MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED JUNE 23, 1999
New York, June 25, 1999 -- THE FOLLOWING ABCP PROGRAM WAS ASSIGNED A PRIME-1 RATING DURING THE SEVEN DAY PERIOD ENDED JUNE 23, 1999:
MOODY'S RATES VVR Funding, L.L.C. PRIME-1
Moody's assigned a Prime-1 rating to a new ABCP program, VVR Funding L.L.C. ("VVR"), sponsored by Van Kampen Investment Advisory Corp., a wholly owned subsidiary of Van Kampen Investments Inc., which, in turn, is wholly owned by Morgan Stanley Dean Witter & Co. (Aa3/Prime-1). VVR is a partially supported, single-seller conduit, which will make loans to Van Kampen Senior Income Trust (Van Kampen), a closed-end mutual fund. VVR will fund the loans by the issuance of up to $800 million of Prime-1-rated ABCP.
The Prime-1 rating of VVR's ABCP is based primarily on the asset coverage provided by overcollateralization initially equal to 300% or more of ABCP; the daily mark-to-market requirement for the assets in the mutual fund; the requirement to repay borrowings if the asset coverage ratio falls below 300% for 4 consecutive days in order to bring the program back into compliance; a liquidity facility from Prime-1-rated banks equal to the face amount of ABCP; the ability of Van Kampen Investment Advisory Corp. to act as investment advisor; and certain structural protections against the bankruptcy of VVR.
VVR is authorized to issue up to $800 million of ABCP. For details, see Moody's press release dated June 17, 1999.
THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED JUNE 23, 1999:
ABN AMRO'S ABEL AND TASMAN FUNDING PROGRAM ADD A CREDIT CARD TRANSACTION
ABN AMRO's Abel Funding Pty Ltd (Abel) and Tasman Funding, Inc. (Tasman) program added a receivables purchasing facility whereby the program can buy up to A$260 million in credit card receivables originated by an unrated Australian retailer. This new seller comprises 12% of the program's current purchase limits. The program will finance the purchases with proceeds of Tasman's issuance of US$ ABCP in the US market and Abel's issuance of A$ ABCP in the Australian market. First loss protection is in the form of dynamic overcollateralization with a minimum amount of 10%. In addition, the program credit enhancement will be increased by an amount equal to 10% of the ABCP issued to fund this pool. This is the program's sixth seller, and first purchase of credit card receivables.
In addition to this asset addition, the liquidity and credit enhancement facilities which support the Abel and Tasman program were assigned this week to Prime-1-rated ABN AMRO Bank N.V. Previously, these facilities were provided by ABN AMRO Australia Limited, which is rated Aa2. The program is now authorized to issue up to approximately A$2.1 billion of ABCP.
EDISON'S AUTHORIZED ISSUANCE AMOUNT INCREASES TO OVER $16 BILLION
Edison Asset Securitization, a partially supported, multiseller program sponsored by General Electric Capital Corp., increased its authorized ABCP issuance amount this week by $888.25 million, to $16.52 billion. This is the result of the addition of three new asset pools and an increase in the size of one existing facility. The first new asset is a $425 million, 10-year synthetic lease transaction which is fully supported by a liquidity facility provided by Prime-1-rated banks. Although this is a fully supported transaction, the program-level credit enhancement, which is in the form of a letter of credit, was increased by 5% of the lease balance.
Edison's second new asset is a $298.24 million amortizing pool of real estate and equipment loans made to middle market obligors, and franchise loans. The combination of the pool-specific and program-level credit enhancement for this transaction equals 12.5% of the amount of the outstanding loans. This pool is part of an existing $2.5 billion facility that currently includes five equipment and aircraft loans totaling approximately $1.8 billion.
The third new asset is a $40 million pool of small aircraft engine and airframe leases. This pool was added to an existing facility that includes two engine lease pools, which total $187 million. With the addition of the $40 million lease pool, the facility now equals $227 million. The deal is fully supported by a liquidity facility provided by Prime-1-rated banks. Edison's program-level letter of credit was increased by 5% of the amount of outstanding ABCP for the deal. Liquidity providers do not have access to Edison's letter of credit for this transaction. This lack of access to the letter of credit by the liquidity banks is atypical for the Edison program.
In addition to the three new purchases, Edison increased the size of an existing trade receivables facility by $125 million (from $175 million to $300 million). The receivables are generated by the sale of lighting products. Edison is now authorized to issue up to $16.52 billion of ABCP.
FAIRWAY AMENDS EXISTING LOTTERY DEAL
Fairway Finance Corp., a partially supported, multiseller ABCP program sponsored by Nesbitt Burns, increased the size of an existing lottery receivables facility from $150 million to $208.8 million. Prior to the increase, this transaction was fully supported with liquidity provided by Prime-1-rated Bank of Montreal. Now, the transaction is still fully supported, but by an MBIA surety bond rather than by the Bank of Montreal liquidity facility. Liquidity is still available to ensure the timely repayment of maturing ABCP, up to the available amount of the surety bond. With the increase, Fairway is now authorized to issue up to $4.46 billion of ABCP.
CHASE'S PARCO ADDS $500 MILLION UNSECURED CONSUMER LOAN FACILITY
Park Avenue Receivables Corp. (PARCO), Chase Manhattan's partially supported, multiseller program, purchased a $500 million interest in a variable funding certificate backed by a pool of unsecured consumer loans originated by a Baa1-rated bank. This transaction is supported by a 6% collateral interest amount and 6.75% subordination. With this addition and the CLO notes described below, PARCO now funds 37 transactions and is authorized to issue up to $8.984 billion of ABCP.
FOUR CONDUITS PURCHASE PIECES OF CLO CLUB DEAL
As part of a club deal, the following four ABCP conduits purchased Aaa-rated Class A notes of a collateralized loan obligation (CLO). The notes are collateralized by a highly diversified pool of bank loans. WestLB's Compass Securitization LLC purchased $100 million of the notes and is authorized to issue up to $6 billion of ABCP. Chase's PARCO purchased $123.75 million of the notes and is now, as noted above, authorized to issue up to $8.984 billion of ABCP. Barclays Bank's Sheffield Receivables Corp. purchased $150 million of the notes and is now authorized to issue up to $10.62 billion of ABCP. CIBC's SPARC purchased $124 million and is authorized to issue up to $8.8 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.
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