MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED APRIL 24, 2003
New York, April 25, 2003 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD APRIL 18, 2003 THROUGH APRIL 24, 2003:
MOODY'S ASSIGNS A PRIME-1 RATING TO COUNTRYWIDE FINANCIAL'S PARK GRANADA LLC EXTENDIBLE ABCP PROGRAM
Moody's has assigned a rating of Prime-1 to a combined amount of $9.56 billion of Secured Liquidity Notes and Callable Notes to be issued by Park Granada LLC (Park Granada). Park Granada is a single-seller residential mortgage loan warehouse facility sponsored by Countrywide Home Loans Inc. (A3/Prime-2), a wholly owned subsidiary of Countrywide Financial Corp. (A3). Countrywide Home Loans Inc. will act as originator, seller, and servicer of the loans purchased by Park Granada. It will also act as conduit administrator.
Park Granada, with an authorized amount of $10 billion, will fund the purchase of mortgage loans originated by Countrywide Home Loans Inc. from the proceeds of the Secured Liquidity Notes ("SLNs") and Callable Notes ("CNs") on a revolving basis. SLNs and CNs are a form of asset-backed commercial paper (ABCP) that are mainly distinguished by the potential extendibility of their maturity dates. Unlike most ABCP, SLNs and CNs are not backed by a traditional bank liquidity facility. As the purchased mortgage portfolio reaches a critical mass, pools of mortgages will be sold or securitized. The SLNs and CNs issued by Park Granada are short-term debt with an original term of up to 180 days, but which may be extended by the issuer up to an additional 120 days under certain conditions.
The Prime-1 rating assigned to Park Granada's SLNs and CNs is based on, among other factors, expected collateral performance; credit enhancement primarily provided by a cash collateral account and unrated variable funding notes, both subordinate to the SLNs and CNs; market value risk protection of non-defaulted collateral through a swap with Bank of America N.A. (Aa1/Prime-1/A-), ABN Amro Bank NV (Aa3/Prime-1/B), and BNP Paribas (Aa2/P-1/B+); and liquidity support for non-delinquent and non-defaulted collateral from Bank One, N.A. (Aa2/Prime-1/B+) acting as a committed buyer of the mortgages, and structural protections, including a requirement to cease issuing SLNs and CNs if the portfolio is not in compliance with aging guidelines or if the program credit enhancement is not at the required level.
Credit enhancement is sized to cushion SLN and CN investors against loss or yield erosion in two forms: a cash collateral account and subordinated variable funding notes. The cash collateral account is sized at 0.60% of the program size, or $60 million, and is funded at closing. The subordinated variable funding notes are sized at 4.4%, and the dollar amount of subordinated variable funding notes will vary with facility utilization. However, if the program were to wind down, the credit enhancement would freeze to protect the SLN and CN investors.
Liquidity support is provided through a combination of a committed buyer, Bank One 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., ABN Amro Bank NV, and BNP Paribas, for the market value component of all collateral. The combination of a required liquidation of mortgages in the pool upon a failure to reissue SLNs or CNs at their initial maturity or during the subsequent 120 day extension period, plus the committed buyer arrangement and market value swap, is structured to refund the SLNs or CNs by their legal final maturity of 300 days.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD APRIL 18, 2003 THROUGH APRIL 24, 2003:
CDC's EIFFEL FUNDING ADDS $180 MILLION SUBSCRIPTION LOAN FACILITY
Eiffel Funding, a CDC-Financial Products, Inc.(Aaa/Prime-1)-sponsored and administered, partially supported, multiseller ABCP conduit, has added a $180 million subscription loan facility. This is the sixth facility of this kind in Eiffel providing financing to an investment company that will use the proceeds to invest in real estate. The investments are backed by loan commitments from eight different investors, including universities, states and mutual funds. Eiffel Funding is relying on these loan commitments to repay ABCP when needed. If the investors do not make required payments under these loans, then the liquidity bank will repay the full amount of outstanding ABCP, up to the commitment amount, plus ABCP interest; as long as certain rated securities of the some of the investors or some of the investors themselves have not defaulted. Default for all securities and investors is defined as a rating of less than Caa3. The majority of the rated securities or parties are all currently highly rated (Aa2 or higher). One of the parties is unrated; and investors are fully supported through liquidity for that loan commitment. Another entity is rated Aa3, and the transaction is structured to protect investors from losses associated with that loan commitment to a level consistent with Prime-1. CDC is the liquidity provider. Program-wide credit enhancement has been increased by 10% of outstandings.
STATE STREET'S GALLEON ADDS NORWEGIAN KRONER 500 MILLION TRADE RECEIVABLES TRANSACTION
Galleon Capital Corp., a partially supported, multiseller ABCP program sponsored by State Street Capital Markets, LLC (Aa2/P-1/B+), has added a trade receivables facility in the amount of Norwegian Kroner 500 million. The receivables are originated by affiliates of a Norwegian company which designs, builds and operates information communication platforms. Credit enhancement is provided by overcollateralization. The reserve is dynamic with a floor of 20%. Although partially supported by liquidity, the transaction has limited risk due to structural features which restrict the amount of defaulted receivables which are not funded by the liquidity facility. Kroners are swapped into dollars by State Street, who is also the liquidity provider. Galleon is now authorized to issue $2.9 billion of ABCP.
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $70 MILLION TRADE RECEIVABLES FACILITY
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, has added a $70 million partially supported revolving trade receivables facility. The seller is a Baa2-rated developer, manufacturer and marketer of special surgical/medical products and equipment. Transaction-specific credit enhancement in the form of overcollateralization is set at a minimum of 13.5%. Pool-specific enhancement will increase dynamically based upon the performance of the pool of receivables.
Liquidity, provided by Prime-1-rated Bank of Nova Scotia, partially supports Liberty Street's commitment. Program-level credit enhancement for Liberty was increased by 10% of the new transaction amount, or $7 million. Liberty currently has approximately $5 billion in ABCP commitments and close to $3 billion in ABCP outstanding.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING ADDS $300 MILLION REVOLVING TRADE RECEIVABLES PURCHASE FACILITY
Manhattan Asset Funding Co. LLC (Manhattan), a partially supported, multiseller conduit, sponsored by Sumitomo Mitsui Banking Corp. (SMBC) (A3/Prime-1/E), has added a $300 million revolving purchase facility of trade receivables originated by a subsidiary of an investment-grade-rated tire products manufacturer. A minimum of 20% deal-specific credit enhancement is provided. However, the amount will adjust upward dynamically depending upon asset performance. Program-level credit enhancement has increased by 10% of the purchase facility. Manhattan is authorized to issue up to $5 billion of ABCP. Currently, Manhattan has about $1.17 billion in outstanding ABCP, with $184 million in program-level credit enhancement.
ABN AMRO'S ORCHID FUNDING ADDS USD EQUIVALENT OF UP TO NEW TAIWAN DOLLAR 6 BILLION EXTENDABLE FLOATING RATE NOTES
Orchid Funding Corp. (Orchid), a partially supported, multiseller conduit sponsored and administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B), purchased the U.S. dollar equivalent of up to 6 billion of New Taiwan Dollar extendable floating rate notes ("FRNs") issued by a finance company. The extendable FRNs are backed by a pool of credit card receivables originated by a Taiwanese specialized credit card company. The confirmation of Orchid's rating for this transaction is largely based on the credit quality of the underlying credit card receivables, with subordination covering credit and commingling losses, the sequential cashflow mechanisms, and the legal integrity of the extendable FRNs. This transaction is also supported by a liquidity facility provided by Prime-1-rated ABN AMRO Bank N. V.
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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