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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE NINE DAY PERIOD ENDED NOVEMBER 30, 2000

01 Dec 2000
MOODY'S ABCP RATING ACTIONS FOR THE NINE DAY PERIOD ENDED NOVEMBER 30, 2000 New York, December 01, 2000 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE NINE DAY PERIOD ENDED NOVEMBER 30, 2000:

MOODY'S ASSIGNS PRIME-1 RATING TO BLB'S  ¬ 2 BILLION INDIGO FUNDING ABCP SERIES "TITRIWATT" AND CONFIRMS RATINGS OF OTHER SERIES
Moody's has assigned a Prime-1 rating to the  ¬ 2 billion Series Titriwatt of billets de tr‚sorerie ("BT," French asset-backed commercial paper) to be issued by Indigo Funding. The maximum program amount of the Series is  ¬ 2 billion. Series Titriwatt BT issuance is capped by the amount of liquidity in place, currently  ¬ 1.465 billion plus interest. At the same time, Moody's has confirmed the existing Prime-1 rating assigned to Indigo Funding  ¬ 236 million Series No.1 and to Indigo Funding  ¬ 470 million Series Cogevolt and Indigo Funding  ¬ 1 billion Series Crystal.

Taking all Series together, Indigo Funding could issue approximately  ¬ 3.7 billion of ABCP. Indigo Funding is the French asset-backed commercial paper conduit managed by Bayerische Landesbank Girozentrale, Paris branch.

Series Titriwatt is the fourth series of ABCP issued by Indigo Funding Ltd. This series of ABCP is backed by FCC units (French asset backed securities), and the FCC units are rated Aaa by Moody's and are themselves backed by trade receivables.

DEUTSCHE BANK'S ASPEN FUNDING AND NEWPORT FUNDING ADD REPURCHASE FACILITIES
Aspen Funding Corp. and Newport Funding Corp., securities arbitrage conduits sponsored by Deutsche Bank, have added repurchase facilities as an alternative to the liquidity funding provided by Deutsche Bank. Under the repurchase agreements, the conduits may sell eligible assets to Deutsche Bank in order to repay maturing commercial paper. The conduits will continue to be able to draw upon their liquidity facilities, but the available amounts under those facilities will be reduced by the actual amounts funded under the repurchase contracts. Outstanding commercial paper will continue to have 100% liquidity support.

Aspen and Newport are fully supported conduits are both authorized to issue up to $5 billion of ABCP.

CREDIT LYONNAIS' ATLANTIC ASSET FUNDS A $50 MILLION MORTGAGE WAREHOUSE FACILITY
Credit Lyonnais' Atlantic Asset Securitization Corp., a partially supported, multiseller conduit, recently entered into a $50 million mortgage warehouse facility with an unrated financial services company. The assets backing the deal include conforming, non-conforming, prime, and sub-prime mortgages, and are subject to various portfolio concentration requirements in terms of type and amount. Credit enhancement is provided primarily through overcollateralization of 2% on conforming loans and 3% on non-conforming loans. In addition, there is a fully funded reserve account of 50 basis points of the commitment amount and a 10% incremental increase to Atlantic's program letter of credit. Structural protections include a requirement to cease issuing ABCP if the 30-day delinquency ratio exceeds 2.5%, or if the 60-day default ratio exceeds 1%. The partially supported liquidity facility will be provided by Prime-1-rated Credit Agricole Indosuez (fronting for Credit Lyonnais). Atlantic now funds 27 transactions and is authorized to issue up to $2.624 billion of ABCP.

WACHOVIA'S BLUE RIDGE ASSET FUNDING CORP. ESTABLISHES LIQUIDITY MANAGEMENT PLAN FOR USE WITH TRADE RECEIVABLES DEALS AND FUNDS A $40 MILLION TRADE RECEIVABLES TRANSACTION
Wachovia's Blue Ridge Asset Funding Corp., a partially supported, multiseller conduit, recently incorporated a liquidity management plan (LMP) into its ABCP program structure. Under the terms of the LMP, Wachovia may place deals into Blue Ridge without prior review by Moody's provided the following criteria are met: 1) the transaction must finance trade receivables; 2) the purchase limit of the transaction must not exceed $300 million; 3) the deal must be underwritten in accordance with Blue Ridge's credit and investment policy; and 4) certain deal triggers must be incorporated to ensure that the assets are put to the liquidity banks, requiring them to purchase the assets well before deal-specific reserves would be depleted.

Blue Ridge must cease issuing ABCP issued to fund a particular deal covered by the LMP if any of the following events happen: the level of delinquencies exceeds the deal-specific enhancement; the aggregate balance of eligible receivables minus required reserves is less than Blue Ridge's investment; or a bankruptcy event of the seller of the receivables or borrower has occurred. In addition to the cease issuance requirement, Blue Ridge must ensure that it will have outstanding ABCP in the amount of the two largest deals under the LMP maturing within any 29-day period. Thus, the likelihood of the level of defaulted receivables (which would reduce the amount of available liquidity) exceeding the deal-specific reserves before ABCP matures is extremely remote and consistent with Blue Ridge's Prime-1 rating.

Investors should note that the program-level credit enhancement of Blue Ridge will not be increased for deals subject to the LMP, but LMP transactions will have the benefit of any available program-level enhancement, which amounted to about $300 million as of November 13, 2000. Currently, none of Blue Ridge's transactions are subject to the LMP.

Also, Blue Ridge recently funded a $40 million trade receivables credit facility for an unrated agricultural cooperative. The receivables in the deal are derived from the sale of crop supplies, feed, fuels, grains and livestock. This deal is fully supported by liquidity provided by Prime-1-rated Wachovia Bank.

Blue Ridge now funds 32 transactions and is authorized to issue up to approximately $5.815 billion of ABCP.

GECC'S EDISON ADDS FOURTH ASSET POOL TO EXISTING VENDOR FINANCE FACILITY
GECC'S Edison Asset Securitization LLC, a partially supported, multiseller ABCP program sponsored by General Electric Capital Corp. (GECC), purchased its fourth pool of amortizing closed-end equipment finance leases originated by a division of a highly rated company, totaling approximately $550 million. This division manages finance programs and originates loans and leases to end-users for vendors of various types of equipment. The first pool was purchased in September of 1998 and has since amortized to approximately $32 million. The second pool, purchased in November of 1999, is now approximately $156 million. The third pool was added in September of 2000 for $139.3 million. This is the fourth pool which Edison has added to its existing $750 million facility. Concurrent with the new addition, Edison will be increasing this facility to $1.5 billion.

Pool-specific credit enhancement is in the form of a demand note provided by a subsidiary of GE Capital Services. The demand note, which was 3% of the initial loan amount for the first two pools and 6% of the initial amount for the two most recent pools, is now equal to 5.95% of the outstanding loans in the four pools. As additional credit enhancement, GECC provides a program letter of credit equal to 7% of the outstanding loans in this facility, with a floor of 1.5% of the initial loan amount.

Edison is now authorized to issue up to $24.445 billion of ABCP.

ABN AMRO'S GRAND AND GRAND II ABCP PROGRAMS ADD CERTIFICATES FROM A SYNTHETIC CLO STRUCTURE
Moody's has confirmed the Prime-1 rating of Grand Funding Corp. and the Prime-2 rating of Grand II Funding Corp., with the addition of three certificates issued out of a synthetic CLO structure. Grand Funding and Grand II Funding are both partially supported ABCP programs sponsored by ABN AMRO. Grand Funding purchases investment-grade-rated asset-backed securities, while Grand II Funding Corp. purchases subordinate tranches of asset-backed securities.

Grand Funding purchased two Aa2-rated certificates, including a $285 million Class A Certificate and a $330 million Class B Certificate. The Class A Certificate, which is senior to the Class B Certificate, is supported by 9.3% of subordination, while the Class B Certificate has 7.1% subordination. A $315 million Baa1-rated Class C Certificate, which is subordinate to both the Class A and Class B Certificates, was purchased by Grand II Funding Corp. Grand II's purchase of the Class C Certificate is supported by 5% subordination. The referenced assets are corporate loans, but the collateral backing the certificates will consist of cash deposited with Aa2-rated ABN AMRO. There will be no program-level credit enhancement added to either ABCP program, due to the credit quality of each asset. Grand Funding and Grand II Funding are now authorized to issue $6.95 billion and $827 million of ABCP, respectively.

BANK OF AMERICA'S HATTERAS ADDS $185 MILLION SYNTHETIC LEASE TRANSACTION
Hatteras Funding Corp., a fully supported, multiseller conduit sponsored and administered by Bank of America, NA, entered into a $185 million revolving credit facility with a Baa2-rated seller, which provides funds for the construction and installation of power generating facilities. The transaction structure includes two separate synthetic leases and thus two sets of lessors and lessees. The transaction is fully supported by a liquidity facility provided by Prime-1-rated Bank of America and a syndicate of other banks. No incremental program-level credit enhancement was added. Hatteras now funds a total of 18 transactions and is authorized to issue up to approximately $4 billion of ABCP.

CHASE'S PARCO ADDS $175 MILLION TRADE RECEIVABLES TRANSACTION
Park Avenue Receivables Corp. (PARCO), a partially supported, multiseller conduit sponsored and administered by The Chase Manhattan Bank, entered into a $175 million revolving credit facility which provides funds for the purchase of trade receivables generated by subsidiaries of a speculative grade-rated manufacturer. The transaction has pool-specific enhancement of approximately 15%. Liquidity is provided by Prime-1-rated Chase Manhattan Bank. Incremental program-level credit enhancement is being added equal to 10% of the purchase commitment. PARCO now funds a total of 66 transactions and is authorized to issue up to approximately $14.5 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.
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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All information contained herein is obtained by MOODY'S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided "AS IS" without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY'S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY'S.

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.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

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.

Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

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

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