MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 1, 2003:
New York, May 05, 2003 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD APRIL 25, 2003 THROUGH MAY 1, 2003:
IN COPURCHASE, SIX CONDUITS FINANCE $2.5 BILLION OF AUTO LOAN RECEIVABLES
A $2.5 billion revolving auto loan facility with the investment-grade-rated finance subsidiary of an auto manufacturer was copurchased by six ABCP conduits. Included in the copurchase arrangement were HSBC's Bryant Park for $500 million, Credit Lyonnais' Atlantic Asset Securitization Corp. and LaFayette Asset Securitization LLC for a combined total of $500 million, Societe General's Barton Capital Corp. for $500 million, BNP's Starbird Funding Corp. for $500 million and Fortis' Scaldis Capital Limited for $500 million. The prime loans are made against new vehicles only, and 100% of the receivables have subvened interest rates. Credit enhancement is in the form of subordination equal to 1.25% of the facility balance and a cash reserve equal to 1.5% of the facility balance. The subvened interest amounts are covered by the sale of the receivables at a discount of 7.25%. A swap has been added to mitigate potential interest rate risk resulting from the mismatch between fixed-rate loans and floating-rate ABCP. The swap counterparty is Prime-1-rated HSBC. Program-wide credit enhancement has been added to each conduit as well in accordance with its program requirements.
$600 MILLION TRADE RECEIVABLES FACILITY REALLOCATED AMONG EIGHT LENDERS
An existing $600 million trade receivables facility was the subject of a copurchase by four ABCP conduits, including Dresdner's Beethoven Funding Corp. for $75 million, CDC's Eiffel Funding LLC for $100 million, SunTrust's Three Pillars Funding Corp. for $75 million and Bank of Nova Scotia's Liberty Street Funding Corp. for $75 million. Prior to this reallocation, the facility had been funded by four lenders, including JPMorgan Chase's Parco and Credit Suisse First Boston's Alpine conduits. There are now a total of eight lenders.
This revolving facility is backed by receivables originated by a non-investment grade rated automotive parts manufacturer. Pool-specific credit enhancement is provided in the form of asset overcollateralization equal to a minimum of 12% of eligible receivables. Due to the nature of the manufacturer's business, this facility has a large exposure to OEMs. In order to mitigate losses associated with large concentrations of this type, a credit default swap has been added to cover losses on amounts which are in excess of the normal concentrations for this deal. The liquidity facilities advance against amounts due under the swap as well as transfer risk, which is a risk often associated with receivables owing from obligors in lower-rated foreign countries. Program-wide credit enhancement was increased for each conduit as required.
CREDIT LYONNAIS' ATLANTIC ADDS $130 MILLION TRADE RECEIVABLES DEAL
Atlantic Asset Securitization Corp., Credit Lyonnais' (A1/Prime-1/B-) partially supported, multiseller conduit, added a $130 million trade receivables transaction backed by a broad variety of industrial and safety protection equipment which is purchased by a diverse group of obligors. The receivables are originated by a manufacturer rated in a relatively high speculative grade category by Moody's. To mitigate the performance and servicer risk in this transaction, ABCP tenor is limited to 35 days and Atlantic must cease ABCP issuance upon the bankruptcy of the manufacturer or any of its affiliates or failure of the borrowing base test beyond the cure period. Investors are also protected by a minimum of 12% credit enhancement. Credit enhancement is reset each month based on multiples of certain pool performance ratios. Also, the liquidity commitment absorbs all risks relating to the receivables other than defaults. Investors also benefit from 10% in program credit enhancement. Atlantic is currently authorized to issue up to $3.8 billion of ABCP.
CDC's EIFFEL AMENDS STERLING LOAN FACILITY
Eiffel Funding LLC, CDC Financial Products, Inc.'s (Aaa/Prime-1) partially supported multiseller ABCP program, has amended a $250 million revolving loan facility which the conduit added in 2001. Through the loan facility, Eiffel made pound sterling-denominated loans to a wholly owned subsidiary of an A2/Prime-1-rated company. The loans are secured by mortgage loans originated in England and Northern Ireland. The facility was formerly fully supported through a credit default swap provided by Prime-1-rated Lehman Brothers International. The facility has now been amended to remove the swap as the credit protection and replace it with a guaranty from Lehman. Credit risk to investors has not changed.
ROYAL BANK OF SCOTLAND'S TAGS ADDS GBP 273 MILLION IN U.K. CREDIT CARD RECEIVABLES
Thames Asset Global Securitization No. 1, Inc. (TAGS), a Prime-1 rated, partially supported multiseller conduit sponsored by The Royal Bank of Scotland (Aa2/Prime-1), has funded a GBP 273 million loan facility. The facility finances a revolving portfolio of credit card receivables held by an established master trust. The receivables are originated by a United Kingdom bank, whose U.S. parent is rated investment-grade. The deal is partially supported by a liquidity facility provided by The Royal Bank of Scotland with the possibility of syndication to other Prime-1-rated banks. The transaction benefits from a) the availability of excess spread generated by finance charge collections on the receivables, b) further enhancement provided by a subordinated Class B loan note, and (c) various amortization triggers that require that no further ABCP be issued following their occurrence. Furthermore, ABCP tenor is limited to 47 days. TAGs has added 5% of the outstanding amount of this transaction as program-wide credit enhancement. TAGS is currently authorized to issue approximately $4.2 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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