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Rating Action:

MOODY'S ABCP RATING ACTIONS DURING THE SEVEN DAY PERIOD ENDED OCTOBER 3, 2002:

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 BY SURETY

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 FACILITY

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 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% 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.

New York
Samuel Pilcer
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Letitia Accarrino
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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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Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody's Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001. MOODY'S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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