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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED FEBRUARY 13, 2003

14 Feb 2003
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 DEAL

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 million.

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 (Aa2/P-1/B+).

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 of ABCP.

BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS A $123 MILLION AUTO LEASE TRANSACTION

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 million.

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' amounts.

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 triggers.

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 ABCP.

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 enhancement.

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.

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

New York
Stephany J.P. Bushweller
Assistant Vice President
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.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."

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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MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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