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08 Feb 2002
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED FEBRUARY 7, 2002:
MOODY'S PUBLISHES TWO SPECIAL REPORTS ON SIVS AND CREDIT ARBITRAGE ABCP PROGRAMS
Moody's has just published two new special reports on ABCP programs funding securities arbitrage and structured investment vehicles (SIVs). These programs, often purchased by ABCP investors, are alternative arbitrage approaches for funding the purchase of highly rated securities by their investment managers. Despite their similar focus, the two have distinctly different strategic purposes, and very different approaches to asset management, credit enhancement, liquidity, and hedging.
Volumes in credit arbitrage ABCP programs and SIVs are rising significantly, driven to some extent by rising regulatory capital requirements. The programs are an important part of the growing ABCP and structured MTN markets in the US and Europe. To date, credit arbitrage and SIVs account for approximately 25% of the total $715 billion in Moody's-rated ABCP. Credit arbitrage programs comprise an estimated $82 billion of ABCP outstanding, while SIVs presently issue approximately $29 billion of commercial paper and $55 billion of MTNs.
The Moody's Special Report on SIVs, "An Introduction to Structured Investment Vehicles," is an introductory piece detailing the factors that Moody's considers when rating these complex programs. Also available is "Comparing and Contrasting Credit Arbitrage in ABCP Programs and SIVs," which contrasts the difference between these two alternative investment structures. Both reports can be found on Moody's web site at www.moodys.com.
MOODY'S RATED THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAMS PRIME-1 DURING THE SEVEN DAY PERIOD ENDED FEBRUARY 7, 2002:
MOODYS ASSIGNS PRIME-1 RATING TO GMAC MORTGAGE GROUP'S MINT $6 BILLION ABCP AND EXTENDIBLE ABCP PROGRAM
MINT (Mortgage Interest Networking Trust) is a mortgage loan warehouse securitization facility sponsored by GMAC Mortgage Group, Inc. (GMAC Mortgage) and its affiliate companies. MINT will fund the purchase of Participation Certificates with the proceeds of ABCP and Mortgage Interest Trust Term Extendible Notes (MITTENs). Each Participation Certificate will represent an undivided interest in notes secured by mortgages and warehousing lines of credit (Notes). Investors are ultimately secured by nine types of residential mortgage loans and several types of commercial mortgages as well as by warehousing lines of credit made to third-party mortgage lenders. Mortgage collateral will be originated by three GMAC Mortgage subsidiaries: Residential Funding Corp. (RFC), GMAC Mortgage Corp. (GMACM), and GMAC Commercial Mortgage Corp. (GMACCM). General Motors Acceptance Corp. (A2/Prime-1) is the parent of GMAC Mortgage. MINT has an initial authorized issuance amount of $6 billion.
The Prime-1 rating assigned to MINT's ABCP and MITTENs is based on, among other factors, the following:
(1) Credit quality of the Participation Certificates and Notes, which is ultimately based on the credit quality of the underlying mortgage collateral, on the underwriting standards of the GMAC Mortgage Group subsidiaries, and on the credit enhancement requirements and parameters for the underlying mortgage collateral. Moody's has analyzed these factors and believes they are consistent with a Aa2 expected loss standard for the term permitted for collateral to be held in the facility.
(2) Credit enhancement in the form of dynamic reserve, initially funded at $11.5 million, and stringent, dynamic overcollateralization levels based on the type collateral purchased and the performance of that collateral over time.
(3) Partial liquidity support from a $2 billion facility provided by JP Morgan Chase Bank (Aa2/Prime-1/B+) and Credit Suisse First Boston (New York Branch) (Aa3/Prime-1/C). This facility funds for maturing ABCP so long as any credit enhancement remains. Liquidity is also available to fund MITTENs during the revolving period, as long as certain coverage tests are met.
(4) Effective liquidity support from the MITTENs, which can be extended up to 300 days from the original maturity date. This provides additional time to realize cash from asset sales.
(5) Market value risk protection on the sale of non-defaulted collateral through a market value swap (MVS) sized at $2.5 billion of asset coverage provide by Credit Suisse First Boston International (Aa3/Prime-1) and JPMorgan Chase Bank. The market value swap also provides implicit liquidity protection as well as market value protection by guaranteeing the funding for certain collateral after a fixed sale period, whether the assets have been sold or not.
(6) Structural protections, including aging requirements for the underlying mortgage collateral (depending on type) as well as requirements to maintain the size and quality of the borrowing base of eligible mortgages and the required credit enhancement at all times.
(7) The capabilities of GMAC Mortgage Group as administrator, and of its various subsidiaries as originator and servicer of the residential and commercial mortgage collateral and the mortgage lending warehouse lines of credit.
Since none of the GMAC Mortgage Group entities are acting as funding counterparties to MINT and cash is not commingled with any of these entities, a ratings downgrade to the parent company, General Motors Acceptance Corp., would not necessarily result in a downgrade to the ratings assigned to MINT.
For further details, see Moody's press release dated February 5, 2002
MOODY'S RATES FORD'S FLOORPLAN BACKED MOTOWN NOTES EXTENDIBLE ABCP PROGRAM
Moody's has assigned a rating of Prime-1 to Ford's Motown Notes Program, to be issued as Series 2002-1 from the Ford Credit Floorplan Master Owner Trust A (the Trust). The initial program size is $3 billion. The rating is based on the required subordination amount of 7.82% of the Series 2002-1 invested amount, the 5% liquidity facility, the program amortization triggers, the expertise of Ford Motor Credit Company (Ford Credit) as servicer of the underlying dealer floorplan loans, and other structural features of the program. The dealer floorplan loans in the Trust are originated and serviced by Ford Credit. Ford's long term unsecured bonds are rated Baa1 while Ford Credit's long term unsecured bonds are rated A3. Ford Credit's short term rating is Prime-2.
The Motown Notes Program is a program that can issue different tranches with expected maturities ranging from 1 to 99 days. Each tranche will have a final (legal) maturity 390 days from the tranche's date of issuance. Moody's rating of the Motown Notes addresses the likelihood that all required payments of interest and principal on the Motown Notes will be made by their final maturity dates, not their expected maturities.
Each tranche will be a zero-coupon security that will accrete to its face amount by its expected maturity date. On the expected maturity date, the Trust will issue one or more new tranches and use the proceeds to retire the maturing tranche, but only if certain reissuance conditions are met. If a reissuance condition is not satisfied, the maturing tranche will become an interest-bearing floating rate note at a rate of one-month LIBOR plus 0.20%. Collections on the Trust allocable to Series 2002-1 will thereafter be used to amortize these extended Motown notes until they are paid in full. If the extended notes are not retired by their final maturity dates, liquidity providers will purchase the remaining notes, up to their respective commitment amounts. The liquidity providers are a syndicate of banks rated Prime-1.
For further details, please see Moody's press release dated February 1, 2002.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED FEBRUARY 7, 2002:
DRESDNER'S BEETHOVEN ADDS $75 MILLION RENTAL CAR TRANSACTION
Beethoven Funding Corp., a partially supported, multiseller ABCP program sponsored by Dresdner Kleinwort Wasserstein, has added the purchase of a $75 million interest in a rental car securitization. Liquidity is provided by Prime-1 rated Dresdner, and this transaction is supported by credit enhancement in the forms of subordination and a letter of credit. The minimum amount of credit enhancement is calculated according to a dynamic formula with a 13% floor. Various performance triggers that cause the conduit to cease issuing ABCP, along with a short ABCP tenor, combine to limit investors' exposure to the performance of the underlying transaction. Beethoven has increased its program letter of credit by 10% of this transaction, per program requirements. Beethoven is now authorized to issue up to approximately $1.4 billion of ABCP.
COMMERZBANK'S FOUR WINDS FUNDING CORP. INCREASES AUTHORIZED AMOUNT OF 390- DAY MEDIUM TERM NOTE PROGRAM AND ADDS $200 MM TRADE RECEIVABLES TRANSACTION
Four Winds Funding Corp., Commerzbank's partially supported, multiseller and loan-backed ABCP program, increased the size of its medium-term note (MTN) program from $2 billion to $3.5 billion. The MTNS, issued by FWF LLC, the entity which has been established to issue MTNs, are rated Prime-1, with a maximum maturity of 390 days. The proceeds from the MTNs will be used to purchase Four Winds Funding ABCP.
Four Winds also purchased a $200 million interest in trade receivables originated by a Baa3-rated company. This deal is fully supported through liquidity. Four Winds is now authorized to issue up to $10 billion of ABCP.
BAYERISCHE LANDESBANK'S GIRO MULTI-FUNDING ADDS A $51.72 MILLION Aa3-RATED TRUST CERTIFICATE
Giro Multi-Funding Corp., Bayerische Landesbank's partially supported, multiseller conduit, purchased a $51.72 million Aa3-rated equipment trust certificate. The transaction was fully supported by liquidity provided by BLB. Giro Multi-Funding's outstanding ABCP is now $3.0 billion, with program-wide credit enhancement at $390.5 million.
SCOTIA'S LIBERTY STREET ADDS A $150 MILLION TRADE RECEIVABLES TRANSACTION AND CO-PURCHASES $50 MILLION ASSET INTEREST IN A $475 MILLION TRADE RECEIVABLE TRANSACTION
Liberty Street Funding Corp., a partially supported, multiseller ABCP program sponsored by The Bank of Nova Scotia, purchased an interest in trade receivables originated by a Baa3-rated company. The transaction benefits from dynamic credit enhancement with a floor of 16%.
Liberty Street also entered a co-purchase arrangement amounting to $50 million of a $475 million trade receivable facility. The receivables are from an investment-grade industrial distributor of electronic and computer equipment. Pool credit enhancement is calculated according to a dynamic formula with a 15% floor, while Liberty's program-wide credit enhancement increased by $5 million, or 10% of the amount of this transaction. Liberty Street is authorized to issue up to $6.315 billion of ABCP, with an outstanding amount of ABCP is $4.3 billion.
SUN TRUST'S THREE PILLARS ADDS $50 MILLION STRUCTURED SETTLEMENT FACILITY
Three Pillars Funding Corp., Sun Trust Bank's partially supported, multiseller ABCP conduit, has added a partially supported, $50 million revolving warehouse facility. The seller is a specialty finance company that provides financing to owners and beneficiaries of structured settlements. Liquidity is provided by Prime-1 rated SunTrust Bank. Transaction-specific credit enhancement, in the form of overcollateralization, is set at a minimum of 7%. The enhancement increases dynamically based upon the performance of the receivables pool. Program-level credit enhancement for Three Pillars was increased by $5 million for this transaction. Three Pillars is authorized to issue up to $3.17 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. This information is also available at http://www.moodys.com.
No Related Data.
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