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09 May 2003
MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 8, 2003:
New York, May 09, 2003 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MAY 2, 2003 THROUGH MAY 8,
ABN AMRO'S AMSTERDAM FUNDING AMENDS PROGRAM DOCUMENTS AND RESTRUCTURES
Amsterdam Funding Corp., a partially supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has amended its program documents. The amendments were made,
in part, to allow Amsterdam to purchase assets on a partially supported
basis and without prior rating agency review.
Prior to the amendments, all of Amsterdam's asset interests were
fully supported through a combination of a liquidity facility and a program
letter of credit which jointly provided 102% coverage of the amount
of outstanding ABCP. Amsterdam has now restructured its program
as a partially supported ABCP conduit. The transactions which have
been restructured, as well as transactions to be added in the future,
will have liquidity commitments equal to 102% of the face amount
of ABCP. In general, the assets will be partially supported.
In addition, all transactions will benefit from program-wide
credit enhancement in the form of a letter of credit equal to 8%
of outstanding ABCP, with a minimum amount of $250 million.
Liquidity will advance funds against non-defaulted assets and will
be structured such that there will be a short window (typically one month)
of potential exposure to asset deterioration.
Amsterdam may continue to add assets to its program on a post-review
basis, as long as these assets comply with the conditions set forth
in the program documents, as well as the conduit's Credit and Investment
Policy. Transactions that do not meet the criteria for addition
on a post-review basis as partially supported assets will either
be fully supported through a combination of liquidity and the program
letter of credit or undergo review by Moody's prior to their addition.
Additional program amendments were made to allow Amsterdam to purchase
highly rated asset-backed securities, which are defined as
assets rated Aa2 or higher by Moody's. Program-wide credit
enhancement will not increase for these assets, but will be available
for the benefit of these securities.
Amsterdam has been approved to issue up to $10 billion of ABCP
and currently has approximately $7.6 billion of ABCP outstanding.
SOCIÉTÉ GÉNÉRALE'S ANTALIS ADDS EURO 75 MILLION
REVOLVING LOAN FACILITY
Antalis S.A., the multiseller, partially supported
ABCP program sponsored by Societe Generale
(Aa3/Prime-1/B), has added a participation in a Aaa-rated
revolving loan facility with a CDO issuer in the amount of Euro 75 million.
Structural protections for this deal include a requirement to cease issuing
ABCP upon the occurrence of certain trigger events (including one based
upon the rating of the revolving loan), limited tenor for the ABCP
and pool-specific liquidity, which will be available as long
as the asset is rated above a certain level. The risk of a downward
rating transition within a short period of time has been deemed consistent
with the Prime-1 rating of Antalis.
All of the liquidity supporting Antalis' ABCP is provided by Societe
Generale in the amount of 102.5% of each asset
pool. Antalis' program-wide credit enhancement has been
increased by 8% of the size of most deals to reach Euro 317 million.
The total amount of the program-level enhancement now represents
6.4% of Antalis' authorized program amount. Antalis
may now issue up to Euro 4.94 billion of ABCP.
WESTLB'S MONTAUK FUNDING ADDS $20 MILLION CLASS C NOTE FROM CREDIT
CARD MASTER TRUST
Montauk Funding Corp. ("Montauk"), WestLB AG's (Aa1/Prime-1/D)
multiseller ABCP conduit, purchased a partially supported,
$20 million Baa2-rated Class C note issued by a credit card
master trust. The note is backed by MasterCard/Visa credit card
receivables originated and serviced by a Aa3/Prime-1-rated
global financial institution.
Deal-specific credit enhancement is in the form of a funded reserve
account, which benefits only the Class C Note, and excess
spread. Liquidity is provided by Prime-1 rated WestLB and
advances funds against good assets. Certain deal triggers will
limit ABCP investors' exposure to potential losses on the underlying investment,
thus making the addition of this Baa2-rated security consistent
with Montauk's Prime-1 rating. Montauk was not required
to increase its program-level credit enhancement, which is
currently at $59.6 million, for this transaction.
Montauk is now authorized to issue up to $4.3 billion of
WESTLB'S PARADIGM ADDS $100 MILLION REVOLVING LOAN FACILITY
WestLB's (Aa1/Prime-1/D) Paradigm Funding LLC (Paradigm),
a partially supported multiseller conduit, added a $100 million
revolving loan facility to finance the acquisition of medical equipment
lease and loan receivables originated by the unrated subsidiary of a finance
company. The parent is rated below investment grade.
This transaction is fully supported by liquidity provided by West LB.
Currently, Paradigm has about $7.37 billion in ABCP
outstanding, with $530.41 million in program-level
credit enhancement. Paradigm is now authorized to issue about $7.41
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.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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