MOODY'S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED JANUARY 17, 2002
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE FOURTEEN DAY PERIOD ENDED JANUARY 17, 2002:
BAYERISCHE HYPO-UND VEREINSBANK'S ARABELLA ADDS EURO 80 MILLION TRADE RECEIVABLES TRANSACTION
Arabella Funding, LTD., a Prime-1 rated, multiseller, partially supported ABCP conduit sponsored by Aa3/Prime-1-rated Bayerische Hypo-und Vereinsbank AG (HVB), has closed a Euro 80 million revolving trade receivables transaction. The receivables are originated by four subsidiaries of an unrated German automotive parts supplier. The portfolio includes receivables owed by five large obligors. The obligors benefit either directly or indirectly through their parent company from high investment-grade ratings.
Pool-specific credit enhancement consists of a seller cash deposit of 4%, as well as an insurance policy which covers up to 60% of the purchased receivables amount. The policy is provided by an insurance company which is rated Aa2/Prime-1 Program-wide credit enhancement is provided through a 5% letter of credit from HVB.
This partially supported transaction benefits from very tight delinquency and default triggers, both set at 0%. The triggers, if hit, lead to a stop purchase of new receivables and a cease issuance of ABCP. The liquidity facility is provided by the London branch of Prime-1-rated HVB.
With this addition, Arabella is now authorized to issue up to approximately Euro 1.9 billion of ABCP.
AIGFP'S NYALA FUNDING AMENDS PROGRAM TO ISSUE EXTENDABLE NOTES
Nyala Funding LLC ("Nyala"), a fully-supported, single-seller program sponsored by AIG Financial Products Corp ("AIGFP"), has amended its program to allow for the issuance of secured liquidity notes ("SLNs") that may be converted on their expected maturity date into extended maturity notes ("EMNs"). Nyala has also increased its program limit from $1.5 billion to $5 billion. Both the ABCP and EMNs are fully supported by a total rate of return swap provided by Prime-1-rated AIGFP.
There is no restriction, other than the program limit, as to the proportion of SLNs versus ABCP that Nyala may isssue. SLNs may be issued at a discount or on an interest bearing basis. They have an expected maturity date of up to 180 days from the issuance date. If, on the expected maturity date, there are insufficient funds to pay the maturing SLNs, then the SLNs are automatically converted into EMNs with a final maturity date of 180 days from the expected maturity date of that class of SLNs. The initial principal balance of the EMNs is equal to the face amount of the SLNs on their expected maturity date (which is the date of the conversion). The total rate of return swap fully supports payment of the EMNs on their maturity date.
Nyala is authorized to issue up to $5 billion in ABCP and SLNs.
WESTLB'S PARADIGM FUNDING ACQUIRES TWO INTERESTS TOTALING $619.53 MILLION
Westdeutsche Landesbank Girozentrale's (WestLB) Paradigm Funding LLC (Paradigm), a partially supported, multiseller conduit, acquired a $600 million interest in a $900 million facility that purchases tax refund anticipation loans originated by an unrated state-chartered bank. Paradigm also purchased a combined $19.53 million interest in two aircraft loan certificates backed by commercial aircraft leased by an investment-grade airlines company. Each of the transactions is supported by liquidity provided by WestLB. Currently, Paradigm has about $5.5 billion in ABCP outstanding, with $365.7 million in program-level credit enhancement. Paradigm is now authorized to issue about $ 7.75 billion of ABCP.
GECC'S REDWOOD RECEIVABLES ADDS $75 MILLION TRADE RECEIVABLES POOL
Redwood Receivables Corp., a General Electric Capital Corp. sponsored and administered ABCP program, added a $75 million, 5-year revolving trade receivables facility. The facility is backed by receivables generated by a B2-rated, diversified manufacturer for an array of products which are distributed to the automotive, defense, aerospace and construction markets, as well as other industrial markets. Pool-specific credit enhancement, in the form of dynamic asset overcollateralization, is equal to a minimum of 15% of eligible receivables. The program-level letter of credit will also increase by at least 5% of outstandings and will fluctuate, depending on portfolio performance, to a maximum of 25%. With the addition of this asset pool, Redwood is now authorized to issue up to $2.62 billion of ABCP.
ROYAL BANK OF SCOTLAND'S TAGS ABCP PROGRAM ADDS TWO TRANSACTIONS: ONE A £175 MILLION FINANCING OF UK INSTALLMENT LOANS AND THE OTHER A £172.5 MILLION UK PROJECT FINANCE TRANSACTION
Thames Asset Global Securitization No. 1, Inc. (TAGS), a Prime-1-rated, partially supported multiseller conduit sponsored by The Royal Bank of Scotland, has funded a £175 million loan facility which finances a revolving portfolio of installment loans. A UK non-bank financing company originates the loans, which in turn finance insurance premiums. The transaction benefits from a) dynamic pool-specific credit enhancement subject to a floor amount of 5% of the purchased loans and b) a loss-to-liquidation ratio performance trigger of 1.5% that, if hit, results in the cease issuance of ABCP against this asset pool. The maturity of outstanding ABCP is limited to 3 months.
TAGS has also funded a £ 172.5 million loan facility in respect of a UK project financing. The transaction benefits from structural protection through performance triggers linked to the project, which if hit, would result in the cessation of issuance of ABCP for this pool. Furthermore, the maturity of outstanding ABCP is limited to 1 or 3 months, respectively. Program-wide credit enhancement has been increased by 5% of the outstanding ABCP in this pool through a cash collateral account provided by RBS.
These deals are both partially supported by liquidity facilities provided by The Royal Bank of Scotland (Aa2/Prime-1) with the possibility of syndication to other Prime-1- rated banks.
With the addition of these two transactions, the TAGS conduit is now authorized to issue approximately $3.8 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. This information is also available at http://www.moodys.com.
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