MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED APRIL18, 2002:
MOODY'S ABCP GROUP OFFERS PROGRAM "CONDUITS 101" IN MAY AS PART OF A NEW "ABC'S OF ABCP"
On May 9, 2002 in New York, several analysts from Moody's ABCP group will give an overview of elementary concepts relating to ABCP, entitled "Conduits 101." The program will be given at The Metropolitan Hotel from 1:00 p.m. to 5:00 p.m., with a cocktail hour to follow. The presentation is free to Moody's ABCP research clients and $500 each for other attendees. To register, please contact Vernessa Poole, who may be reached at (212) 553-4796 or by email at [email protected]
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED APRIL 18, 2002:
SOCIETE GENERALE'S ANTALIS ADDS TRADE RECEIVABLE TRANSACTION
Antalis S.A., the multiseller, partially supported ABCP program sponsored by Société Générale, has purchased a Euro 150 million transaction backed by trade receivables. The sellers are Spanish companies in the food processing industry. Structural protections for this portfolio include overcollateralization and pool-specific liquidity. All of the liquidity supporting Antalis' ABCP is provided by Société Générale in the amount of 102.5% of each asset pool. In addition, Antalis' program-wide credit enhancement has been increased to Euro 484.9 million and represents 9.1% of the authorized program amount. Antalis is now authorized to issue up to Euro 5.32 billion of ABCP.
IBEX' FENWAY FUNDING ADDS $2 BILLION TRANSACTION BACKED BY RESIDENTIAL MORTGAGE INTERESTS
Fenway Funding LLC, a fully supported ABCP conduit that issues extendible ABCP known as Secured Liquidity Notes ("SLNs"), sponsored by IBEX Capital Markets purchased a $2 billion interest in a transaction backed by interests in residential mortgages originated by an A2-rated company. Liquidity to fully support this transaction is provided through a combination of a funding obligation for the principal amount of the SLNs and a cost of funds swap for the interest component. Both are provided by Lehman Brothers (A2/Prime-1). Fenway is now authorized to issue up to $6 billion in SLNs.
COMMERZBANK'S FOUR WINDS FUNDING ADDS $111.6 MILLION SYNTHETIC LEASE-BACKED NOTE
Four Winds Funding Corp., Commerzbank's partially supported, multiseller and loan- backed ABCP program, purchased a $111.6 million interest in a note backed by a synthetic lease originated by an A1-rated company. This deal is fully supported through liquidity. Four Winds is authorized to issue up to $10 billion of ABCP.
DEUTSCHE BANK'S GEMINI SECURITIZATION INCREASES ITS HOLDINGS BY $100 MILLION OF UNRATED ABCP BACKED BY CO-PURCHASE SHARE IN $1.5 BILLION TRADE RECEIVABLE FACILITY
Gemini Securitization Corp., a partially supported, multiseller conduit sponsored by Deutsche Bank (DB)(Aa3/Prime-1/B), increased its holdings by $100 million of unrated ABCP from another conduit administered by DB. A month ago, Gemini purchased $300 million of unrated ABCP from this conduit. This $400 million of unrated ABCP now owned by Gemini is backed by a $400 million share in a $1.5 billion co-purchase transaction, a trade receivables facility. The trade receivables are generated by an investment-grade-rated agricultural equipment manufacturing company. The unrated ABCP is fully supported through liquidity. Currently, Gemini has about $4.84 billion in ABCP outstanding, with $368.6 million in program-level credit enhancement. Gemini's total commitments currently equal its program limit of $7.5 billion.
DEUTSCHE BANK'S NEWPORT FUNDING CORP. ADDS A CREDIT DEFAULT SWAP TO ITS PROGRAM
Newport Funding Corp., a fully supported, securities arbitrage program sponsored by Deutsche Bank (Aa3/P-1/B) has amended its program to include a credit default swap. The swap will provide coverage for purchases of ABS rated below Aa2, with no additional program credit enhancement required. Through January 31, 2002, Newport's entire $2.66 billion portfolio was covered by a surety bond issued by a Aaa-rated monoline. The underlying securities are from a diverse group of asset types - commercial, residential, credit cards, auto, CBOs and student loans.
WESTLB'S PARADIGM ASSET FUNDING ACQUIRES $62 MILLION A2-RATED CREDIT CARD-BACKED CERTIFICATE
Westdeutsche Landesbank Girozentrale's Paradigm Funding LLC (Paradigm), a partially supported, multiseller conduit, acquired a $62 million A2-rated certificate from a newly issued series of a credit card master trust. The transaction benefits from 8.75% subordination. Also, 10% incremental program-level credit enhancement is provided. Currently, Paradigm has about $5.62 billion in ABCP outstanding, with $377.08 million in program-level credit enhancement. Paradigm is now authorized to issue about $8.24 billion of ABCP.
JPMORGAN CHASE'S PARCO ADDS $200 MILLION TRADE RECEIVABLES TRANSACTION
Park Avenue Receivables Corp. (PARCO), a partially supported, multiseller conduit sponsored and administered by JPMorgan Chase Bank (Aa2/P-1/B+), entered into a $200 million revolving credit facility that finances the purchase of trade receivables generated by a major oil and gas exploration services company rated Baa2. The loss reserve floor in this partially supported transaction is set at 12%. The transaction also benefits from an increase in PARCO's program-level credit enhancement equal to 10% of the purchase commitment. PARCO is now authorized to issue up to $10.5 billion of ABCP.
MOODY'S ASSIGNS LIMITED POST-REVIEW STATUS TO KBC'S QUASAR
Moody's has assigned limited post review status to Quasar Securitisation Company NV, a multiseller, partially supported ABCP conduit sponsored by KBC Bank. Subject to certain conditions, Quasar may now purchase asset-backed securities rated Aa3 or higher by Moody's without first obtaining a rating confirmation. Quasar must use certain documents which have already been reviewed and approved by Moody's. These documents provide that, if any asset is downgraded below Aa3, the liquidity facility provided by KBC Bank will be immediately drawn by Quasar, or KBC Bank will purchase the asset at its outstanding nominal value. Any interest rate risk will be hedged pursuant to a swap provided by KBC Bank. Quasar is now authorized to issue up to Euro 205 million of ABCP.
BNP PARIBAS' STARBIRD FUNDING ADDS $500 MILLION AUTO RECEIVABLES FACILITY
Starbird Funding Corp., a partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa3/Prime-1/B), purchased a $500 million auto receivable facility which finances an investment-grade-rated auto manufacturing company. The underlying assets are from the company's wholly-owned entity's auto financing businesses. The aggregate deal-specific credit enhancement has a floor of 6% and is made up of overcollateralization, reserves, and excess spread. The amount of credit enhancement will increase dynamically according to pool performance. Starbird's program credit enhancement was increased by 5% of the commitment amount. Starbird's program limit is $5 billion with total current commitments at $1.7 billion, total outstanding ABCP at $845 million and program credit enhancement of $94.5 million.
For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly.