MOODY'S ABCP RATING ACTIONS DURING THE SEVEN DAY PERIOD ENDED SEPTEMBER 26, 2002:
New York, September 27, 2002 -- MOODY'S ISSUED PROSPECTIVE RATINGS OF Aaa/PRIME-1 TO THE FOLLOWING
STRUCTURED INVESTMENT VEHICLE (SIV) DURING THE SEVEN DAY PERIOD ENDED
SEPTEMBER 26, 2002:
MOODY'S ASSIGNS PROSPECTIVE RATINGS TO SENIOR PROGRAMS OF TANGO FINANCE
LIMITED AND TANGO FINANCE CORP.
In London, Moody's has assigned prospective ratings to the debt
programs of Tango Finance Limited ("Tango") and Tango Finance Corp.
("Tango USA") as follows: (1) a prospective short-term credit
rating of (P) Prime-1 to the Euro commercial paper program of Tango;
(2) a prospective short-term credit rating of (P) Prime-1,
and a prospective long-term credit rating of (P) Aaa to the Euro
medium term note program of Tango; (3) a prospective short-term
credit rating of (P) Prime-1 to the U.S. commercial
paper program of Tango USA; and (4) a prospective short-term
credit rating of (P) Prime-1, and a prospective long-term
credit rating of (P) Aaa to the U.S. medium term note program
of Tango USA. Moody's issues prospective ratings in advance of
the sale of securities, but these ratings represent Moody's preliminary
credit opinions only.
Tango is a structured investment vehicle. Tango will purchase diversified
investment grade assets with the proceeds of debt issuance under the above
programs. The structure will rely on the ability of Tango to sell
or restructure the portfolio of assets, should it prove necessary
to defease the programs and repay the rated debt.
Tango USA is a wholly owned subsidiary of Tango, incorporated in
Delaware for the sole purpose of co-issuing U.S.
medium term notes and U.S. commercial paper with Tango.
Moody's prospective ratings on the above programs are based, among
other things, upon: (1) the eligibility criteria and mark-to-market
procedures to be followed for assets within the portfolio to be held by
Tango; (2) the overcollateralization requirements, which will
be calculated on a weekly basis according to the composition of the portfolio;
(3) interest rate and currency hedging requirements that will limit exposure
to market risk to a narrow range; (4) liquidity facilities to be
granted by Prime-1 banks, together with certain liquid assets
to be held within the investment portfolio.
For further details, please see Moody's press release dated September
MOODY'S CONFIRMED THE RATINGS OF THE FOLLOWING STRUCTURED INVESTMENT VEHICLE
(SIV) AT Aaa/PRIME-1 DURING THE SEVEN DAY PERIOD ENDED SEPTEMBER
MOODY'S AFFIRMS THE RATINGS ASSIGNED TO RATHGAR CAPITAL CORP. AND
RATHGAR CAPITAL (U.S.) CORP.
In London, Moody's affirmed the ratings currently assigned to the
various debt programs of Rathgar Capital Corp. ("Rathgar") and
Rathgar Capital (U.S.) Corp. ("Rathgar USA") as follows:
Prime-1 to the Euro commercial paper program of Rathgar; Prime-1
to the U.S. commercial paper program of Rathgar USA;
Aaa and Prime-1 to the Euro medium term note program of Rathgar;
and Aaa and Prime-1 to the U.S. medium term note
program of Rathgar USA.
The rating affirmations are prompted by the replacement of Gen Re Securities
Limited by CIBC World Markets as provider of certain standby services
to Rathgar and certain quarterly monitoring services to West End Capital
Rathgar is a structured investment vehicle, incorporated as an exempted
company under the laws of the Cayman Islands for the purpose of investing
in a diversified portfolio of eligible investment grade assets with the
proceeds of the rated programs. Income Notes issued by Rathgar
provide additional funds for investment and credit enhancement to
investors in the rated notes.
Moody's based the ratings assigned to Rathgar's programs on: (1)
the eligibility criteria for assets purchased by Rathgar; (2) the
minimum ongoing overcollateralization provided by the Income Notes,
which is calculated on a marked-to-market basis, according
to various factors relating to the composition of the asset portfolio
and the maturity profile of the liabilities; (3) interest rate and
currency hedging requirements designed to limit exposure to a narrow tolerance
range; (4) the role of CIBC World Markets Corporation (a wholly owned
subsidiary of Canadian Imperial Bank of Commerce, currently rated
Aa3/P-1) as standby servicer to Rathgar on a temporary basis and
the provider of certain quarterly services to the Investment Advisor and
as owner of 25% of the Investment Manager; (5) the provision
of partial liquidity facilities by various Prime-1 rated banks
and the inclusion of various highly liquid securities within the investment
portfolio; and 6) various structural protections of the transaction.
Rathgar USA is a wholly owned subsidiary of Rathgar, incorporated
in Delaware, that further lends the proceeds of the U.S.
medium term notes and the U.S. commercial paper programs
to Rathgar. The ratings of Rathgar USA's commercial paper and medium
term note programs are based on an unconditional, irrevocable guarantee
from Rathgar, and on a lien on the assets of Rathgar ranking pari
passu with that securing Rathgar's own rated obligations.
For further details, please see Moody's press release dated September
24, 2002. .
THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S
DURING THE SEVEN DAY PERIOD ENDED SEPTEMBER 26, 2002:
BAYERISCHE HYPO- UND VEREINSBANK'S ARABELLA ADDS JPY 3.4
BILLION CONSUMER LOAN TRANSACTION
Arabella Funding, LTD., a multiseller, partially
supported ABCP conduit sponsored by Bayerische Hypo-und Vereinsbank
AG (HVB), has closed a JPY 3.4 billion amortizing consumer
loan transaction. The receivables are originated by an unrated
Japanese finance company. This pool is the continuation of a portfolio
that the same client has had financed through the Bavaria Securitization
Limited (Bavaria) program sponsored by HVB. The performance experienced
during the last two years under the Bavaria program was taken into account
Since the transaction has amortized significantly during the last two
years and the pool-specific credit enhancement is partially based
on the initial receivables balance, the transaction now benefits
from a large amount of pool-specific credit enhancement.
The enhancement is now equal to approximately 74% of the senior
certificate. Pool-specific credit enhancement is provided
in the form of a 7.5% cash reserve and a subordinated certificate
equal to 10% of the initial outstanding senior certificate.
Program-wide credit enhancement is provided through a 10%
letter of credit provided by A1/Prime-1/C-rated HVB.
This partially supported transaction benefits from a cumulative default
trigger in the event that defaults are greater than 50% of the
junior certificate. If the trigger is hit, excess spread
must be captured in the deal. Furthermore, ABCP maturity
is limited to a maximum of 183 days for this portfolio. The liquidity
facility, which is sized at 102% of the purchase limit funds
for non-defaulted receivables, is provided by Prime-1-rated
With this addition, Arabella is now authorized to issue ABCP of
up to approximately $ 6.4 billion.
SOCIETE GENERALE'S BARTON CAPITAL ADDS $1 BILLION AUTO LOAN RECEIVABLE
WAREHOUSE FACILITY AND AMENDS EXISTING $650 MILLION DEALER FLOORPLAN
Barton Capital Corp., Societe Generale's (SG, Aa3/Prime-1/B)
partially supported, multiseller conduit, will invest in $1
billion of auto loan receivables originated by the investment-grade-rated
subsidiary of an investment-grade automobile manufacturer.
The transaction has a minimum credit enhancement requirement of 12%,
but a dynamic enhancement formula will provide additional enhancement
depending on the mix of autos in the portfolio. SG's Barton has
added 8% program credit enhancement for this deal.
Barton has also amended a $650 million longstanding, partially
supported floorplan loan facility with an investment grade-rated
captive finance subsidiary of an entity in the agricultural and construction
equipment business. The deal is being amended to include construction
equipment floorplan loans as well as floorplan loans secured by agricultural
equipment. The construction equipment floorplan loans are limited
to 33% of the overall pool. The transaction has a minimum
of 7% deal specific credit enhancement, as against de minimis
losses in the pool since inception. The deal also benefits from
yield, dilution and servicer fee reserves. Barton holds 8%
program credit enhancement against this deal.
Barton is currently authorized to issue approximately $8.9
billion of ABCP.
MOODY'S WITHDRAWS PRIME-1 RATING OF WACHOVIA'S CENTRIC CAPITAL
Moody's has withdrawn the Prime-1 rating assigned to commercial
paper issued by Centric Capital Corp., Wachovia's loan-backed
ABCP program. The withdrawal follows the repayment of all outstanding
ABCP and Wachovia's decision to not issue any more ABCP under the Centric
Several loan-backed CP programs have exited the market this year,
including Mellon's Sweetwater Capital Corp., Deutsche Bank's
Citation Capital and Credit Lyonnais' Short Term Funding Corp.
Moody's believes that in the future other loan-backed CP programs
may exit the market, as well. A number of factors may affect
a bank's decision to wind down a loan-backed CP program.
These types of programs tend to be credit enhancement-intensive,
bringing into question the economics of the program. Also,
proposed FASB guidelines regarding consolidation of certain ABCP conduit
assets with sponsoring bank's balance sheets give rise to concerns regarding
those banks' balance sheet management. More specifically,
loan-backed programs are particularly vulnerable to the "primary
beneficiary" standard proposed by FASB as a means of determining consolidation.
Authorized to issue $7 billion, Centric's peak outstanding
ABCP was $6.2 billion in February of 2000.
BMO NESBITT BURNS' FAIRWAY REMOVES FULL LIQUIDITY SUPPORT FROM $42
MILLION TRADE RECEIVABLES FACILITY AND ADDS $150 MILLION MORTGAGE
Fairway Finance Corp., a BMO Nesbitt Burns-sponsored
and administered ABCP program, unwrapped a $42 million trade
receivables facility with a United States-based manufacturer and
distributor of residential windows and patio doors. Liquidity,
provided by Bank of Montreal (Aa3/Prime-1/B), partially supports
this transaction. Transaction-specific credit enhancement
is in the form of overcollateralization with a 14% minimum.
The amount will fluctuate based on pool performance. Fairway has
also increased its program-level credit enhancement by 11%,
to $4.62 million.
Fairway also added a $150 million revolving mortgage warehouse
facility. The originator is a privately-owned residential
and commercial asset loan servicing company which specializes in sub-performing
loan portfolios. Liquidity, provided by Bank of Montreal,
fully supports this transaction. Fairway has also increased its
program-level credit enhancement by 10% to $15 million.
Fairway is currently authorized to issue up to $10 billion of ABCP.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING CORP. (1) INCREASES
INSURANCE PREMIUM-BACKED RECEIVABLE FACILITY TO GBP 200 MILLION;
(2) ADDS EURO 95 MILLION TRADE RECEIVABLE FACILITY; (3) UNWRAPS $75
MILLION TRADE RECEIVABLE FACILITY; AND (4) PURCHASES A $300
MILLION UNRATED SENIOR NOTE FROM A CREDIT-CARD-BACKED MASTER
Bayerische Landesbank's (BLB) partially supported, multiseller conduit
Giro Balanced Funding Corp. increased the facility limit for a
London-based insurance premium facility to GBP 200 million from
GBP 175 million. Bayerische Landesbank's (Aaa/P-1/C) liquidity
support to the deal and the program credit enhancement were correspondingly
adjusted. No other changes to the underlying transaction were made.
The pool continues to perform satisfactorily although with some deterioration
Giro Balanced Funding Corp. (GBFC) also added to its portfolio
a Euro 95 million facility extended to various European subsidiaries of
a United Kingdom-based manufacturing company. The obligors
in the receivables pool are all from the automotive industry. Pool-specific
credit enhancement is a flat 10%. The credit enhancement
is provided through overcollateralization, and the risk of large
obligor concentrations absorbed by a liquidity facility. BLB will
provide partial liquidity support, and has increased the conduit's
credit enhancement by 10%.
In addition, GBFC removed full liquidity support for a $75
million trade facility deal that was originally funded a year ago.
The facility has dynamic pool-specific enhancement with a floor
of 32% (which was adjusted when the facility was renewed for another
364 days this month). The receivables are generated by an investment-grade
supplier to the automotive industry. Large obligor concentrations
are absorbed by BLB-provided liquidity.
Finally Giro Balanced Funding Corp. purchased a $300 million
floating rate note from an established credit card issuer. The
unrated senior note is supported by a 8.75% Class C note.
Risk to investors is mitigated through a combination of a short ABCP tenor
and a trigger event that requires a cease issuance of ABCP when a portion
of the juniormost note is reduced through losses
To date, Giro Balanced Funding's total commitments amount to $4.1
billion, with outstanding ABCP at $3.8 billion,
and program-wide credit enhancement at $528.4 million.
CREDIT LYONNAIS' LAFAYETTE AMENDS $125 MILLION TRADE RECEIVABLES
La Fayette Asset Securitization LLC, Credit Lyonnais' (A1/Prime-1/B-)
multiseller conduit, amended deal documentation for a trade receivables
originator in the automotive parts industry. The amendments relate
primarily to exposure to large domestic automotive manufacturers who are
obligors under the facility. The amendments increase special obligor
concentrations for these manufacturers to 35% each. Investors,
however, are not exposed to defaults by these obligors in excess
of "normal" concentration limits. The only liquidity funding "out"
with respect to the obligors is their bankruptcy. All are currently
rated investment grade. The amendments also increase reporting
frequency if certain rating triggers are breached. The dilution
reserve floor will be increased from 5% to 17%. La
Fayette is currently authorized to issue up to $735 million of
ING'S MONT BLANC CAPITAL CORP. ADDS EXIM-GUARANTEED TRANSACTION
Mont Blanc Capital Corp., a partially supported, multiseller
program sponsored by ING Bank (Aa2/B+/Prime- 1), recently
added an aircraft financing transaction guaranteed by EXIM. This
transaction, sized at up to a maximum of $411 million,
will be initially funded at just over $110 million. Prior
to increasing any commitments, ING must also provide an incremental
increase in liquidity sized at 102% of the amount being funded.
ABCP investors are protected by the EXIM guarantee and liquidity advances
against payment to be made by EXIM. Other investor protections
include program-level credit enhancement with a $300 million
floor. Mont Blanc is now authorized to issue up to $9.9
billion with $8.8 billion outstanding.
GECC'S REDWOOD ADDS A $57 MILLION TRADE RECEIVABLES FACILITY
Redwood Receivables Corp., a GECC (Aaa/Prime-1) sponsored
and administered ABCP program added a $57 million trade receivables
facility, which is part of a $250 million co-purchase
facility with three other conduits: PARCO, Liberty Street
and Eiffel Funding. The receivables are originated by a B1-rated
supplier of automotive interior systems, including but not limited
to convertible top systems, carpeting and textiles, and plastic
trim and acoustic systems. Pool-specific credit enhancement
is in the form of asset overcollateralization equal to a minimum of 15%
and is sized dynamically based on asset performance. The program's
letter of credit was increased by an additional 22.5% of
outstandings for this facility. With the addition of this asset
pool, Redwood is now authorized to issue up to $3.147
billion of ABCP.
BARCLAY'S SHEFFIELD ADDS $180 MILLION AIRCRAFT ENGINE LEASE DEAL
Sheffield Receivables Corp., a partially supported,
multiseller conduit sponsored by Barclays Bank (Aa1/Prime-1/A-),
purchased $180 of Class A notes from an unrated entity which uses
loan proceeds to finance aircraft engine leases. The transaction
is fully supported by liquidity. Sheffield is currently authorized
to issue up to $19.140 billion of ABCP.
SUN TRUST'S THREE PILLARS ADDS $267 MILLION VARIABLE FUNDING NOTE
FROM RETAIL CONSUMER LOAN MASTER TRUST
Three Pillars Funding Corp. ("TPFC"), Sun Trust Bank's (Aa2/Prime-1/B+)
multiseller ABCP conduit, purchased a fully supported, $267
million subordinate certificate issued by a retail credit card master
trust. The originator is a retailer of home appliances and electronics
as well as a provider of consumer credit through both a private-label
and MasterCard/VISA credit card programs. The certificate purchased
by Three Pillars is backed by MasterCard/Visa credit card receivables.
Liquidity, provided by Prime-1-rated Sun Trust Bank,
fully supports this transaction in Three Pillars. Program-level
credit enhancement for Three Pillars was increased by 10% ($26.7
million) of the purchase commitment. Three Pillars is now authorized
to issue up to $3.76 billion of ABCP.
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-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