THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD APRIL 10, 2003 THROUGH APRIL 17, 2003: MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED APRIL 17, 2003:
SEVERAL ABCP CONDUITS INCREASE THEIR RESPECTIVE INTERESTS IN $8.3 BILLION CLUB WAREHOUSE FACILITY TRANSACTION FOR NON-CONFORMING AND CONFORMING MORTGAGE LOANS
A warehouse facility of conforming and non-conforming prime mortgage loans, which is currently a club deal with fifteen ABCP conduits, was increased to $8.3 billion in aggregate through May 12, 2003. After May 12, it will decrease to $8.05 billion, from $4.5 billion. Several conduits' shares were increased, including Bank of America's Quincy Capital Corp. to $1 billion from $300 million, Bank One's PREFCO to $850 million from $600 million, Jupiter Securitization to $650 million from $400 million, Falcon to $950 million from $700 million, Royal Bank of Canada's Old Line to $750 million from $250 million, BNP Paribas' Starbird Funding to $500 million from $250 million, and JPMorgan Chase's PARCO to $950 million from $250 million.
The facility is made up of first lien fixed- and floating-rate residential mortgage loans that are either conforming or non-conforming. The pool enhancement varies with the type of loan. The increase was due to the increased volume of loans due to the low interest rate environment. No other changes were made to the deal.
Other co-purchasers for the facility and their commitments are Deutsche Bank's Gemini, Sedona and Tahoe conduits, Societe Generale's Barton Capital Corp. (at $700 million each); CIBC's Asset Securitization Cooperative Corporation ($500 million), ABN Amro's Windmill Funding Corporation, Credit Lyonnais' Atlantic Asset Securitization and BLB's Giro Balanced Funding (at $250 million each).
Each purchaser provides liquidity for its own facility commitment. Also, each purchaser has increased its program-level credit enhancement, as required, according to its program documents.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING CORP. PURCHASED $111.55 MILLION SYNTHETIC LEASE FACILITY
BLB's Giro Balanced Funding Corp. has purchased a $111.55 million synthetic lease facility on a fully supported basis. The facility is for the construction and lease of oil pipelines and gas pumps to an investment-grade-rated company. The lessees' lease payments to the lessor will match the loan payments (including ABCP interest payments) to the conduit. Since BLB's (Aaa/Prime-1/C) liquidity facility backing this transaction is fully supported, GBFC's program-level credit enhancement has not increased. To date, Giro Balanced Funding's total asset purchase commitments are $4.078 billion, with outstanding ABCP at $3.67 billion and program wide credit enhancement at $489 million.
HSBC'S BRYANT PARK ADDS FRENCH UTILITY TRADE FACILITY
Bryant Park, an ABCP conduit sponsored and administered by HSBC, has added a Euro 250 million facility backed by trade receivables originated by a water utility subsidiary of a Baa1/Prime-2-rated French company. The receivables are denominated in Euros and include both billed charges and estimated charges for earned but unbilled water usage to French customers of the water utility company. Pool-specific credit enhancement, which takes the form of asset overcollateralization, is equal to a minimum of 7% of eligible receivables, but is currently at about 16.2%. There is a dilution reserve and an estimation reserve, which are sized at roughly 30% in total. Investors are not exposed to estimation or dilution risk. Program-wide credit enhancement has been increased by 5% of the amount of this transaction. Bryant Park is now authorized to issue approximately $1.65 billion of ABCP.
BANK OF AMERICA'S HATTERAS ADDS $151 MILLION IN THREE SYNTHETIC LEASE TRANSACTIONS
Hatteras Funding Corp., a fully supported, multiseller conduit sponsored and administered by Bank of America, N.A., entered into three separate synthetic lease transactions with an A3-rated automotive manufacturing company. The combined commitment amount under the three transactions is approximately $151 million. The transactions are fully supported by liquidity facilities provided by a Prime-1-rated syndicate of banks. Hatteras is now authorized to issue up to approximately $3.7 billion of ABCP.
MOODY'S CONFIRMS PRIME-1 RATING OF LMA FOLLOWING THE INCREASE OF ITS AUTHORIZED ISSUANCE AMOUNT
In Paris, Moody's confirmed the Prime-1 rating of LMA, a partially supported, multiseller conduit sponsored by Credit Lyonnais following the increase of the conduit's authorized program issuance amount. LMA is a fully supported, multiseller asset-backed commercial paper program sponsored and administered by Credit Lyonnais. LMA uses the issuance proceeds of Euro-denominated, U.S. dollar-denominated or GBP-denominated Billets de Tresorerie (French asset-backed commercial paper) to fund the purchase of FCC units (French ABS), ABS and bonds issued by French and U.S. corporate entities. LMA has increased the amount of ABCP it is authorized to issue in Euros and pounds sterling, from Euro 1.2 billion to Euro 4 billion, and from GBP 40 million to GBP 70 million. In aggregate, LMA may now issue in total Euro 4 billion, USD 219 million and GBP 70 million of ABCP.
Moody's confirmation of the Prime-1 rating assigned to LMA is primarily based upon the full support provided by highly rated banks, through asset-specific purchase and sale agreements that would allow LMA to repay any maturing Billets de Tresorerien in a timely manner. Currently, the liquidity support providers of the LMA program include CDC Ixis (Aaa/Prime-1/C+), CIC (Aa2/Prime-1/C+), Credit Lyonnais (A1/Prime-1/B-, long-term senior unsecured rating and bank financial strength rating on review for possible upgrade), KBC Bank N.V. (Aa3/Prime-1/B), Natexis Banques Populaires (Aa3/Prime-1/B-), Rabobank (Aaa/Prime-1/A). The Prime-1 rating reflects the integrity of the program's structure as well as the operational abilities of Credit Lyonnais as the program administrator.
GMAC'S MORTGAGE INTEREST NETWORKING TRUST PRIME-1 AND Aa2 RATINGS CONFIRMED
Mortgage Interest Networking Trust ("MINT"), the mortgage warehousing program administered by GMAC Mortgage Group, Inc., recently amended its program to cover market value risk with enhanced levels of overcollateralization. Mortgage collateral in the MINT program is originated or purchased by three MINT subsidiaries, Residential Funding Corp., GMAC Mortgage Corporation, and GMAC Commercial Mortgage Corp.
This change will affect GMAC Mortgage Corp. and Residential Funding Corp. mortgage collateral that backs the Aa2-rated notes issued by entities within the MINT structure and is ultimately funded by Prime-1-rated ABCP. Rather than a market value swap, higher levels of overcollateralization will now accommodate the potential for both credit and market value losses during the time mortgages are held in the MINT program. Notes which are backed by mortgages originated by GMAC Commercial Mortgage Corp. continue to be covered by a Aa2-rated market value swap provider.
In confirming the Aa2 rating on the notes, Moody's evaluated the potential for worst-case market value declines on each type of eligible mortgage collateral. The methodology included a statistical analysis of historical and imputed price volatility under a variety of stressed scenarios. Prior to any issuance of ABCP, and weekly on each Friday, MINT's borrowing base is re-calculated to determine the advance rate. This includes calculating the market value on each individual mortgage to determine the collateral levels consistent with the Aa2 rating on the notes. Investors are further protected by strong administrative support and expertise from GMAC Mortgage Group, Inc. as well as independent validation of internal mark-to-market procedures by the agent for the liquidity banks.
Other program changes include a limit on the amount of subprime mortgages which can be funded by asset-backed commercial paper that is backed by bank liquidity, including a limit on the portion of subprime loans underlying warehouse lending receivables. These changes provide MINT with additional funding flexibility and do not increase the risk exposure of ABCP or MITTEN (extendible ABCP) investors.
The Prime-1 rating on MINT's ABCP and MITTENs have been confirmed after these modifications. MINT, with an authorized limit of $6 billion, had approximately $4.6 billion of ABCP and $188 million of MITTENs outstanding as of April 10, 2003.
SUNTRUST'S THREE PILLARS ADDS $100 MILLION EQUIPMENT LEASING FACILITY
Three Pillars Funding Corp., SunTrust Bank's (Aa2/Prime-1/B+) partially supported, multiseller ABCP conduit, has added a $100 million partially supported, revolving equipment lease facility. The seller is a privately held specialty finance company that offers a full range of leasing services for personal computer networks.
Liquidity, provided by Prime-1-rated Sun Trust Bank, partially supports Three Pillars' commitment. Transaction-specific credit enhancement, in the form of a guaranty provided by the seller's parent, is a minimum of 20%. The credit enhancement increases dynamically based upon the performance of the pool of leases. Liquidity advances against all payments due under the guaranty.
Program-level credit enhancement for Three Pillars was increased by 10%, or $10 million of the facility limit. Three Pillars is now authorized to issue up to $4.3 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.
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