MOODY'S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED FEBRUARY 13, 2003
New York, February 14, 2003 -- MOODY'S PUBLISHES "THE FUNDAMENTALS OF ABCP"
Moody's has released a new special report, "The Fundamentals of
Asset-Backed Commercial Paper," which is a comprehensive
and valuable reference manual for the ABCP market. This 88-page
article is an extensive update to Moody's 1993 article, "ABCP:
Understanding the Risks." Additions include discussions of the
ABCP investor base and regulatory pressures.
The report details the basic elements of ABCP, such as the risks
and mitigants in the various ABCP conduit structures, service and
support providers, and monitoring conduit activity. An initial
Executive Summary provides a concise overview of the article and may be
read separately from the rest of the paper. The article also contains
a glossary of ABCP terminology and a comprehensive index.
"The Fundamentals of ABCP" can be found at http://www.moodys.com
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING
THE PERIOD JANUARY 30, 2003 THROUGH FEBRUARY 13, 2003:
MOODY'S CONFIRMS PRIME-1 RATING OF FIVE ABCP CONDUITS IN CONNECTION
WITH FUNDING OF $900 MILLION OF A FILM DISTRIBUTION RIGHTS-BACKED
Five partially supported, multiseller ABCP conduits have purchased
$900 million in interests in a revolving facility arranged by CIBC
as administrative agent. The facility is backed by revenues generated
by the international film rights to a portfolio of live action films co-produced
by an international film production company. The facility will
also finance future purchases of international film rights as well as
a portion of the releasing costs for additional films co-produced
by the company. Revenues generated from the exploitation of the
films through the different international distribution channels,
including theatricals, home video and television, will be
the principal source of repayment for the facility.
The conduits, and their respective commitment amounts, are:
CIBC's Special Purpose Accounts Receivable Corp. (SPARC),
$300 million; Rabobank's Nieuw Amsterdam Receivables Corp.
(NARCO), $175 million; Dresdner Bank's Beethoven Funding
Corp. (Beethoven), $200 million; Banco Santander
Central Hispano's Altamira Funding (Altamira), $100 million;
and Bank One's Jupiter Securitization Corp. (Jupiter), $125
Investors are protected against credit risk exposure from the underlying
assets by a financial guarantee policy issued by Aaa-rated MBIA.
The insurance policy will guarantee scheduled interest and ultimate principal
up to $900 million on the CP facility. The rate insured
by MBIA will have a ceiling of 6% and interest exposure above this
ceiling will be borne by liquidity banks in the facility. The obligation
of the liquidity facilities to fund maturing ABCP is contingent,
among other things, on the lack of a surety default by Ambac.
Liquidity is provided by Prime-1 rated CIBC (Aa3/P-1/B-),
Rabobank (Aaa/P-1/A), Dresdner Bank (Aa3/P-1/C-),
Banco Santander Central Hispano (Aa3/P-1/B), and Bank One
SPARC has approximately $65 million in program-level credit
enhancement and is authorized to issue up to $4.12 billion
of ABCP. NARCO's authorized amount is $4.43 billion
with program-level credit enhancement of $200 million.
Similarly, Beethoven's numbers are $2 billion and $115
million; Altamira's are $416 million and $50 million,
and Jupiter's are $17 billion and $1.04 billion.
ABN AMRO'S ORCHID ADDS JPY30 BILLION CONSUMER LOAN DEAL
Orchid Funding Corporation (Orchid), a partially supported,
multiseller conduit sponsored and administered by ABN AMRO Bank N.V.
(Aa3/Prime-1/B), purchased the Aa2-rated discounted
notes issued by LA Dream Funding Corporation. The discounted notes
are backed by the senior beneficial interest over a pool of consumer loan
receivables originated by a Japanese finance company that is not rated
by Moody's. Moody's has assigned an Aa2 rating to the discounted
notes based the subordinated beneficial interest, the excess spread
and the seller's beneficial interest. This transaction is also
supported by a liquidity facility provided by Prime-1 rated ABN
AMRO Bank N. V.
This transaction is the first funding action of the Orchid, which
is now authorized to issue up to an amount equivalent to JPY30 billion
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS A $123 MILLION AUTO LEASE
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/P-1/B)
partially supported, multiseller ABCP conduit, added a $147
million lease transaction. The deal is backed by vehicle fleet
leases originated by an unrated auto finance company. Investors
benefit from a minimum 5.25% deal specific credit enhancement
as well as an incremental 10% increase in program credit enhancement.
This amortizing deal represents the second portfolio purchased from this
seller. Performance on the first, similarly structured portfolio
continues to perform in line with expectations. The Bank of Nova
Scotia provides liquidity in both transactions that give investors benefit
of good assets. Liberty Street currently has just under $5
billion in ABCP commitments and approximately $3 billion in ABCP
outstanding. Program level credit enhancement totals $420
BNP PARIBAS' THESEE LIMITED PURCHASES TWO NEW ASSETS FOR EUR 562 MILLION
AND INCREASES AN EXISTING DEAL BY EUR 39 MILLION.
THESEE LIMITED, BNP Paribas' (Aa2/Prime-1/ B+) partially
supported, multiseller ABCP conduit, added two transactions
to its portfolio and increased its commitment to fund a third transaction.
The first new pool amounts to a maximum of EUR 315 million and is fully
supported by a liquidity line sized at 102% of the purchase limit
and provided by a syndicate of four banks, all rated Prime-1.
The second pool consists of three series of structured notes for a total
of EUR 246 million and is fully supported by a liquidity facility provided
by BNP Paribas (Aa2/Prime-1) and sized at 102% of the notes'
In addition, an existing trade receivables transaction in the cargo
transport industry was increased from EUR 76 to 115 million and amended
to incorporate additional structural features, including stop-purchase
THESEE LIMITED's assets are comprised of twelve portfolios of securities
that include approximately 68% of trade receivable-backed
securities. The authorised amount of the program is now EUR 2.24
billion. The program-wide letter of credit available to
THESEE LIMITED amounts to EUR 74 million, of which EUR 26 million
is available to cover credit risk on the assets.
CDC'S EIFFEL FUNDING ADDS $50 MILLION LEVERAGED REAL ESTATE INVESTMENT
Eiffel Funding Corp., CDC's (Aaa/P-1) partially supported,
multiseller ABCP conduit added a $50 million leveraged real estate
fund investment to its portfolio. The investment is secured by
a subscription agreement with a state pension fund. Investors benefit
from a liquidity facility provided by P-1 rated CDC that will fund
for the face amount of maturing commercial paper, provided a Aaa-rated
pension fund is not rated less than Caa2. Moody's believes the
probability of such a precipitous drop in the pension fund's rating is
consistent with the Prime-1 rating assigned to Eiffel's ABCP.
Eiffel is authorised to issue up to $4.2 billion of ABCP
that is supported by $110 million of program level credit enhancement.
DRESDNER'S BEETHOVEN ADDS $75 MILLION TRADE RECEIVABLES FACILITY
Beethoven Funding Corp., Dresdner Bank AG's (Aa3/P-1/C-)
partially supported, multiseller ABCP conduit, committed to
fund $75 million of the total $475 million trade-receivables
facility benefiting a Baa2-rated electronics manufacturer.
NordLB's Hannover Funding and ABN Amro's Amsterdam Funding each already
fund $200 million pieces of the transaction. This is a cross-border
trade receivables facility in which 90% of the receivables are
insured by one of four insurers.
Investors benefit from a liquidity facility provided by Prime-1
rated Dresdner, which will fund for the face amount of ABCP unless
a rated insurer is rated below Caa2 by Moody's. Moody's maintains
a Aaa rating on one of the insurers and does not rate the others.
Moody's believes the probability of such a precipitous drop in the insurer's
rating is consistent with the Prime-1 rating assigned to Beethoven's
Beethoven is authorised to issue $3.5 billion of ABCP that
is supported by $115 million of program level credit enhancement.
HSBC'S BRYANT PARK ADDS A $100 MILLION TRADE RECEIVABLES DEAL
Bryant Park, an HSBC (Aa3/P-1/B-) sponsored and administered
ABCP conduit has added its fourth asset interest. The newest interest
is a $100 million pool of trade receivables backed by prescription
claims from a drug store chain whose parent is rated Ba3. This
transaction is part of a $250 million facility that already exists
in Mellon Bank's ABCP conduit, Three Rivers. Pool-specific
credit enhancement is in the form of asset overcollateralization equal
to a minimum of 16% of eligible receivables. The amount
may fluctuate depending upon pool performance. Monthly defaults
are well below the current enhancement levels. The receivables
typically liquidate in about one month. Dilution is minimal in
this deal due in part to the systems in place at the pharmacies.
Receivables from highly leveraged pharmacy benefit management companies
make up a majority of the portfolio. Concentrations are limited
to 4% for each obligor, which limits exposure to any one
obligor. There are two obligors whose receivables can be greater
then the 4%. Liquidity banks are absorbing the defaults
associated with one obligor whose receivables can represent up to 16%
of the portfolio. Therefore investors are not exposed to excess
losses from this one large obligor. The other obligor is a subsidiary
of a Aaa-rated pharmacy company.
Bryant Park is now authorized to issue up to $1.35 billion
supported by $20 million in program wide credit enhancement.
SUMITOMO'S MANHATTAN ASSET FUNDING AMENDS PROGRAM TO PROVIDE FOR JOINT
AND SEVERAL LIQUIDITY FACILITIES
Manhattan Asset Funding Company LLC (Manhattan), a partially supported,
multiseller conduit sponsored by Sumitomo Mitsui Banking Corporation (A3/Prime-1/E),
amended its program to provide for joint and several liquidity facilities.
While this amendment is favorable to ABCP investors, Moody's Prime-1
rating of ABCP issued by Manhattan is not contingent upon liquidity providers
entering liquidity facilities that contain joint and several liability
language. Manhattan is authorized to issue up to $5 billion
of ABCP supported by $170 million in program-level credit
SUNTRUST'S THREE PILLARS ADDS $50MM TRADE RECEIVABLES FACILITY
Three Pillars Funding Corp., SunTrust Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit, has added a
$50 million trade receivables facility. The seller is a
global manufacturer, marketer, installer and servicer of products
for the commercial and institutional interiors market. 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 receivables.
Liquidity, provided by Prime-1-rated Sun Trust Bank,
gives investors benefit of non-defaulted assets. Program-level
credit enhancement for Three Pillars was increased by 10%,
or $5 million of the facility limit. Three Pillars is now
authorized to issue up to $4.1 billion of ABCP.
Structured Finance Group
Moody's Investors Service
Stephany J.P. Bushweller
Assistant Vice President
Structured Finance Group
Moody's Investors Service