MOODY'S ABCP RATING ACTIONS FOR THE EIGHT DAY PERIOD ENDED FEBRUARY 17, 2000
New York, February 18, 2000 -- THE FOLLOWING ABCP PROGRAM WAS ASSIGNED A PRIME-1 RATING BY MOODY'S DURING THE EIGHT DAY PERIOD ENDED FEBRUARY 17, 1999:
MOODY'S ASSIGNS PRIME-1 RATING TO COLONIAL'S NEWBURY FUNDING CBO I PROGRAM
Moody's assigned a Prime-1 rating to Newbury Funding CBO I, Ltd., a securities arbitrage program managed by Colonial Advisory Services, Inc., part of the Liberty Financial Companies. Newbury is a market value program, which will purchase primarily mortgage-backed and asset-backed securities and will fund the purchases by the issuance of ABCP, Class A notes (rated Aa1 by Moody's) and unrated Class B preferred shares. Newbury follows a short duration investment strategy, and invests in securities rated from Aaa down to Baa3. The Prime-1 rating assigned to the ABCP issued by Newbury is based on the program's well-defined eligibility criteria and its daily mark-to-market requirement for the securities; the ability of Colonial as investment manager; the oversight provided by a trustee and an administrator who are independent of the investment manager; certain structural protections against the bankruptcy of Newbury; the amount of the credit enhancement, which is in the form of overcollateralization; the requirement to terminate the program if the market value of the securities declines below a certain level; and the partial liquidity facility provided by a syndicate of Prime-1-rated banks. Newbury is authorized to issue up to $540 million of ABCP. For details see Moody's press release dated February 17, 2000.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE UPGRADED FROM PRIME-2 TO PRIME-1 BY MOODY'S DURING THE EIGHT DAY PERIOD ENDED FEBRUARY 17, 2000:
MOODY'S UPGRADES TEN CP PROGRAMS SUPPORTED BY DAI-ICHI KANGYO BANK, FUJI BANK, OR INDUSTRIAL BANK OF JAPAN
Moody's upgraded the ratings of ten commercial paper programs from Prime-2 to Prime-1 following Moody's February 15 announcement that the short-term ratings of Dai-Ichi Kangyo Bank (DKB), Fuji Bank, and Industrial Bank of Japan (IBJ) have been upgraded from Prime-2 to Prime-1. Of the ten commercial paper programs that were upgraded, four are programs supported by direct pay irrevocable letters of credit (LOCs) issued by IBJ and six are ABCP programs supported by DKB, Fuji Bank or IBJ.
The ratings of the following commercial paper programs supported by LOCs provided by IBJ were upgraded: Kajima Capital of America, Inc.; Mitsubishi Motors Credit of America, Inc., Series D; Orix America, Inc.; and SRD Finance, Inc., Series I.
The ratings of the following ABCP programs were upgraded: DKB's Atlas Funding Corporation; Fuji Bank's Dynamic Funding Corporation, Series A and Progress Funding Corporation, Series A; and IBJ's Astro Capital Corporation, Working Capital Management Co., LP and Working Capital Management Co. II.
For details, see Moody's press releases dated February 15 and 16, 2000.
THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE EIGHT DAY PERIOD ENDED FEBRUARY 17, 2000:
BLACK FOREST FUNDING ADDS $57 MILLION IN CREDIT CARD-BACKED "C" PIECES
Black Forest Funding Corp., a partially supported, multiseller ABCP program sponsored by Bayerische Hypo-und Vereinsbank, purchased an total of $57.2 million in credit card asset interests. The assets are "C" pieces, the subordinated tranche that provides credit enhancement for the senior tranches of a credit card securitization. Black Forest is now authorized to issue up to $532.5 million of ABCP.
WACHOVIA'S BLUE RIDGE ENTERS $65 MILLION TRADE RECEIVABLES DEAL
Wachovia Bank's Blue Ridge Funding Corp., a partially supported, multiseller conduit, entered a $65 million transaction to finance a revolving pool of trade receivables. The receivables are originated by a distributor of industrial and electrical supplies and services. The transaction is partially supported by a liquidity facility provided by Prime-1-rated Wachovia, and by pool-specific credit enhancement, which has a minimum amount of 12%. Blue Ridge is now authorized to issue up to $4.43 billion of ABCP.
FRIGATE FUNDING BUYS $40 MILLION OF STUDENT LOAN-BACKED CERTIFICATES
Frigate Funding Corp., a partially supported, multiseller program sponsored by State Street Bank and Trust Co., purchased a $40 million interest in a student loan securitization. Frigate made the purchase as part of its securities arbitrage program that purchases specific categories of asset-backed securities rated at least A2 by Moody's. Frigate is authorized to issue up to $1.19 billion of ABCP.
MELLON BANK'S THREE RIVERS FUNDING INCREASES PROGRAM AUTHORIZED AMOUNT TO $5 BILLION
Three Rivers Funding Corp., a fully supported, multiseller ABCP program sponsored by Mellon Bank, increased its authorized issuance amount from $3 billion to $5 billion. At the same, the letter of credit provided by Mellon was increased to $400 million.
BEGINNING IN APRIL 2000, BANK OF AMERICA WILL PROVIDE 100% OF ENTERPRISE FUNDING'S PROGRAM CREDIT ENHANCEMENT
Bank of America has restructured the program credit enhancement for Enterprise Funding Corp., one of its fully supported, multiseller programs, so that, effective April 28, 2000, Bank of America will be the sole provider of the credit enhancement by way of one letter of credit (LOC). Currently, the enhancement is provided by three separate LOCs, provided by Bank of America (which replaced Commerzbank AG in October 1999), Bayerische Hypo-und Vereinsbank (BHV), and Lloyds Bank PLC. On April 28, the LOCs provided by BHV and Lloyds Bank will terminate and the LOC provided by Bank of America will increase in size to equal $800 million or 8% of outstanding ABCP.
In the Enterprise program, ABCP is fully supported by liquidity facilities, therefore the program-level credit enhancement is provided for the benefit of the program's liquidity banks, rather than for the benefit of ABCP investors. However, ABCP investors would benefit from the letter of credit if Enterprise were to become bankrupt. The presence of the letters of credit has no impact on ABCP investors because the program-level liquidity facility is what is relied on for repayment of ABCP in full. Enterprise is authorized to issue up to $10 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.
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