MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED MAY 16, 2002
MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE SEVEN DAY PERIOD ENDED MAY 16, 2002
DIRECT FUNDING, CDC IXIS CAPITAL MARKET'S NEW ABCP PROGRAM, IS RATED PRIME-1
Moody's has assigned a Prime-1 rating to Direct Funding S.A., a newly established, partially supported, multiseller ABCP program sponsored and administered by CDC Ixis Capital Markets ("CDC ICM")(Aaa/Prime-1/C). The proceeds of the Billets de Trésorerie (French ABCP) or Euro CP to be issued by Direct Funding will be used to refinance mainly trade receivables transactions.
Pool additions to the program will be generally structured as credit derivatives, in which Direct Funding will provide credit protection to CDC ICM (or another Prime-1 financial institution) against credit risks that could arise on the underlying trade receivables portfolio. Direct Funding will secure its obligations towards its counterparty by remitting some cash collateral that could be released back to the ABCP conduit upon request for liquidity purposes. Direct Funding may also purchase asset-backed securities. Direct Funding's program limit is Euro 5 billion.
The first layer of protection for investors in Direct Funding is the transaction-specific credit enhancement that is built into each pool of assets under the form of overcollateralization or some other structural device. Under a credit derivative transaction, Direct Funding is exposed to the risk that losses on the pool exceed the specific credit support. Each asset pool will be structured to high investment grade standards. The program-wide credit enhancement takes the form of a credit facility granted by CDC ICM. It is initially sized at Euro 1 million, and is available to cover any additional loss on the assets and unexpected expenses.
When Direct Funding enters into credit derivatives, ABCP issuance proceeds are invested into a cash deposit which is pledged to the benefit of the credit protection buyer. This cash collateral remains, however, available upon request by Direct Funding to repay maturing ABCP; thus providing 100% liquidity support to the program. Interest on the cash deposit is calculated to match Direct's funding costs. As in most partially supported conduits, liquidity support will be reduced by losses on the asset exceeding the pool-specific credit enhancement. Direct Funding is the first multiseller ABCP program to use this innovative structure to eliminate the requirement of a traditional liquidity facility for trade and term receivables purchases.
When Direct Funding purchases asset-backed securities, however, it will benefit from a liquidity facility under the form of an asset purchase agreement provided by Prime-1 rated banks.
For further details, please see Moody's press release dated May 13, 2002.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED MAY 16, 2002:
SOCIETE GENERALE'S ANTALIS ADDS ASSET- BACKED SECURITIES
Antalis S.A., the multiseller, partially supported ABCP program sponsored by Société Générale, has purchased a Euro 150 million asset-backed securities transaction. The securities are backed by equipment leases from a Swiss company. Structural protections for this deal are provided by 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. Antalis' program-wide credit enhancement has been increased to Euro 485.3 million and represents 8.9% of the authorized program amount. Antalis is now authorized to issue up to Euro 5.47 billion of ABCP.
BAYERISCHE HYPO-UND VEREINSBANK'S ARABELLA ADDS EURO 150 MILLION TRADE RECEIVABLES TRANSACTION
Arabella Funding, LTD., a Prime-1 rated, multiseller, partially supported ABCP conduit sponsored by Bayerische Hypo-und Vereinsbank AG (HVB) (Aa3/Prime-1/B), has closed a Euro 150 million revolving trade receivables transaction. The receivables, which turn very quickly (on average within less than 30 days), and are originated by a German corporation in the agricultural and building materials industries. Pool-specific credit enhancement is provided through overcollateralization. The amount of enhancement is adjusted dynamically based upon performance, and the enhancement is set at a minimum of 10%. Program-wide credit enhancement of approximately 5.5% is provided by HVB through a letter of credit. Approximately 10% of this letter of credit has been allocated as pool-specific credit enhancement.
This partially supported transaction benefits from various delinquency (e.g. 61-90 days past due at 2.5%) and default triggers (e.g. monthly default ratio at 2.5%). The triggers would end the revolving period, so that no new receivables could be purchased. Since the receivables mature quickly, ABCP holders' risk exposure period for this portfolio is very limited. The liquidity facility, which funds for non-defaulted receivables, is provided by Prime-1 rated HVB, London branch.
With this pool addition, Arabella is now authorized to issue ABCP up to approximately Euro 2.3 billion.
CREDIT LYONNAIS' LA FAYETTE ADDS $78 MILLION TRADE RECEIVABLES DEAL
La Fayette Asset Securitization LLC, Credit Lyonnais' (A1/Prime-1/B-) multiseller conduit that was launched in December of 2001, transferred a trade receivables transaction from another of Credit Lyonnais' ABCP conduits, Atlantic Asset Securitization Corp. The transaction is for $78.1 million. The performance of this leading distributor of microcomputer-related hardware and software products has been very stable in the three years of the transaction's history. Dynamic reserves for the receivables of this high non-investment grade originator are subject to a floor of 10%. La Fayette increased its program credit enhancement by 10% of the commitment amount for the transaction. Giving effect to this new commitment, La Fayette is now authorized to issue up to $540 million of ABCP.
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS ITS FIRST CREDIT CARD TRANSACTION
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, has added a $250 million credit card deal to its portfolio. This deal, which finances a Class A variable funding certificate, is Liberty Street's first credit card transaction. The purchase is part of a $500 million co-purchase shared with Royal Bank of Canada's Old Line Funding Corp., which holds the remaining Class A certificates of $215 million and Class B certificates of $35 million. The pool of Visa and Master card receivables making up the pool are originated by a Aa1-rated seller. The transaction is structured with subordination of 7.5%. Structural enhancements to the deal include an amortization event for violation of a trigger requiring excess spread to be at zero or above. The Bank of Nova Scotia is the sole liquidity provider. The amount of program wide credit enhancement has been incrementally increased by 10% of the amount of this transaction. Liberty currently has just over $5 billion in ABCP commitments and approximately $3.5 billion in ABCP outstanding.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING ADDS $115 MILLION GOLF-CAR LEASE FINANCING FACILITY
Manhattan Asset Funding Company LLC (Manhattan), a partially supported, multiseller conduit, sponsored by Sumitomo Mitsui Banking Corp. (SMBC) (A3/Prime-1/E+, bank financial strength rating on review for possible downgrade) added a $115 million facility that finances golf-car leases originated by an unrated subsidiary of a Baa3-rated company. Manhattan acquired this facility from Madison Funding Corp., another ABCP conduit sponsored by SMBC. A minimum of 9% of deal-specific credit enhancement is being provided. The enhancement adjusts dynamically depending upon asset performance. Also, incremental program-level credit enhancement at 10% of the outstanding purchased receivables was added. Manhattan is authorized to issue up to $5 billion of ABCP. Currently, Manhattan has about $824.27 million in outstanding ABCP, with $166 million in program-level credit enhancement.
SHELL CAPITAL'S STARFISH HAS AMENDED ITS PROGRAM DOCUMENTS
Starfish Global Funding LLC, a partially supported multiseller conduit administered by Shell Capital, Inc., has amended its administration agreement and reimbursement and credit agreement in connection with its ability to purchase highly rated asset-backed securities on a post-review basis. As a result of the amendment, Starfish is required to enhance fully, within one day, any security downgraded below highly rated status. Highly rated securities are generally those rated Aa or higher. The enhancement amount may subsequently be reduced upon Moody's review. Even if the conduit does not have the required credit enhancement available, it may issue ABCP during that one business day which will mature the following day. Starfish currently has approximately $1.017 billion of ABCP outstanding, with $155.7 million attributable to purchase of highly rated securities.
SUNTRUST'S THREE PILLARS ADDS TWO DEALS FOR $217 MILLION
Three Pillars Funding Corp., SunTrust Bank's (Aa3/Prime-1/B+, long term debt rating on review for possible upgrade) partially supported, multiseller ABCP conduit, has added two transactions to its program. The first addition is a partially supported, $142 million auto lease transaction. The seller is one of the largest corporate fleet leasing companies in the United States. Transaction-specific credit enhancement, in the form of overcollateralization, is set at a minimum of 5.25%. The enhancement increases dynamically based upon the performance of the pool of lease receivables.
The second new addition to Three Pillars is a partially supported $75 million trade receivables facility. The seller is a manufacturer and distributor of flooring materials. Transaction-specific credit enhancement is in the form of overcollateralization, with a 15% minimum. The amount will fluctuate based on pool performance.
Program-level credit enhancement was increased by $21.7 million (10% of each facility limit) for these transactions. Also, liquidity for both transactions is provided by Prime-1-rated SunTrust Bank. With the addition of these two facilities, Three Pillars is now authorized to issue up to $3.38 billion of ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY FUNDING INC. UNWRAPS $300 MILLION INTEREST IN GUARANTEED STUDENT LOAN WAREHOUSE FACILITY
Thunder Bay Funding Inc., Royal Bank of Canada's partially supported, multiseller ABCP program, unwrapped its $300 million interest in a guaranteed student loan warehouse facility. Now the deal is partially supported by deal-specific credit enhancement in the form of a cash collateral account of .5%, as well as .25% of overcollateralization. Also, incremental program-level credit enhancement of 10% of the transaction's original pool balance is provided. Thunder Bay is authorized to issue up to $2.5 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.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.
ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.
MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.
All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.
To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.
NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.
Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com
under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”
Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.
Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.
MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.