MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED JUNE 21, 2001:
New York, June 22, 2001 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED JUNE 21, 2001:
RESIDENTIAL MORTGAGE WAREHOUSE FINANCE FACILITY FINANCED BY NINE ABCP PROGRAMS IS INCREASED AND AMENDED
A club deal which provides financing to an unrated company in the mortgage lending business has been amended and increased from $4.3 billion to $5.338 billion. The borrower has an investment grade-rated parent. The facility is a co-purchase arrangement among nine ABCP programs: ABN Amro's Amsterdam Funding Corp. and Windmill Funding Corp., CIBC's Asset Securitization Cooperative Corp. (ASCC), Societe Generale's Barton Capital Corp, West LB's Compass Securitization LLC and Paradigm Funding Corp., Bank One's Falcon Asset Securitization Corp.and Preferred Receivables Funding Corp. (PREFCO), and Barclay's' Sheffield Receivables Corp. Sheffield's commitment is $1.813 billion, Barton's $.7 billion, Amsterdam and Windmill's $.8 billion, Prefco and Falcon $.725 billion, Compass' $500 million, ASCC $.7 billion, and Paradigm's, $300 million.
The 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 in the whole loan market. The amendments, which have been reviewed by Moody's, affect concentration limits in the mortgage banker part of the facility only. No changes were made with respect to the other direct loan purchase part of the transaction.
AESOP FUNDING CORP. RENEWS LIQUIDITY COMMITMENTS
AESOP Funding Corp., the single-seller rental car-backed ABCP program, has renewed its liquidity commitments for one year. The program has $450 million of liquidity provided by a syndicate of Prime-1 rated banks agented by Chase Manhattan Bank and a letter of credit in the amount of $53,750,000 provided by HypoVereinsbank. The program is authorized to issue up to $500 million of ABCP.
RABOBANK'S ATLANTIS ONE FUNDING CORP AND ATLANTIS TWO FUNDING CORP REPLACES PARTICIPATION AGREEMENTS WITH CREDIT DEFAULT SWAPS
In London, Moody's confirmed the Prime-1 and Prime-2 ratings of Atlantis One Funding Corp.(Atlantis One) and Atlantis Two Funding Corp. (Atlantis Two), respectively, following the restructuring of these ABCP programs. The asset analysis and monitoring responsibilities in respect of the underlying loan portfolio are undertaken by Rabobank in its role as Portfolio Advisor. Rabobank is also program administrator.
Under the original Atlantis structure, two special purpose purchasing vehicles (the Atlantis Finance Companies) purchased interests in certain commercial loans (the Loans) from Rabobank pursuant to Participation Agreements. The Atlantis Finance Companies issued CLO Notes (backed by the Loans) to further intermediary special purpose vehicles (the Intermediary Companies) which, in turn, were financed by Atlantis One and Atlantis Two (together the Issuing Companies). The Intermediary Companies had the benefit of certain liquidity facilities provided by Rabobank, which were available to repay ABCP.
Pursuant to the restructuring of the programs, the Participation Agreements have been terminated and replaced by credit default swaps. Each Atlantis Finance Company is a credit protection seller, with Rabobank as credit protection buyer. The reference obligations under the credit default swaps are subject to the same eligibility criteria as applied to the Participation Agreements, and the initial portfolio of reference obligations comprises the same Loans which were securitized immediately before the restructuring took effect.
Under the new structure, the Intermediary Companies are no longer required as the ABCP proceeds are advanced by the issuing companies directly to the Atlantis Finance Companies pursuant to loan agreements. Such proceeds are deposited in certain accounts (the Collateral Accounts) held with Rabobank Netherlands and are available as collateral in respect of the credit default swaps. The Collateral Accounts are also available for the purpose of repaying ABCP and thereby provide 100% liquidity support. The separate liquidity loan facilities previously provided by Rabobank are therefore no longer required and have been terminated.
The swaps assume a recovery rate of 50% in respect of any defaulted loans. Therefore, on each occasion that a loan becomes defaulted, an amount equal to 50% of such loan will be transferred from the Collateral Accounts in order to make a credit protection payment.
Subordination is provided by way of a 2% loss threshold which must be reduced to zero before any amount becomes payable to Rabobank under the credit default swaps. Furthermore, the proceeds of Prime-2 ABCP issued by Atlantis Two provide additional subordination for Prime-1 Atlantis One investors.
For further details, please see Moody's press release dated June 19, 2001.
BUDGET FUNDING CORP. RENEWS LETTER OF CREDIT AND LIQUIDITY COMMITMENTS
Budget Funding Corp., a single seller rental car ABCP program, has renewed its letter of credit and liquidity commitments for the coming year. Liquidity commitments, provided by a syndicate of Prime-1 rated banks agented by Deutsche Bank, currently amount to $400 million. The letter of credit issued by Credit Suisse First Boston, has a stated amount of $85 million. Budget is now authorized to issue up to $485 million of ABCP.
GECC'S EDISON ADDS A SECOND CLOSED-END MUTUAL FUND LOAN TO ITS PORTFOLIO
Edison Asset Securitization, LLC, a GECC-sponsored and administered ABCP program, added a $100 million facility backed by collateral which is part of a closed-end mutual fund. The majority of the assets in the fund consist of high yield senior secured corporate loans. The transaction is fully supported through a liquidity facility provided by Prime-1-rated GECC. Program credit enhancement has been increased by 5% of the outstanding ABCP for this deal. Edison is now authorized to issue up to $28.004 billion.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING PURCHASES A £150 MILLION INTEREST IN A UK STERLING-DENOMINATED POOL OF TRADE RECEIVABLES
Giro Balanced Funding Corp.(GBFC), Bayerische Landesbank's partially supported, multiseller ABCP conduit, purchased a £150 million interest in a £400 million trade receivables transaction from an unrated UK-based home shopping/retailing entity. GBFC is one of two co-purchasers in this deal that originally closed in August 2000. Transaction-specific credit enhancement of 25.6% is in the form of overcollateralization. At the same time, program-level credit enhancement was increased by 10%. Giro Balanced Funding is now authorized to issue up to $1.45 billion of ABCP and has $324 million in program credit enhancement.
FORTIS' SCALDIS CAPITAL LIMITED FUNDS $55 MILLION SHIP CONSTRUCTION AND LEASE DEAL
Fortis Bank's Scaldis Capital added a $55 million loan for construction and leasing of container ships. Repayment of this junior tranche in a $175 million facility is guaranteed by an insurance policy from a highly-rated multi-line insurer. However, repayment of Scaldis' ABCP is covered by a liquidity facility from Fortis (USA) Finance LLC which fully supports the transaction. The only out to liquidity funding is the insolvency of either Scaldis or the insurer. Scaldis currently funds $1.027 billion of term and trade receivables transactions, and is authorized to issue additional ABCP for securities purchases, up to $8 billion in total.
ABN AMRO'S TULIP ADDS $25 MILLION PORTFOLIO OF TRADE RECEIVABLES
Tulip Funding Corp., the fully supported, multiseller ABCP conduit administered by ABN AMRO Bank N.V. (ABN AMRO), this week financed a $25 million portfolio of trade receivables originated by a UK tire manufacturer. Tulip's ABCP is supported by way of liquidity for 90% of the transaction and a standby letter of credit for 10% of the deal, provided by Prime-1 rated ABN AMRO. The LOC serves as both liquidity and credit enhancement. The authorized issuance amount for Tulip is now approximately $7 billion.
DEUTSCHE BANK'S TWIN TOWERS PURCHASES A $178.5 MILLION ACROSS THREE CLASSES OF A PREMIUM FINANCE LOAN MASTER TRUST
Twin Towers Inc., a partially supported multiseller conduit sponsored by Deutsche Bank AG, purchased a Class A ($148.5 million), Class B ($12 million) and collateral interest amount (CIA) ($18 million) from a new series of a premium finance loan master trust. As with term certificates being issued simultaneously, all three classes are explicitly rated -- Class A, Aaa, Class B, Aa3 and CIA, Baa2. The asset-backed and term certificates are backed by insurance premium loans from a wholly-owned subsidiary of a Aa3-rated financial institution. Twin Towers' ABCP tenor for the Class B and CIA pieces is limited to a maximum of 30 days, and these pieces must be removed from Twin Towers should certain performance triggers be violated. Twin Towers will increase its program-level credit enhancement by 8% of the amount of the Class B and CIA transaction. However, for the Class A purchase, with its Aaa rating, no additional program-level credit enhancement will be required and no liquidity triggers are in place.
Twin Towers may now issue up to $7.5 billion of ABCP. The conduit has about $2.91 billion in outstanding ABCP with $243.4 million in program-level credit enhancement.
UNIBANK'S VIKING ACQUIRES $42 MILLION PORTFOLIO OF ASSET- BACKED SECURITIES
Viking Asset Securitisation Limited, the multiseller ABCP conduit administered by Unibank A/S, has financed a $42 million portfolio of Aaa- rated securities backed by a portfolio of U.S. dollar-denominated debt obligations.
Liquidity funds against the outstanding principal of the purchased bonds, less any amount of interest or principal which is not paid when due under the terms and conditions of the bonds. Viking has entered into a swap agreement with Unibank under which Viking pays an amount equal to interest earned on the bonds and Unibank pays an amount equal to ABCP funding costs and associated expenses. Due to the Aaa rating of the purchased bonds, no additional program credit enhancement has been added for this transaction.
Viking is now authorized to issue up to $272 million 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. This information is also available at http://www.moodys.com.
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