MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 19, 2003:
New York, June 20, 2003 -- MOODY'S RELEASES FIRST QUARTER 2003 ABCP OVERVIEW ARTICLE
The U.S. asset-backed commercial paper market is
holding its breath, waiting to see exactly when FIN 46 will be enacted,
says Moody's Investors Service's report, "ABCP Market Overview:
First Quarter 2003 - All Talk and No Action."
Overall, there has been little change in the ABCP market since the
past quarter. U.S. ABCP outstandings were at $738
billion at the end of the first quarter of 2003. This number is
close to the $739 billion in outstandings at the end of June 2002.
There was also little activity among the normally-volatile rankings
of the 20 largest program administrators. The cause for this uncharacteristic
stasis is FIN 46. Moody's First Quarter 2003 ABCP Overview discusses
some of the strategies industry players are using to meet FIN 46's requirements
and summarizes the pros and cons of each approach. The ABCP Market
Overview article also discusses current trends in asset additions and
new conduits that may give insight into the new activity to be expected
when the market revives itself. The Market Overview also provides
information on other market activity, such as downgraded corporate
issuers, and the 20 largest issuers, dealers, and administrators.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 13, 2003 THROUGH JUNE 19,
SOCIETE GENERALE'S BARTON PURCHASES $150 MILLION NOTE BACKED BY
INSURANCE PREMIUM FINANCE RECEIVABLES
Societe Generale's (Aa3/Prime-1/B) Barton Capital Corp.
has purchased a $150 million note backed by insurance premium finance
receivables. The originator is a wholly-owned subsidiary
of an investment grade-rated multiline insurance carrier.
The carrier underwrites commercial, personal property, and
casualty coverage nationwide. The receivables are comprised of
amounts owed under premium finance agreements between the originator and
commercial borrowers to finance the payment of insurance premiums on insurance
policies. The transaction benefits from overcollateralization of
12% and an 8% increase in program-wide credit enhancement
for the amount of the facility. Liquidity provided by Societe Generale
will fund for non-defaulted receivables. Barton is now authorized
to issue up to $10.7 billion of ABCP.
DRESDNER'S BEETHOVEN IS ADDED AS COPURCHASER IN $3 BILLION AUTO
LOAN RECEIVABLES CO-PURCHASE
A $2.5 billion revolving auto loan facility with an investment-grade-rated
finance company was copurchased by six ABCP conduits in May 2003.
The facility has now been increased to $3 billion to allow for
Beethoven Funding Corp., Dresdner Bank's (Aa3/Prime-1/C-,
senior unsecured and bank financial strength ratings on review for possible
downgrade) ABCP conduit, to be a copurchaser for $500 million.
The prime auto loans are made against new vehicles only. 100%
of the receivables have subvened interest rates. Credit enhancement
in the form of subordination is equal to 1.25% of the facility
balance, or $37.5 million; 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 HSBC
(Aa2/Prime-1/B+). Beethoven's program-wide credit
enhancement has been increased by 10% of the outstanding investment
in this asset. Beethoven is currently authorized to issue approximately
$3.9 billion of ABCP.
DRESDNER'S BRAHMS RESTRUCTURES EXISTING TRANSACTION
Brahms Funding Corp., a partially supported, multiseller
program sponsored by Dresdner Bank AG (Aa3/Prime-1/C) that issues
secured liquidity notes (SLN), has restructured a $3 billion
loan participation facility which was added to the conduit in 2000.
Prior to the restructuring, Brahms was committed to the full amount
of the facility. The restructuring permits Brahms to issue a reduced
amount of SLNs against the facility, providing the conduit with
more flexibility. Brahms is now authorized to issue approximately
$8 billion of SLNs.
CDC'S EIFFEL FUNDING LLC ADDS TWO LOAN FACILITIES TOTALING $300
Eiffel Funding, sponsored and administered by CDC Financial Products
Inc. (Aaa/Prime-1) has added two $150 million revolving
facilities to its portfolio. The warehouse facilities are part
of a co-purchase. The collateral consists of leveraged loans
that were originated by a private equity firm. As with many warehouse
facilities, it is expected that the assets in these facilities will
eventually be financed in the term market. Eiffel has entered into
a total return swap with CDC which provides credit support and liquidity
at the transaction level. Since the swap provides full support
to the transaction, repayment of ABCP does not depend upon asset
performance. Eiffel is currently authorized to issue approximately
$4.4 billion of ABCP.
BNP PARIBAS' ELIOPEE LTD ADDS EURO 88 MILLION OF STRUCTURED NOTES
Eliopee Limited, BNP Paribas' (Aa2/Prime-1/B+) partially
supported, multiseller ABCP conduit, has purchased structured
floating rate notes issued in connection with the securitisation of contracts
and trade receivables. The seller, based in Europe is a major
player in the textile industry. The long term notes have been privately
rated by Moody's. The maximum issuance amount for the pool is currently
set at EUR 88.23 million but could increase to up to Euro 270 million
in the future, subject to an increase in liquidity support.
Structural protections include trigger events which, if they occur,
require that no further ABCP be issued, including an event based
on the rating of the underlying securities. The ABCP also has a
limited tenor. Pool-specific liquidity is currently provided
by BNP Paribas and Natexis Banques Populaires (Aa3/Prime-1/C) and
funds against non-defaulted and non-diluted receivables.
The risk of ratings transition within a short period of time has been
deemed consistent with the Prime-1 rating of Eliopee. The
authorized amount of the Eliopee program is now approximately Euro 2 billion.
The program-wide letter of credit available to Eliopee now amounts
to Euro 75.2 million.
FORD CREDIT'S FCAR OWNER TRUST EFFECTS AMENDMENTS
Moody's has confirmed a Prime-1 rating to the ABCP of FCAR Owner
Trust after it effected certain program amendments. FCAR is a single-seller
ABCP program administered by Ford Motor Credit Company ("Ford Credit,"
A3/Prime-2). The major amendment is a renewal of its liquidity
facility, which currently includes approximately $14.9
billion of commitments from Prime-1-rated financial institutions.
The liquidity facility is led by JPMorgan Chase Bank. The Lenders
will provide either 364-day commitments or 5-year commitments,
or both. Also, from now on interest rate hedging counterparties
must satisfy short-term rating criteria. Finally,
the eligibility criteria with respect to wholesale floor plan receivables
purchased by FCAR will be modified to match the criteria used in Ford
Credit's term wholesale floor plan receivables securitization programs.
FCAR has about $11.1 billion of ABCP outstanding,
and has also issued $410 million of subordinated Owner Trust Certificates.
The latter will be exchanged for an identical amount of "Subordinated
Notes." The new Subordinated Notes will have more debt features
and fewer transfer restrictions to improve their marketability.
The Subordinated Notes are rated A2, which is the same rating as
that of the Owner Trust Certificates that they have replaced.
DEUTSCHE BANK'S GEMINI SECURITIZATION PURCHASES $250 MILLION TRADE
Gemini Securitization Corp., a partially supported,
multiseller conduit sponsored by Deutsche Bank (Aa3/Prime-1/B),
has added a $250 million trade receivables facility from a non-investment-grade-rated
equipment rental company. The facility is currently fully supported
by liquidity provided by Deutsche Bank. As of June 16, 2003,
Gemini's total commitment amount was $9.5 billion,
total outstanding ABCP was $5.6 billion, and total
program enhancement was $453.4 million.
THE BANK OF NOVA SCOTIA'S LIBERTY STREET FUNDING CORP. INCREASES
COMMITMENT TO TRADE RECEIVABLES TRANSACTION AND BUYS $50 MILLION
TRADE RECEIVABLES DEAL
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B)
partially supported, multiseller ABCP conduit, has amended
and increased its position in a partially supported trade receivables
transaction with an investment grade-rated health products distribution
concern. This transaction is a co-purchase with Bank One's
PREFCO and Falcon conduits, which have purchased $250 million
each. Wachovia's Blue Ridge also has invested $300 million
in this transaction. Liberty has increased its purchase from $200
million to $300 million. Also, this revolving trade
receivables facility has tightened several structural features.
The floor level of dynamically sized loss reserves will be increased to
21.5% from 14%. In addition, both delinquency
and default triggers will be tightened. These structural enhancements
mitigate the increase in obligor concentrations, the largest of
which involves a highly rated retail customer. Investors benefit
from a quick-turning portfolio which turns over, on average,
every 20 days. An incremental 10% increase in the program
letter of credit enhancement provided by the Bank of Nova Scotia has also
been added to support this commitment. Program-level credit
enhancement for Liberty Street is $555 million.
Liberty Street also added a $50 million partially supported revolving
trade receivables transaction. This transaction is a co-purchase
with Wachovia's Blue Ridge Asset Funding Corp., which already
has $100 million invested in this transaction. The non-investment
grade-rated seller is a prominent manufacturer of heating and air
conditioning equipment. Investors benefit from a quick-turning
portfolio. Seller-specific credit enhancement is a minimum
of 8%, but the credit enhancement adjusts dynamically based
upon asset performance. Liquidity is provided by Prime-1-rated
Bank of Nova Scotia. A 10% increase in the program letter
of credit enhancement for each transaction has also been added to support
Liberty currently has approximately $6 billion in ABCP commitments
and just over $3.8 billion of ABCP outstanding.
STANFIELD'S MICA PURCHASES $140 MILLION OF WRAPPED CDO NOTES AND
ADDS $2 BILLION GLOBAL SWAP FACILITY
Mica Funding LLC, a partially supported, multiseller ABCP
sponsored by Stanfield Global Strategies (unrated), has purchased
$140 million of the Class A-1 notes in a CDO. The
notes are wrapped by a financial guaranty policy provided by Aaa-rated
Ambac. Investors are protected by a liquidity facility provided
by a Prime-1-rated bank. The liquidity facility advances
against payments due from Ambac under the policy. However,
the bank is not required to fund if Ambac's rating falls below Caa2.
The risk of Ambac's being downgraded to below Caa2 is consistent with
the Prime-1 rating assigned to Mica's ABCP. This transaction
requires no program-level credit enhancement due to Ambac's Aaa
rating. This is Mica's second partially supported transaction.
Its partially supported portfolio's commitment size is now $528
Mica also added a global swap facility permitting the purchase of up to
$2 billion of securities. This facility is fully supported
by a total return swap provided by a Prime-1-rated bank.
With the addition of these transactions, Mica is currently authorized
to issue approximately $5 billion of ABCP. It has no program-level
credit enhancement, because all but two transactions are fully supported
by liquidity facilities.
BARCLAYS' SHEFFIELD INCREASES MAJOR CONSUMER LOAN TRANSACTION
Sheffield Receivables Corp., the partially supported,
multiseller conduit sponsored by Barclays Bank PLC (Aa1/Prime-1/A-)
has increased its purchase of consumer loan receivables originated by
an investment-grade-rated seller from $800 million
to $1.25 billion. The deal has 9% seller-
specific credit enhancement in the form of subordination and 10%
program credit enhancement. The transaction first entered the Sheffield
conduit in 1997. Sheffield is now authorized to issue up to $23.581
billion of ABCP.
ABN AMRO'S TULIP ADDS $1.715 BILLION PORTFOLIO OF CONSUMER
LOANS AND MORTGAGE LOANS
Tulip Funding Corp., the fully supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has financed a $1.1 billion portfolio of mortgage loans
and a $615 million portfolio of consumer loans, each originated
by a Belgian company. The Tulip conduit is fully supported through
liquidity commitments for 90% and a standby letter of credit for
10% of the facility amount, provided by Prime-1-rated
ABN AMRO. The letter of credit serves as both liquidity and credit
enhancement. The authorized issuance amount for Tulip is now approximately
BANK OF AMERICA'S YORKTOWN PURCHASES $277 MILLION SYNTHETIC LEASE
Yorktown Capital, LLC, the post-review, partially
supported, multiseller ABCP program sponsored by Bank of America
(Aa1/Prime-1/A-), has added a $277 million
synthetic lease securitization to its portfolio. The leases are
originated by an investment grade-rated automotive manufacturer.
This transaction was acquired from two of Bank of America's other conduits,
Quincy Capital Corp. and Receivables Capital Corp. This
deal is fully supported by a syndicate of eight Prime-1-rated
banks. Additional protection is provided in the form of seller
recourse for 2% of the outstanding ABCP, 2% of outstanding
ABCP at the SUSI Trust level, and 8% program-wide
enhancement provided by Bank of America in the form of a letter of credit.
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-BACKED BACKED COMMERCIAL PAPER MARKET REVIEW,
which is published quarterly at http:/moodys.com.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service