New York, November 09, 1999 -- Moody's held a very successful day long instructional seminar for investors, issuers and intermediaries on "The ABC's of ABCP" on Friday, October 29th in New York. Approximately 85 ABCP investors, issuers and intermediaries attended the seminar. This is the second consecutive year Moody's has presented the "The ABC's of ABCP" in New York. It was also held this past March in both Sydney and Melbourne, Australia, and will be presented in Chicago, Boston, and Minneapolis in the coming months. A shortened version of the training session was also held in Sacramento and San Francisco in October.MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED NOVEMBER 3, 1999
Members of the Asset-Backed Commercial Paper Group discussed Moody's approach to analyzing ABCP programs. A total of eight speakers conducted talks on many aspects of the analytical process, including such areas as liquidity, credit enhancement, asset analysis, securities arbitrage programs and trends in the ABCP market.
THE FOLLOWING ABCP PROGRAMS WERE ASSIGNED PRIME-1 RATINGS BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED NOVEMBER 3, 1999:
MOODY'S ASSIGNS PRIME-1 RATINGS TO ACE OVERSEAS
Moody's assigned Prime-1 ratings to ACE Overseas, a partially supported, securities repackaging ABCP program sponsored by SG Australia Limited (SG Australia), Societe Generale's Australian investment banking operation. The Prime-1 ratings are based on the high credit quality of ACE Overseas' investments and the availability of asset-specific liquidity and hedging facilities provided by Prime-1-rated banks to support repayment of maturing ABCP so long as the underlying debt security is not in default. ACE Overseas is a prior review program, which means that Moody's will review all new assets prior to acquisition. The Prime-1 ratings are also linked to the role of SG Australia as program manager and liquidity support provider.
For details, see Moody's press release dated November 1, 1999.
MOODY'S ASSIGNS A PRIME-1 RATING TO WEYERHAEUSER NOTES ACQUISITION TRUST'S SHORT TERM CERTIFICATES
Moody's assigned a Prime-1 rating to Weyerhaeuser Notes Acquisition Trust's $750 million short term certificate issuance. The certificates are backed by a total rate of return swap provided by Chase Manhattan Bank (Aa2/Prime-1/B+).
Weyerhaeuser Company Limited will issue a $750 million 5-year note to be purchased by Weyerhaeuser Notes Acquisition Trust. Concurrently, Weyerhaeuser Notes Acquisition Trust will issue $750 million of certificates in the short-term market. A total rate of return swap provided by Chase Manhattan Bank will fully support repayment of interest and principal on the short-term certificates. The rating of the certificates is correlated to the rating of Weyerhaeuser Company (A2/Prime-1), as either a default on Weyerhaeuser's obligation under the note or the bankruptcy of Weyerhaeuser would cause the termination of the total rate of return swap; however, the risk to certificateholders is limited to a relatively short interval, as Weyerhaeuser Notes Acquisition Trust's certificates will be outstanding for a period no greater than 180 days after closing. For details, see Moody's press release dated November 5, 1999.
THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED NOVEMBER 3, 1999:
SYNDICATED RESIDENTIAL MORTGAGE WAREHOUSE FINANCE FACILITY FINANCED BY NINE ABCP PROGRAMS IS AMENDED
Temporary and permanent amendments were made to a $5 billion residential mortgage warehouse finance facility which is syndicated among nine ABCP programs (Amsterdam Funding Corp., Asset Securitization Cooperative Corp. (ASCC), Barton Capital Corp., Compass Securitization LLC, Falcon Asset Securitization Corp., International Securitization Corp., Preferred Receivables Funding Corp. (PREFCO), Sheffield Receivables Corp., and Windmill Funding Corp.). The amendments affect mortgage concentration limits, ABCP tenor, and warehousing periods.
The warehouse facility is used to finance two lines of the company's business. The first involves short-term lending to mortgage bankers, in which the advances to the mortgage bankers are secured by recently originated mortgage loans. The second line of business for the company is the securitization of mortgage loans it purchases directly from loan originators or in the whole loan market. For the entire facility, the maximum tenor of ABCP issued will be temporarily increased from 60 days to 120 days over the period from November 1 to December 31, 1999.
No changes other than the temporary extension of ABCP tenor are being made with respect to the first side of the business (short-term lending to mortgage bankers).
As to the second line of business, the permanent changes include increasing the concentration limitations for mortgage loans in the "Alt-A" category from 40% of the pool to 70%, and from 30% to 50% for subprime loans. The temporary changes in effect from November 1, 1999 to March 31, 2000 are that "high loan-to-value ratio" loans may amount to a maximum of $450 million or 10% of the portfolio, instead of the previous maximum of $200 million or 10% of the portfolio; and that "SNT" loans may amount to a maximum of $300 million or 10% of the portfolio, instead of the previous maximum of $200 million or 10% of the portfolio. Also, during this temporary period, the maximum average number of days during which certain types of loans may be in the warehouse has been increased: for expanded credit and SNT loans, this period has been increased from 120 days to 180 days; for commercial mortgage loans, from 180 days to 240 days; and for home equity loans, from 210 days to 270 days.
EIGHT CONDUITS ENTER $2.005 BILLION FLEET LEASING DEAL
Eight ABCP conduits entered into a $2.005 billion certificate purchase backed by a diversified pool of open-end and closed-end automotive fleet leases originated and serviced by a noninvestment-grade auto rental and automotive services company. The purchase was divided into two tranches: a $1.75 billion senior variable funding note and a $256 million class B interest. This interest was originally purchased by Chase Manhattan's Park Avenue Receivables Corp. (PARCO) in June of this year. The prior review conduit purchasers are as follows: Chase's PARCO is purchasing $380.97 million and is authorized to issue up to $11.51 billion of ABCP, Dresdner's Beethoven is purchasing $100 million and is authorized to issue up to $300 million of ABCP, West LB's Compass is purchasing $150 million and is authorized to issue up to $5.7 billion of ABCP, CIBC's SPARC is purchasing $200 million and is authorized to issue up to $9.322 billion of ABCP, and Bank of Nova Scotia's Liberty Street is purchasing $200 million and is authorized to issue up to $3.314 billion of ABCP.
WEST LB'S COMPASS AND MONTAUK PURCHASE INTERESTS IN AN AMORTIZING POOL OF AUTO LOANS
Two partially supported, multiseller ABCP programs sponsored by West LB - Compass Securitization LLC, an affiliate of Compass Securitisation Limited; and Montauk Funding Corp. - each purchased interests in an amortizing pool of auto loans from the captive finance company of a major auto manufacturer. Compass purchased $550 million of loans and is authorized to issue up to $5.697 billion of ABCP. Montauk purchased $200 million of loans and is authorized to issue up to $10 billion of ABCP.
ABN AMRO'S ABEL TASMAN PROGRAM PURCHASES A A$200 MILLION AUTO LOAN POOL
ABN AMRO's Abel Tasman program purchased a new A$200 million pool of auto loans from an existing seller. This is a partially supported transaction. Auto pools now comprise 13% of Abel Tasman's total purchase commitments. Abel Tasman is now authorized to issue up to A$2.7 billion (approximately US$1.8 billion) of ABCP.
SOCIETE GENERALE'S ANTALIS ADDS A DUTCH DEALER FLOORPLAN TRANSACTION
Antalis SA, a partially supported, multiseller ABCP program sponsored by Societe Generale, added to its asset portfolio a Euro 114 million pool of loans granted to car dealers in the Netherlands; the loans are backed by car leases entered into between the car dealers and Dutch corporates. The pool is supported by overcollateralization and a pool-specific liquidity facility provided by Prime-1-rated Societe Generale. The program-wide credit enhancement, which takes the form of a letter of credit, has also been increased by 10% of the size of this deal, so that it now totals approximately Euro 305 million. Antalis is now authorized to issue up to Euro 2.8 billion of ABCP.
CREDIT LYONNAIS' ATLANTIC ENTERS A $49 MILLION EQUIPMENT LEASE DEAL
Credit Lyonnais' Atlantic Asset Securitization Corp., a partially supported, multiseller conduit, entered into a $48.96 million leveraged lease transaction to finance tire production equipment. The borrower is the North American subsidiary of an unrated foreign manufacturer of automobile tires. Because this transaction is fully supported by a liquidity facility, the program-level credit enhancement will be increased by 2% of the facility amount, rather than by 10%. Atlantic now finances 20 transactions and is authorized to issue up to $1.604 billion of ABCP.
EDISON CLOSES FOUR NEW TRANSACTIONS, INCREASING ISSUANCE CAPACITY BY OVER $1.4 BILLION
GECC's Edison Asset Securitization Corp., a partially supported, multiseller ABCP conduit, closed four transactions this week, increasing its issuance capacity by over $1.4 billion. The first is a $72.3 million leveraged aircraft lease facility that was added to one of Edison's existing facilities which finances aircraft leases. This facility currently finances four separate pools of aircraft leases, bringing the aggregate facility size up to approximately $290 million. The new $72.3 million facility is fully supported by liquidity provided by Prime-1 rated GECC. Additionally, the program-level letter of credit was increased by 5% of outstanding advances made by Edison with respect to this transaction.
Second, Edison acquired an $84.5 million percentage interest in a Aa2-rated variable funding rate revolving note, which is part of a $388 million CLO structure. Because this is a variable funding note, Edison's funded amount may increase and decrease; therefore, the associated liquidity facility commitment is sized at 103% of the maximum purchase amount of $84.5 million. Typically, when highly rated assets are added to Edison, additional credit enhancement is not added to the program-level letter of credit. However, for this deal, the program-level letter of credit will be increased by 10% of outstanding advances made by Edison with respect to the transaction.
Third, Edison entered into a 5-year facility to finance a $145 million interest in an amortizing pool of rail car leases. The risk of losses on the leases is shifted to Prime-1- rated liquidity banks, making this facility fully supported. Although Edison's program-level credit enhancement was increased by 5% of outstanding advances made by Edison with respect to this transaction, liquidity providers do not have access to Edison's letter of credit, as they typically do in Edison transactions.
Last, Edison purchased an interest in an amortizing pool of residential mortgages from a French subsidiary of a Aaa-rated company. The receivables were added to an existing facility in Edison, which funds two pools of mortgages - one fixed rate and one floating rate - originated by the same company. The new receivables are an addition to the floating rate pool and are denominated in French Francs (approximately 2 billion). Credit enhancement is provided by the program-level letter of credit, which is initially sized at 10% of the facility amount and will remain unchanged until it equals 12% of outstanding advances, at which point it will amortize in lockstep with the deal down to a minimum amount of 6% of the facility size.
With the addition of these four new asset pools, Edison is now authorized to issue up to $18.352 billion of ABCP.
CDC'S EIFFEL FUNDING PURCHASES $350 MILLION IN HOME EQUITY LOANS
Eiffel Funding LLC, CDC Financial Products' partially supported, multiseller conduit, purchased a $350 million short term, floating rate note secured by home equity loans. The note is fully supported by Prime-1-rated CDC Financial Products through a swap. This is the second investment by Eiffel, which is now authorized to issue up to $1.620 billion of ABCP.
CREDIT LYONNAIS' LMA PROGRAM MAKES FOUR NEW PURCHASES
LMA S.A., Crédit Lyonnais' fully supported, multiseller program, which issues French ABCP (Billet de Trésorerie) in the French market, has added four new asset interests to its portfolio since June of 1999: (1) FCC units backed by debt of a French corporation; (2) units issued by two different FCCs, each backed by a cash deposit granted to Ester Finance Titrisation, a fully owned subsidiary of Crédit Lyonnais, which specializes in acquiring pools of trade receivables ultimately funded through LMA (each cash deposit to Ester Finance Titrisation is backed by a pool of trade receivables); (3) bonds issued by a French corporate; and (4) collateralized bond obligations. All four pools are fully supported by unconditional asset purchase commitments provided by Prime-1-rated banks. LMA is now authorized to issue up to Euro 316.77 million of Billets de Trésorerie.
MONT BLANC PURCHASES A POOL OF JAPANESE LEASE RECEIVABLES
Mont Blanc Capital Corp., a partially supported, multiseller program sponsored by ING (U.S.) Capital LLC, purchased on a fully hedged basis, a Yen 51 billion (about $450 million) amortizing pool of Yen-denominated lease receivables originated by a major Japanese leasing company. Mont Blanc is now authorized to issue up to $2.8 billion of ABCP.
OLD LINE PURCHASES AN AMORTIZING POOL OF AUTO LOANS
Old Line Funding Corp., a partially supported, multiseller program sponsored by Royal Bank of Canada, purchased a $1 billion amortizing pool of auto loans from the captive finance company of a major auto manufacturer. Old Line is authorized to issue up to $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.
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