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04 Oct 2002
MOODY'S ABCP RATING ACTIONS DURING THE SEVEN DAY PERIOD ENDED OCTOBER 3, 2002:
New York, October 04, 2002 -- THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S
DURING THE SEVEN DAY PERIOD ENDED OCTOBER 3, 2002:
DEUTSCHE BANK'S BLUE SPICE, LLC PURCHASES TWO RATED CDO NOTES
BLUE SPICE, LLC (BLUE SPICE), a fully-supported,
multiseller program sponsored by Deutsche Bank AG (Aa3/Prime-1/B)
has purchased two Aaa-rated CDOs totaling Euro 248 million.
Each note, and indirectly the ABCP, is fully supported through
a total return swap provided by Deutsche Bank which has been amended to
permit the purchase of assets that are denominated in currencies other
than dollars. Repayment of ABCP issued by BLUE SPICE is also supported
by its ability to issue extendible commercial paper notes for the full
amount of maturing BLUE SPICE ABCP. Deutsche Bank is obligated
to purchase the extendible notes. The extendible commercial paper
notes, in effect, provide liquidity for the program.
BLUE SPICE is authorized to issue up to $242.4 million of
ABCP for this transaction.
CONCERTO RECEIVABLES CORP.'S PROGRAM SIZE REDUCED TO JPY 100 BILLION
In Tokyo, Moody's Investors Service confirmed the Prime-1
rating of Concerto Receivables Corp. ("Concerto"), a multiseller,
fully supported asset-backed commercial paper ("ABCP") program
sponsored by The Bank of Tokyo-Mitsubishi, Ltd. ("BTM,"
A2/Prime-1/D-). following the execution of an amendment
to reduce the maximum yen liquidity commitment. Consequently,
the authorized amount of Concerto's program was decreased from 400 billion
yen to 100 billion yen. The program finances yen-denominated
assets by issuing ABCP in the Japanese CP market only.
GECC'S EDISON ADDS NEW POOLS OF EQUIPMENT AND REAL ESTATE LEASES AND LOANS
Edison Asset Securitization LLC, the partially supported,
multiseller conduit sponsored and administered by Aaa and Prime-1-rated
GECC, has increased two of its existing finance facilities.
The first loan facility contains amortizing pools of equipment and real
estate loans to middle market companies and franchisees. The facility
was an increased from $2.15 billion to $2.95
billion to allow for the addition of six pools of equipment and real estate
loans totaling $920 million. The loans are originated by
various businesses of a diversified investment-grade-rated
company. This facility is partially supported by liquidity provided
by Prime-1-rated GECC. Pool-specific credit
enhancement, in the form of a demand note provided by GECC is equal
to 12% of the initial loan amount and is fungible across all pools.
The amount will remain fixed throughout the life of the pool in order
to cover any tail-end risk associated with assets of this type.
Edison will also increase its program-wide credit enhancement by
7% of outstandings, with a floor amount of 1.5%
of the initial loan amount.
The second, an equipment finance facility, added three new
asset pools totaling $420 million. The facility size was
increased to $1.3 billion, a $300 million increase,
to accommodate the new pools. There had been six asset pools backed
by office, printing, medical and telecommunications equipment
totaling $766 million. The originator, a division
of a highly-rated company, manages finance programs and originates
loans and leases to end-users for vendors of various categories
of equipment. Transaction-specific credit enhancement,
in the form of asset overcollateralization equal to 3% of outstandings
and a demand note provided by GECC, equals 12% of the initial
loan amount. The amount of the demand note is fungible across all
pools and will remain fixed throughout the life of the deal in order to
cover any tail-end risk. As additional credit enhancement,
GECC provides a letter of credit to Edison equal to 7% of outstandings,
with a floor of 1.5% of the initial loan amount.
During the month of September, Edison reduced its commitment to
several existing facilities. The reductions were made to thirteen
asset pools totaling $3.407 billion. As of the end
of the third quarter of 2002, Edison was authorized to issue up
to $40.278 billion of ABCP.
BMO NESBITT BURNS' FAIRWAY ADDS $100 MILLION PORTFOLIO WRAPPED
Fairway Finance Corp., a BMO Nesbitt Burns-sponsored
and administered ABCP program, added a $100 million transaction
which is wrapped by two surety bonds, one provided by Aa2-rated
Radian Re and the other by unrated Radian AA. The assets are an
amortizing pool of consumer installment loans and credit card receivables.
Liquidity is provided by Prime-1-rated Bank of Montreal
(Aa3/Prime-1/B) and advances against outstanding ABCP unless both
Radian AA and Radian Re are bankrupt or Radian Re's rating falls below
Caa2. Fairway is currently authorized to issue up to $10
billion of ABCP.
CREDIT LYONNAIS' LA FAYETTE ADDS $80 MILLION TRADE RECEIVABLES
DEAL AND AMENDS EXISTING DEAL
La Fayette Asset Securitization LLC, Credit Lyonnais' (A1/Prime-1/B-)
partially supported, multiseller conduit, purchased an interest
in a trade receivables transaction amounting to an $80 million
purchase commitment. The seller is a United States-based
mid-tier seller of chemical products, and is rated low investment
grade by Moody's. Pool performance relating to turnover,
dilutions, and delinquencies has been relatively stable over the
last four years. Dynamic reserves for the receivables are subject
to a floor of 12%. La Fayette increased its program credit
enhancement by 8% of the commitment amount for the transaction.
La Fayette also amended an existing trade receivables transaction backed
by receivables generated by a manufacturer of backyard barbecue equipment.
The facility was increased to accommodate the addition of another subsidiary
of the parent company, which is not rated by Moody's. During
the off-peak fall and winter months the facility size has been
increased from $45 million to $55 million. During
the peak spring and summer months, the maximum purchase commitment
remains at $125 million. To account for the lack of performance
data for the new seller, investors benefit from a separate temporary
reserve of 10%. The new seller historically accounts for
approximately 10% of the aggregate pool on a pro forma basis.
The dynamic pool-specific credit enhancement is subject to a 5%
floor and program-level credit enhancement is an additional 10%.
Giving effect to the new commitments, La Fayette is now authorized
to issue up to $915 million of ABCP.
MORTGAGE INTEREST NETWORKING TRUST PRIME-1 RATINGS CONFIRMED
Mortgage Interest Networking Trust ("MINT"), the mortgage warehousing
program administered by GMAC Mortgage Group, Inc.,
recently added Morgan Stanley (Aa3) as market-value swap provider,
but solely with respect to the mortgage loans to be sold into the MINT
facility by GMAC Commercial Mortgage Corp. ("GMACCM"). In
addition, MINT has entered into a subordinate loan agreement with
respect to the GMACM portion of the facility. Senior investors
in MINT are protected by structural features which fully subordinate this
interest. The Prime-1 ratings on MINT's ABCP and its extendible
notes (known as MITTENs) are confirmed as a result of these modifications.
MINT with an authorized limit of $6 billion has approximately $3
billion of ABCP currently outstanding.
JPMORGAN'S PARCO ADDS $37.5 MILLION CREDIT CARD DEAL AND
AMENDS AUTO LOAN DEAL'S CREDIT ENHANCEMENT STRUCTURE
Park Avenue Receivables Corp. (PARCO), a partially supported,
multiseller conduit sponsored and administered by JPMorgan Chase Bank
(Aa2/P-1/B+), purchased the entire $37.5
million subordinate interest in a credit card receivables-backed
transaction from Asset Portfolio Funding Corp. (Prime-1),
another JPMorgan partially supported, multiseller conduit.
The asset is fully supported by liquidity in PARCO. The originator
has a Baa1 senior unsecured debt rating from Moody's. Program-level
credit enhancement is 10% of the commitment amount.
PARCO also amended the credit enhancement structure in a $250 million
facility backed by near-prime auto loan receivables originated
by an independent finance company with a high investment grade rating
from Moody's. The amendment converts a static advance formula to
a dynamic formula based on the pool's weighted average credit scores.
PARCO's purchase interest is in the form of a variable funding note whose
investment amount fluctuates as the borrower increases and decreases its
use of the warehouse facility. Delinquencies trended upward at
the beginning of this year but have since returned to more consistent
levels. The transaction benefits from program-level credit
enhancement equal to 10% of the commitment amount.
Giving effect to the addition of the credit card transaction, PARCO
is now authorized to issue up to $ 11.6 billion of ABCP.
SUNTRUST'S THREE PILLARS ADDS $100 MILLION TRADE RECEIVABLES CO-PURCHASE
Three Pillars Funding Corp., SunTrust Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit, added a $100
million co-purchase trade receivables facility. Bank One's
Falcon Asset Securitization Corp. is the other conduit lender under
this facility, which owns the remaining $125 million investment.
The seller is a global distributor of data, voice and video network
communication products and services. Transaction-specific
credit enhancement, in the form of overcollateralization,
is set at a minimum of 12%. The pool-specific enhancement
increases dynamically based upon the performance of the pool of lease
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% of its
purchase commitment, or $10 million. Three Pillars
is now authorized to issue up to $4.16 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
No Related Data.
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