issuance under the above programs.
Income Notes issued by Tango will provide additional funds for investment
and credit enhancement for investors in the rated notes. The structure
will rely on the ability of Tango to sell or restructure the portfolio
of assets, should it prove necessary to defease the rated debt.
Tango USA is a wholly owned subsidiary of Tango, incorporated in
Delaware for the sole purpose of co-issuing with Tango, US
Medium Term Notes ("USMTNs") and US Commercial Paper ("USCP").
The USMTNs and the USCP, together with the Euro Commercial Paper
and Euro Medium Term Notes issued by Tango, will be secured by,
inter alia, a floating charge over the assets held by, or
on behalf of, Tango.
Moody's Aaa and Prime-1 ratings on the above programs are based
primarily upon, among other things: (1) the eligibility criteria
and mark-to-market procedures to be followed for assets
within the portfolio held by Tango; (2) the overcollateralization
requirements, which will be calculated on a weekly basis according
to the composition of the portfolio; (3) interest rate and currency
hedging requirements that limit exposure to market risk to a narrow range;
(4) liquidity facilities granted by Prime-1 banks, together
with certain liquid assets to be held within the investment portfolio;
(5) the expected performance of Coöperatieve Centrale Raiffeisen
- Boerenleenbank B.A. (Rabobank International) as
investment manager and funding manager; (6) the provision by Citibank
International plc of tested systems and risk management tools to Tango,
independent of the investment and funding Manager; (7) the expected
performance of Citibank as operational and technology support manager;
and (8) the defeasance and enforcement processes whereby the portfolio
will be managed in accordance with certain restrictions or wound down
if various events occur. Moody's ratings address the likelihood
that investors will receive payments as promised in the event of enforcement
(which may include the early redemption of the securities) and not the
probabilities of early redemption or enforcement.
For further details, please see Moody's press release dated December
6, 2002.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING
THE PERIOD NOVEMBER 21, 2002 THROUGH DECEMBER 5, 2002:
JPMORGAN CHASE'S PARCO AND DELAWARE FUNDING EACH PURCHASE $325
MILLION UNRATED SENIOR CERTIFICATE
JPMorgan Chase's Delaware Funding Corp. (DFC) and Park Avenue Receivables
Corp. (PARCO) purchased a total of $650 million unrated
senior asset-backed certificates from a new series issued out of
an established credit card master trust. The underlying assets
are Visa and MasterCard credit card receivables. Subordination
for the senior certificate is 6% in the form of a letter of credit.
In addition, each conduit has incrementally increased its respective
program credit enhancement as required.
DFC's program limit is set at $17.5 billion. As of
December 9, 2002, total commitments were $10.66
billion, with outstanding ABCP at $8.65 billion and
total program credit enhancement of $1.8 billion.
As of December 9, 2002 Parco's total commitments were $12.42
billion with outstanding ABCP at $7.71 billion and program
credit enhancement of $1.6 billion.
BLB'S GIRO BALANCED FUNDING AND BNP PARIBAS' STARBIRD FUNDING EACH PURCHASE
UNRATED CERTIFICATES FROM NEWLY ISSUED SERIES OF CREDIT CARD MASTER TRUST
Bayerische Landesbank's Giro Balanced Funding and BNP Paribas' Starbird
Funding purchased unrated certificates from a new series of an established
credit card master trust. GBFC purchased a $200 million
senior certificate that has 6% subordination, while Starbird
purchased the $42 million subordinated certificate. The
certificates are backed by MasterCard and Visa credit card receivables.
Both conduits have ABCP tenor limits of 30 days and have incrementally
increased their respective program credit enhancement. The purchases
by both conduits replaced certificates issued from a different credit
card master trust.
GBFC's program limit is set at $7.5 billion. As of
November 31, 2002, GBFC' total commitment was $4.24
billion, with outstanding ABCP at $3.96 billion and
program credit enhancement of $523.6 million.
Starbird's program limit is set at $5 billion. As of December
9, 2002, Starbird has a total commitment of $1.7
billion, with outstanding ABCP at $950 million and program
credit enhancement of $135 million.
WESTLB'S PARADIGM FUNDING AND COMPASS PURCHASE AN INTEREST IN A $1
BILLION REVOLVING SENIOR NOTE
Paradigm Funding LLC (Paradigm) and Compass Securitization LLC,
through Compass US Acquisition LLC (Compass US), each a partially
supported, multiseller conduit sponsored by WestLB AG (Aa1/Prime-1/D),
purchased an interest in a $1 billion revolving senior note backed
by vehicle loans originated by an investment-grade-rated
finance subsidiary of an automobile manufacturer and distributor.
Paradigm acquired a $600 million interest, and Compass US
acquired a $400 million interest in the note. The transaction
benefits from deal-specific credit enhancement in the form of a
1.5% fully funded reserve account, 4.5%
subordination, and excess spread. Also, Paradigm is
increasing its program-level credit enhancement by 10% and
Compass US is increasing its program-level credit enhancement by
5% of the amount of their respective interests in the note.
Currently, Paradigm is authorized to issue up to $8.4
billion of ABCP and has about $530 million of program-level
credit enhancement; Compass US is authorized to issue up $11.89
billion of ABCP and has about $698.5 million of program-wide
credit enhancement.
CHARTERMAC ISSUES $52 MILLION NAT-4 SERIES OF LOW FLOATER
CERTIFICATES RATED Aaa/PRIME-1
CharterMAC Trust, a fully supported certificate program, issued
variable rate demand certificates, called Low Floater Certificates
("Low Floaters"), which are backed by a pool of tax-exempt
bonds issued by state and local housing authorities. Each new Series
of Low Floaters is issued via a series supplement under a trust which
was originally established in 1998. This is the sixth series being
issued under the trust. The Low Floaters are fully supported by
liquidity provided by a syndicate of Prime-1 rated banks.
Each Low Floater is also backed by a surety bond issued by Aaa rated MBIA.
Goldman Sachs, as remarketing agent and placement agent, resets
the interest earned on the Low Floaters on a weekly basis. Since
the Low Floaters have no set maturity date, investors may tender
them with at least seven days' notice to CharterMAC. If Goldman
Sachs is unable to remarket the tendered Low Floaters, liquidity
will be drawn in an amount sufficient to repay the principal and interest
accrued on the tendered Low Floaters.
CharterMAC is currently authorized to issue up to $456.5MM
in Low Floater Certificates.
IBEX'S FENWAY FUNDING AMENDS PURCHASE LIMIT OF TWO TRANSACTIONS
Fenway Funding LLC, a fully supported ABCP conduit that issues extendible
ABCP known as Secured Liquidity Notes "SLNs," sponsored by IBEX
Capital Markets, increased the purchase limit of an existing transaction
by $400 million to $1.35 billion, and decreased
the purchase limit of another transaction by $450 million to $1.40
billion. The increased purchase limit transaction is backed by
a participation interest in sub-prime auto loan-backed notes,
credit cards, and trade receivables while the transaction with the
decreased purchase limit is backed by a participation interest in corporate
loans originated by a U.S.-based nonbank financial
services company. Liquidity to fully support both these transactions
is provided through a combination of a funding obligation for the principal
amount of the SLNs and a cost of funds swap for the interest component
of the SLNs, both provided by an A2/Prime-1-rated
U.S.-based, nonbank financial services company.
Fenway is now authorized to issue up to $6.75 billion of
SLNs.
BANK OF NOVA SCOTIA'S LIBERTY STREET INCREASES FULLY SUPPORTED DEAL
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B)
partially supported, multiseller ABCP conduit, increased its
commitment in a fully supported receivables transaction to $125
million from $75 million. Proceeds will be used to support
a rental car franchise. Full liquidity support is provided by The
Bank of Nova Scotia, with the $50 million incremental increase
in the program provided by another Prime-1 rated bank. Investors
will also benefit from a 10% incremental increase in the program
letter of credit. Liberty currently has just approximately $5
billion in ABCP commitments and approximately $3.3 billion
in ABCP outstanding.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING ACQUIRES $50 MILLION
INTEREST IN $90 MILLION REVOLVING TRADE RECEIVABLES PURCHASE FACILITY
Manhattan Asset Funding Company LLC (Manhattan), a partially supported,
multiseller conduit, sponsored by Sumitomo Mitsui Banking Corp.
(SMBC) (A3/Prime-1/E), acquired a $50 million interest
in a $90 million revolving purchase facility of trade receivables
originated by an unrated manufacturer and distributor of telecommunication
products, computer peripherals and home and industrial machine tools.
Bank of Tokyo-Mitsubishi Trust Ltd.'s (A2/Prime-1/D-)
Gotham Funding Corp. is a co-purchaser of this facility.
A minimum of 15% of deal-specific credit enhancement is
being provided, but it will adjust dynamically depending upon asset
performance. Also, incremental program-level credit
enhancement of 10% of the outstanding purchased receivables was
added. Manhattan is authorized to issue up to $5 billion
of ABCP. Currently, Manhattan has about $1.02
billion in outstanding ABCP, with $166 million in program-level
credit enhancement.
MOODY'S CONFIRMS PRIME-1 RATING OF MILLENNIUM ASSET FUNDING CORP.
In Tokyo, Moody's confirmed the Prime-1 rating of Millennium
Asset Funding Corp. ("Millennium") following its execution of amendments
to raise the maximum yen liquidity commitments by UFJ Bank Limited (A3/
Prime-1/E). Consequently, the authorized amount of
Millennium's ABCP program was increased to 300 billion yen from 100 billion
yen.
Millennium is a multiseller, fully supported asset-backed
commercial paper ("ABCP") program sponsored by UFJ Bank Limited.
The program will purchase yen-denominated beneficiary interests
backed by various assets, and will issue ABCP in the Japanese ABCP
market only.
ROYAL BANK OF CANADA'S THUNDER BAY FUNDING INC. REMOVES FULL LIQUIDITY
SUPPORT FOR $123.93 MILLION CREDIT CARD-BACKED INTEREST
Royal Bank of Canada's Thunder Bay Funding Inc. removed the full
liquidity support to a $123.93 million Baa2-rated
credit card note. The note is from a series issued from a credit
card note trust backed by retail credit card receivables. The risk
to ABCP investors is minimized through a short ABCP tenor and an ABCP
cease issuance event. In addition, there was an incremental
increase in the conduit's program credit enhancement. As of December
10, 2002 Thunder Bay's authorized limit was $8 billion,
with outstanding ABCP at $3.22 billion. Through October
31, 2002, total program credit enhancement was $1.7
billion.
SUN TRUST'S THREE PILLARS ADDS $40 MILLION VARIABLE FUNDING NOTE
FROM CREDIT CARD MASTER TRUST
Three Pillars Funding Corp. ("TPFC"), Sun Trust Bank's (Aa2/Prime-1/B+)
multiseller ABCP conduit, purchased a partially supported,
$40 million Class A variable funding certificate issued by a credit
card master trust. The certificate, which was purchased by
Three Pillars from another Prime-1 rated ABCP conduit, is
backed by MasterCard/Visa credit card receivables.
A required reserve in the form of a subordinate Class B Certificate provides
a first loss protection and must always equal at least 20% of the
aggregate outstanding principal balances of the Class A and Class B Certificates.
Liquidity is provided by Prime-1 rated Sun Trust Bank and funds
based on good assets. Program-level credit enhancement for
Three Pillars was increased by 10% ($4 million) of the purchase
commitment.
TPFC is now authorized to issue up to $4.27 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.
New York
Samuel Pilcer
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Letitia Accarrino
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
