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02 Nov 2000
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED NOVEMBER 2, 2000
New York, November 02, 2000 -- Moody's is holding a day-long instructional seminar for investors, issuers and intermediaries on "The ABCs of ABCP" on Thursday, November 9th at the Marriott Marquis Hotel in New York. Members of Moody's Asset-Backed Commercial Paper Group will discuss how Moody's analyzes ABCP programs. There will be a total of nine speakers conducting talks on many aspects of analyzing ABCP programs, including such areas as Liquidity, Credit Enhancement, Trade Receivables Analysis, ABCP Administration, Alternative Liquidity, and Securities Arbitrage conduits.
"The ABCP market continues to grow. At the same time the level of complexity of ABCP programs is increasing. This is in response to the regulatory and economic factors that affect the sponsors of these programs. We schedule these briefings at least annually to bring the ABCP community up to date on how we view this very dynamic market," said Sam Pilcer, Moody's Managing Director for ABCP ratings.
THE FOLLOWING ABCP PROGRAM WAS ASSIGNED A PRIME-1 RATING BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED NOVEMBER 2, 2000:
MOODY'S ASSIGNS PRIME-1 TO ABCP OF SUMITOMO BANK'S MANHATTAN ASSET FUNDING COMPANY LLC
Moody's assigned a Prime-1 rating to the asset-backed commercial paper (ABCP) of Manhattan Asset Funding Company LLC (Manhattan). Manhattan is a newly established, partially supported multiseller and credit arbitrage ABCP program sponsored by The Sumitomo Bank, Limited (Sumitomo Bank) (A3/Prime-1/E+). Manhattan is authorized to issue up to $2.0 billion of ABCP. ABCP proceeds will be used to invest in asset-backed securities initially rated Baa3 or higher and to purchase or finance trade, term and other receivables.
The securities purchase portion of the program is run like a standard credit arbitrage conduit: assets are purchased without prior review subject to strict investment guidelines. A dynamic credit enhancement formula increases required credit enhancement in response to a decline in asset credit quality. If available credit enhancement is less than required, or if the portfolio does not otherwise meet the investment guidelines, ABCP cannot be issued. If the situation is not remedied in ten days, then one or more securities must be put to the liquidity facility to ensure compliance. Essentially, investors are exposed to the risk that a highly rated asset will go directly to default in ten days or less. In this respect, Manhattan is similar to the stronger credit arbitrage programs, such as Abbey National's Moriarty and Bank of America's Perry Global.
Manhattan may also invest in term and trade receivables transactions with prior review by Moody's. Except for highly rated transactions, rated Aa2 or higher, the term and trade receivables purchases will be subject to a minimum program credit enhancement level of 10% of the purchase commitment, with a floor amount of $50 million. Each transaction will have its own liquidity facility or will be covered by a global liquidity facility.
Prime-1 rated Sumitomo Bank provides liquidity support for the credit arbitrage portfolio equal to face amount of ABCP. Liquidity is provided for term and trade receivables transactions either by a program level liquidity loan facility provided by Sumitomo, or liquidity facilities reviewed by Moody's on a transaction by transaction basis.
Manhattan is required to enter into hedging arrangements that cover foreign exchange risk and the cost of funds risk.
For further details, please see Moody's press release dated November 2, 2000.
THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED NOVEMBER 2, 2000:
IN CLUB DEAL, BANK OF NOVA SCOTIA'S LIBERTY STREET AND WEST LB'S COMPASS ENTER INTO $250 MILLION MOTION PICTURE CREDIT FACILITY
Liberty Street Funding Corp., the partially supported, multiseller conduit sponsored by The Bank of Nova Scotia, and Compass Securitization LLC, the partially supported multiseller conduit sponsored by Westdeutsche Landesbank Girozentrale ("West LB") each bought a $125 million piece of a credit facility that will fund the production of motion pictures. The total $750 million facility represents co-purchase commitments with several banks. The transaction is fully supported by a surety bond from a Aaa-rated provider. A liquidity facility fronts for the surety bond.
A default by the Aaa-rated surety provider and the bankruptcy of either conduit are the only "outs" to funding under each conduit's liquidity agreement. Compass has added 5% incremental program credit enhancement against this asset, while for Liberty Street no incremental program credit enhancement is necessary because the deal is wrapped by a Aaa-rated surety bond. Liberty currently has approximately $5 billion of ABCP outstanding, and Compass currently has approximately $8 billion of ABCP outstanding.
FOUR WINDS FUNDING PURCHASES CREDIT CARD-BACKED CERTIFICATE
Four Winds Funding Corp., Commerzbank's partially supported, multiseller and loan-backed ABCP program, purchased a $500 million Class A variable funding certificate from a major issuer of credit cards. The Class A certificate benefits from an 8.25% subordinated Class B certificate. If the Class B subordination declines by 25%, the transaction requires an immediate put to liquidity. Four Winds is now authorized to issue up to $7.5 billion of ABCP.
STATE STREET'S GALLEON CAPITAL ACQUIRES AUTO LEASE CERTIFICATES
Galleon Capital Corp., the partially supported, multiseller ABCP program sponsored by State Street Capital Markets, LLC has purchased $50 million of Aaa-rated certificates backed by auto leases. The transaction is fully supported by a letter of credit provided by State Street Bank & Trust Co. Galleon is currently authorized to issue up to $713.8 million of ABCP.
WEST LB AMENDS GREYHAWK FUNDING, LLC PROGRAM
Westdeutsche Landesbank Girozentrale (West LB) recently made several amendments to its Greyhawk Funding, LLC (Greyhawk) partially supported securities arbitrage ABCP program. The first amendment modified the credit quality of the assets that Greyhawk may purchase. Prior to the amendment, Greyhawk was allowed to purchase assets rated Baa3 and above. Now, Greyhawk may only purchase assets rated Aa3 and above. Further, if an asset is downgraded below Aa3, and sufficient credit enhancement is not available, then Greyhawk must either sell the asset or put it to its liquidity banks within ten days of the downgrade.
Also, Greyhawk may now purchase assets which are not rated by Moody's, subject to certain "notching" requirements. "Notching" means the requirement that ratings of other agencies be considered if downgraded by a certain number of "notches." The maximum amount of assets that are not rated by Moody's and may be purchased by Greyhawk is limited to 10% of Greyhawk's authorized program amount. Finally, Greyhawk's authorized program amount has been raised to $10 billion from $8 billion.
Greyhawk currently owns interests in over 200 securities, and has approximately $7.2 billion of ABCP outstanding.
BANK OF AMERICA'S HATTERAS INCREASES INTEREST IN SYNTHETIC LEASE TRANSACTION TO $930 MILLION
Hatteras Funding Corp., a fully supported, multiseller conduit sponsored and administered by Bank of America, N.A., increased its interest in an existing revolving credit facility by $105.5 million. The facility provides funds for the construction and installation of a utility facility. The transaction, which now totals $930 million, is fully supported by a liquidity facility provided by Prime-1-rated Bank of America and a syndicate of banks. Hatteras now funds a total of 17 transactions and is authorized to issue up to approximately $3.8 billion of ABCP.
SUNTRUST BANK'S THREE PILLARS INCREASES FACILITY LIMIT FOR AN EXISTING DEAL TO $25 MILLION
Three Pillars Funding Corp., SunTrust Bank's partially supported multi-seller conduit, increased the facility limit for one of its existing transactions from $20 million to $25 million. In the transaction, Three Pillars purchases contracts originated under a loan program for franchisees of a hardware store chain. The asset-backed commercial paper notes are fully supported by liquidity provided by Prime-1-rated SunTrust. SunTrust provides 3% seller-level credit enhancement, and the conduit will add 10% incremental program credit enhancement.
Three Pillars is now authorized to issue up to $1.603 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.
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