MOODY'S ABCP RATING ACTIONS FOR THE FIVE-DAY PERIOD ENDED MAY 11, 2004
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD MAY 7, 2004 THROUGH MAY 11, 2004:
CDC'S EIFFEL AND SOCIETE GENERALE'S BARTON CO-PURCHASE TWO FRANCHISE FINANCE FACILITIES TOTALING $525 MILLION
Eiffel Funding LLC ("Eiffel") and Barton Capital Corp. ("Barton") have joined in the purchase of two franchise finance facilities totaling $525 million. Eiffel, a partially supported, multiseller conduit sponsored by CDC Financial Products (Aaa/Prime-1), purchased interests of $400 million in aggregate in the facilities while Barton, a partially supported, multiseller conduit administered by Société Générale (Aa3/Prime-1/B), purchased interests of $125 million. The facilities are backed by franchise loans for gas and convenience stores that were originated by an unrated leasing company, whose parent is rated Aa1/Prime-1.
Transaction-specific credit enhancement for both facilities is in the form of a recourse obligation to a Prime-1-rated company. The amount of recourse is equal to 18% of the initial loan amount with a minimum of $15 million. Thus, as both facilities amortize, the level of enhancement will increase in size. Both transactions are partially supported through liquidity facilities that fund for non-defaulted receivables.
With the addition of these facilities, Eiffel's program-level credit enhancement was increased by 10% of the ABCP issued against this facility, while Barton's program-level credit enhancement was increased by 8% of outstandings for this transaction. Eiffel is currently authorized to issue over $6 billion of ABCP and Barton may issue up to $15 billion of ABCP.
DEUTSCHE BANK'S GEMINI PURCHASES SARATOGA ABCP AND SEDONA ABCP BACKED BY THREE TRANSACTIONS
Gemini Securitization Corp. LLC, ("Gemini"), a partially supported, multiseller conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/B-), has purchased ABCP from two of its sister conduits, Saratoga Funding Corp. LLC ("Saratoga") and Sedona Funding Corp. LLC ("Sedona"). The Saratoga ABCP is backed by two transactions totaling $672.25 million, while the Sedona ABCP is backed by a $75 million interest in a collateralized loan obligation.
The first transaction funded through Saratoga ABCP was a $272.25 million variable funding note backed by auto loans originated by a non-investment-grade-rated auto manufacturer. The transaction was fully supported through a liquidity facility provided by Deutsche Bank. The second transaction was a $400 million interest in variable funding trust certificates ("VFC") backed by credit card receivables originated by a non-investment-grade-rated credit card issuer. The $400 million transaction consisted of three classes of VFCs: a $203.68 million Aaa-rated Class A VFC, a $107.98 million A2-rated Class B VFC, and a $89.34 million Baa1-rated Class C VFC. Transaction-specific credit enhancement is in the form of subordination and excess spread. Class A benefits from subordination of 58.5%, Class B benefits from 35.5% subordination, while Class C benefits from 18.5% subordination as well as a 3.5% excess spread account that was fully funded at closing. The transaction is partially supported through a liquidity facility provided by Deutsche Bank. With this transaction, Gemini's program-level credit enhancement increased by 8% of the Class B and Class C commitment amounts. Gemini was not required to increase its program-level credit enhancement for the addition of the Class A VFC.
In addition to purchasing Saratoga ABCP, Gemini also purchased Sedona ABCP. The Sedona ABCP funds a $75 million interest in a senior secured floating rate note ("FRN") backed by collateralized loan obligations. Since the FRN is rated Aaa, Gemini was not required to increase its program-level credit enhancement for the purchase of Sedona ABCP.
Gemini is the sole purchaser of the ABCP issued by one other Deutsche Bank-sponsored ABCP conduits, Tahoe Funding Corp. LLC ("Tahoe"). With these transactions, Gemini's program limit is set at $15 billion. As of May 6, 2004, total commitments for Gemini was at $9.9 billion with $3.7 billion of outstanding ABCP. Of those amounts, Saratoga had $500 million in total commitments and $43 million in outstanding ABCP while Sedona had $3.0 billion in total commitments and $1.0 billion in outstanding ABCP. Gemini's program-level credit enhancement is currently at $277.7 million (with a floor of $250 million).
WESTLB'S PARADIGM ACQUIRES $300 MILLION INTEREST IN VARIABLE FUNDING NOTE
Paradigm Funding LLC ("Paradigm"), a partially supported, multiseller conduit sponsored by WestLB AG (Aa2/Prime-1/E), has acquired a $300 million interest in a A2-rated Class A variable funding note ("VFN") backed by consumer installment loan receivables. The VFN benefits from 16% subordination and 10% incremental program-level credit enhancement.
Paradigm has about $7.05 billion in ABCP outstanding, with $635.5 million in program-level credit enhancement. Paradigm is now authorized to issue up to $8.6 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS ADDS STERLING 232.5 MILLION NOTE FINANCING CREDIT CARD RECEIVABLES
Thames Asset Global Securitization No.1, Inc. ("TAGS"), a partially supported, multiseller conduit sponsored by the Royal Bank of Scotland plc (Aa1/Prime-1/A-), has added a Sterling 232.5 million Class A variable funding note ("VFN") to its portfolio. The VFN, issued by a revolving credit card master trust, is backed by a pool of credit card receivables originated by a U.K.-based bank. The U.K.-based bank is an experienced and substantial provider of credit card finance in the United Kingdom.
This transaction benefits from transaction-specific credit enhancement in the form of subordination provided by a Class B VFN sized at 7% and further excess spread generated by the transaction's cash flows. In addition, the transaction benefits from an ABCP tenor limitation of one calendar month. ABCP may no longer be issued if the excess spread becomes negative for three consecutive months. The transaction is partially supported through a liquidity facility provided by the Royal Bank of Scotland.
TAGS' program-level credit enhancement was increased by 5% of the purchase commitment. TAGS is currently authorized to issue up to $8.9 billion of ABCP.
For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com.
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