MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MARCH 6, 2003:
New York, March 07, 2003 -- MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD
FEBRUARY 28, 2003 THROUGH MARCH 6, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO HUDSON CASTLE'S FOXBORO FUNDING
LTD. and FOXBORO FUNDING LLC EXTENDIBLE ABCP PROGRAM; CONDUIT
ADDS FIRST ASSET
Moody's has assigned a Prime-1 rating to Foxboro Funding Ltd.,
and to Foxboro Funding LLC's (collectively, Foxboro Funding) U.S.
dollar-denominated secured liquidity notes program. Secured
liquidity notes (SLNs) are a form of extendible ABCP. Hudson Castle
Group Inc. acts as referral agent for Foxboro Funding, and
provides certain administrative services, while Deutsche Bank Trust
Company Americas (A1/Prime-1/C) is the administrative agent for
Foxboro Funding.
Foxboro Funding Ltd. is a Jersey-registered, bankruptcy-remote
corporation owned by Foxboro Capital Ltd. (Foxboro Capital,
unrated). Its co-issuer, Foxboro Funding LLC,
is a bankruptcy-remote Delaware based limited liability company,
and Foxboro Capital is its sole member.
Foxboro Funding LLC will issue fully supported, U.S.
dollar-denominated Prime-1-rated SLNs with expected
maturities of up to 90 days and legal final maturities of 390 days.
Foxboro Funding Ltd. will issue fully supported, Prime-1-rated,
euro-denominated SLNs. The proceeds of the SLNs will be
used to purchase intercompany funding notes issued by Foxboro Capital,
a Jersey registered, bankruptcy-remote, multiseller
and multidebt-issuing entity sponsored by Hudson Castle Group Inc.
Foxboro Capital will in turn use the proceeds from these intercompany
funding notes to make loans secured by interests in eligible assets originated
by various sellers, as is typical of a multiseller ABCP conduit.
Foxboro Capital will obtain both fully supporting liquidity facilities
from Prime-1 rated financial institutions and swaps as needed to
refund the SLNs issued by Foxboro Funding.
Moody's will review each asset purchase entered into by Foxboro Capital.
The Prime-1 rating assigned to Foxboro Funding's SLNs is based
on, among other things: full liquidity support provided by
Prime-1 rated entities to cover the principal amount of the SLNs
and cost of funds swaps to cover the interest component of the SLNs at
legal final maturity; structural protections against the bankruptcy
of both Foxboro Capital and Foxboro Funding, and Moody's assessment
of the ability of Deutsche Bank Trust Company Americas to administer the
SLN and Euro SLN program.
There is no program level credit enhancement for Foxboro Funding,
since it is a fully supported program. Foxboro has completed its
first asset purchase, a $1 billion transaction backed by
loan and participation interests originated by an A2/Prime-1 rated
U.S. based nonbank broker-dealer. Liquidity,
which fully supports this transaction, 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 are
provided by Lehman Brothers Holding Inc. (rated A2/P-1).
Foxboro is now authorized to issue up to $1.0 billion of
SLNs.
For further details, please see Moody's press release dated March
6, 2003.
MOODY'S RATES DEUTSCHE BANK'S CUTLASS SECURITISATION LIMITED ASSET-BACKED
COMMERCIAL PAPER PROGRAM PRIME-1
In Sydney, Moody's assigned a Prime-1 rating to the asset-backed
commercial paper issued by CUTLASS Securitisation Limited (CUTLASS).
CUTLASS is a partially supported, non-serialized, multi-seller
asset-backed commercial paper (ABCP) program sponsored by Deutsche
Bank AG, Sydney Branch (Aa3/Prime-1/B). The authorized
amount for the program is currently A$1.5 billion,
with a program limit of A$2.5 billion.
The Prime-1 rating is based on several factors, including
seller-specific liquidity support, which will repay maturing
ABCP in the event of market disruption and takes on some asset-related
credit risks; strict ABCP issuance tests; and the bankruptcy-remote
nature of the structure.
The CUTLASS program is administered by Deutsche Securitisation Australia
Pty Limited, which is ultimately a wholly-owned subsidiary
of Deutsche Bank AG. Deutsche Securitisation Australia Pty Limited
is an experienced administrator of ABCP programs, operating three
other conduits in the domestic market.
A presale report for CUTLASS is available on www.moodysinvestors.com.au,
and a detailed description of this program will be included in the forthcoming
issue of Moody's Asset-Backed Commercial Paper Market Review,
which is published quarterly.
MOODY'S PLACED THE FOLLOWING ABCP CONDUIT ON REVIEW FOR POSSIBLE DOWNGRADE
DURING THE PERIOD FEBRUARY 28, 2003 THROUGH MARCH 6, 2003:
MOODY'S PLACES HUDSON CASTLES' FENWAY FUNDING LLC'S ABCP ON REVIEW FOR
DOWNGRADE
Moody's put under review for possible downgrade the Prime-1 rating
of Fenway Funding LLC, an extendible asset-backed commercial
paper (ABCP) program sponsored by Hudson Castle Group, Inc..
The action came after the Prime-1 rating of ZCM Matched Funding
Corp. (ZCMMF), a liquidity provider for Fenway Funding was
placed under review for possible downgrade. ZCMMF's Prime-1
rating, which is based upon a surety bond provided by Zurich Insurance
Company, was placed on review for possible downgrade on February
27, 2003. Zurich Insurance Company (ZIC)'s Prime-1
rating was also placed on review for possible downgrade on February 27,
2003.
Fenway has approximately $3.4 billion in outstanding SLNs.
MOODY'S HAS WITHDRAWN THE RATING OF THE FOLLOWING ABCP CONDUIT:
MOODY'S WITHDRAWS PRIME-1 RATING OF BAVARIA SECURITISATION LIMITED
In London, Moody's has withdrawn the Prime-1 rating of Bavaria
Securitisation Limited, an ABCP programme sponsored by Bayerische
Hypo-und Vereinsbank (A3/Prime-1/C-). As of
January 31, 2003, all ABCP had been repaid in full.
No further ABCP will be issued.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD FEBRUARY 28, 2003 THROUGH MARCH
6, 2003:
MIZUHO CORPORATE BANK'S ADVANTAGE ASSET SECURITIZATION CORP. ACQUIRES
$58.82 MILLION INTEREST 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 $58.82 million
interest in a revolving purchase facility of trade receivables originated
by two unrated manufacturers of industrial chemicals. This transaction
is fully supported by liquidity provided by a Prime-1-rated
bank. Advantage is now authorized to issue up about $.41
billion of ABCP.
BANK OF TOKYO-MITSUBISHI'S APEX FUNDING CORP. LOWERS AUTHORIZED
AMOUNT TO 1,000 BILLION YEN
In Tokyo, Moody's has confirmed the Prime-1 rating of Apex
Funding Corp. (Apex) following a program amendment to reduce the
maximum yen liquidity commitment by The Bank of Tokyo-Mitsubishi,
Ltd. (BTM) (A2 /Prime-1/D-). Consequently,
the authorized amount of Apex's program was decreased from 1,300
billion yen to 1,000 billion yen. Apex Funding Corp.
is a multiseller, partially supported, ABCP program sponsored
by BTM. The program finances yen-denominated assets by issuing
ABCP in the Japanese market only.
BANK OF TOKYO-MITSUBISHI'S ARCADIA FUNDING CORP. RAISES
AUTHORIZED AMOUNT TO 1,000 BILLION YEN
In Tokyo, Moody's confirmed the Prime-1 rating of Arcadia
Funding Corp. (Arcadia) following a program amendment to raise
the maximum yen liquidity commitment by The Bank of Tokyo-Mitsubishi,
Ltd. (BTM) (A2 /Prime-1/D-). Consequently,
the authorized amount of Arcadia's program was increased from 900 billion
yen to 1,000 billion yen. Arcadia Funding Corp. is
a multiseller, fully supported ABCP program sponsored by BTM.
The program finances yen-denominated assets by issuing ABCP in
the Japanese market only.
BRYANT PARK ADDS $300 MILLION TRADE DEAL
HSBC's Bryant Park Funding, LLC has added a fifth facility to its
portfolio, which is a $300 million trade receivables facility.
This purchase is part of a $1.4 billion co-purchase
made among several ABCP conduits. The trade receivables are generated
by the wireless service business of a Baa2-rated telecommunications
company. Services provided by the company include both voice and
data communications. Credit enhancement is in the form of asset
overcollateralization, and is equal to a minimum of 6%.
The program-wide credit enhancement has increased by 5%
of outstandings to provide additional support. With the addition
of this new facility, Bryant Park is authorized to issue up to $1.683
billion of ABCP.
BANK OF TOKYO-MITSUBISHI'S CONCERTO RECEIVABLES CORP. RAISES
AUTHORIZED AMOUNT TO 1,000 BILLION YEN
In Tokyo, Moody's confirmed the Prime-1 rating of Concerto
Receivables Corp. ("Concerto") following a program amendment raising
its maximum yen liquidity commitment by The Bank of Tokyo-Mitsubishi,
Ltd. (BTM) (A2 /Prime-1/D-). Consequently,
the authorized amount for Concerto's program was increased from 100 billion
yen to 1,000 billion yen. Concerto Receivables Corp.
is a multiseller, fully supported asset-backed commercial
paper ("ABCP") program sponsored by BTM. The program finances yen-denominated
assets by issuing ABCP in the Japanese market only.
CDC IXIS CAPITAL MARKETS' DIRECT FUNDING S.A. ADDS ONE NEW
GBP 75 MILLION ASSET
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 a new asset in the amount of GBP 75 million.
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 2.7 billion of ABCP.
The asset addition takes the form of subscription by Direct Funding to
a credit derivatives transaction, through which it provides protection
to its counterparty CDC Ixis Capital Markets against certain credit events
which may occur in connection with the underlying assets. 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 new credit derivative transaction relates to a facility financing
insurance premium loans in the United Kingdom. The transaction
has been structured to a high investment-grade standard,
and thus is consistent with the conduit's Prime-1 rating.
Confirmation of the conduit's Prime-1 rating is also based upon
the rating of 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 transaction
when required. No increase of the program-wide credit facility
for DIRECT was made. Thus, it remains at Euro 1 million.
BMO NESBITT BURNS' FAIRWAY INCREASES EXISTING EQUIPMENT LEASE FACILITY
AND ADDS A SEPARATE $80 MILLION EQUIPMENT LEASE TRANSACTION
Fairway Finance Corp., a BMO Nesbitt Burns (BMO) (Aa3/Prime-1/B)
sponsored and administered ABCP program, increased a partially supported
equipment lease facility from $200 million to $250 million.
Liquidity is provided by Prime-1-rated Bank of Montreal.
The required program-wide credit enhancement for this transaction,
a letter of credit provided by BMO, is sized at 5% of the
facility limit. The performance of the receivables pool has been
strong and has consistently demonstrated a low default rate. The
deal structure incorporates triggers, which would cause the transaction
to be removed from Fairway automatically if the performance of the portfolio
begins to deteriorate.
Fairway also added an $80 million equipment leasing transaction,
in which the seller is an unrated originator of leases for small-ticket
commercial equipment such as computers, electronics, machine
tools, furniture and restaurant equipment. Liquidity provided
by Bank of Montreal fully supports this transaction.
Fairway is currently authorized to issue up to $10 billion of ABCP.
HARWOOD STREET FUNDING II LLC INCREASES AUTHORIZED AMOUNT TO $1.5
BILLION
Harwood Street Funding II LLC a single-seller mortgage loan warehouse
facility sponsored by Centex Credit Corp., an indirect wholly
owned subsidiary of Centex Corp., has increased its authorized
amount from $1.0 billion to $1.5 billion.
With this $500 million increase, Harwood II is now authorized
to issue $1.425 billion in Prime-1-rated Secured
Liquidity Notes ("SLNs"). Harwood II also issued an additional
$25 million tranche of Baa2 rated subordinated notes to maintain
the required levels of subordination for the increased authorized amount.
The total amount of subordinated notes now equals $75 million.
These subordinated notes and a 0.60% cash collateral account
act as credit enhancement for the SLNs in this program.
NIEUW AMSTERDAM RECEIVABLES CORP. PURCHASES $135 MILLION
INTEREST IN AGRICULTURAL AND CONSTRUCTION EQUIPMENT RETAIL INSTALLMENT
CONTRACTS
Nieuw Amsterdam Receivables Corp. (NARCO), a partially supported,
multiseller program sponsored by Rabobank (Aaa/Prime-1/A),
has purchased a $135 million interest in agricultural and construction
equipment installment contracts originated by one of the largest manufacturers
of such equipment. This transaction benefits from dynamic credit
enhancement with a floor of 8% in the form of overcollateralization
of 5% and a spread account of 3%. NARCO is now authorized
to issue $3.140 billion of ABCP.
BARCLAYS' SHEFFIELD ADDS $1 BILLION OF AUTO LOAN RECEIVABLES
Sheffield Receivables Corp., a partially supported,
multiseller ABCP conduit sponsored by Barclays Bank PLC (Aa1/Prime-1/A-)
has added a $1 billion revolving auto loan transaction with an
investment-grade-rated finance subsidiary of a manufacturer.
The prime loans are made against new vehicles only, and 100%
of the receivables have subvened interest rates. Credit enhancement
in the form of subordination and cash reserves is less than 10%.
The subvened interest amounts are covered by the sale of the receivables
at a discount. Sheffield has added 10% of the amount of
this asset as incremental program credit enhancement. Sheffield
is currently authorized to issue about $23 billion of ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY FUNDING INC. REMOVES FULL SUPPORT
FROM $200 MILLION INTEREST IN $300 MILLION REVOLVING LOAN
FACILITY BACKED BY STUDENT LOANS
Thunder Bay Funding Inc.. (Thunder Bay), a partially
supported, multiseller ABCP program, sponsored by Royal Bank
of Canada (Aa2/Prime-1/B+), unwrapped its $200
million interest a revolving loan facility for an unrated company.
The facility is backed by government-guaranteed and non-government-guaranteed
student loans. This deal is now partially supported by deal-specific
credit enhancement in the form of a cash collateral account sized in the
amount of .5% of the outstanding principal of the government-guaranteed
student loans, and 4% of the non-government-guaranteed
student loans. This transaction also benefits from a surety bond
provided by Aaa-rated AMBAC that covers interest and principal
owed under the loan facility. As long as AMBAC is rated above Caa2,
liquidity provided by RBC advances against any amount payable under the
surety bond. Also, incremental program-level credit
enhancement of 10% loan facility is provided.
CDC Financial Products, Inc.'s (Aaa/Prime-1) Eiffel
Funding LLC has also taken a $100 million share in this transaction.
Thunder Bay is authorized to issue up to $4.2 billion of
ABCP and has about $950 million in program-level credit
enhancement.
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
