MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED SEPTEMBER 11, 2003
MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD SEPTEMBER 4, 2003 THROUGH SEPTEMBER 11, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO SECURED LIQUIDITY NOTES OF NEW CENTURY MORTGAGE CORP.'S VON KARMAN FUNDING LLC
Moody's has assigned a rating of Prime-1 to the secured liquidity notes to be issued by Von Karman Funding Corporation LLC ("Von Karman") in an authorized program size of $2 billion. Von Karman is a single-seller, sub-prime mortgage loan warehouse facility sponsored by New Century Mortgage Corp., a wholly owned subsidiary of New Century Financial Corp. New Century Mortgage Corporation will act as originator, seller, and servicer of the loans purchased by Von Karman. It will also act as administrator of the conduit and manage its day-to- day operations. It is a direct wholly owned subsidiary of New Century Financial Corp. Deutsche Bank Trust Company Americas will act as collateral agent and depositary; Deutsche Bank National Trust Co. will act as custodian; and Deutsche Bank AG, New York Branch will act as rated bidder.
Von Karman will fund the purchase of mortgage loans originated by New Century Mortgage Corp., from the proceeds of the secured liquidity notes ("SLNs") on a revolving basis. As the purchased mortgage portfolio reaches a critical mass, pools of mortgages will be sold or securitized. The SLNs issued by Von Karman are short-term debt with an expected maturity date of up to 180 days, but which may be extended up to an additional 180 days under certain conditions.
The Prime-1 rating assigned to Von Karman's SLNs was based on, among other factors, full liquidity support via a total return swap (TRS) provided by Citibank N.A. (Aa1/Prime-1/A-) in a notional amount equal to the program size necessary to redeem the SLNs in full at legal final maturity, structural protections against the bankruptcy of Von Karman, and Moody's assessment of the abilities of various parties to the transaction to perform their requisite responsibilities.
Liquidity is provided by Citibank N.A. via a total return swap which insulates investors from any credit risk or market value risk associated with the mortgages being funded by the program. In addition, the total return swap covers liquidity risks associated with the inability of the program to sell mortgages, in a sufficient amount to repay maturing SLNs in full by their legal final maturity.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD SEPTEMBER 4, 2003 THROUGH SEPTEMBER 11, 2003:
EIFFEL FUNDING ADDS $98 MILLION FULLY SUPPORTED LOAN FACILITY
Eiffel Funding, a partially supported multiseller ABCP conduit sponsored by CDC-Financial Products, Inc. (Aaa/Prime-1), LLC, has added a $98 million loan facility backed by franchise rights and television revenues from sports clubs in the United States. Liquidity, sized at 102% of the loan facility, or $100 million, is provided by Prime-1-rated CDC to fully support this transaction. Eiffel's program-wide credit enhancement is being increased by 10% of outstandings, or up to $9.8 million with the addition of this transaction.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING ENTERS INTO $300 MILLION INTEREST RATE SWAP AND CREDIT DEFAULT SWAP TRANSACTION TO PURCHASE CORPORATE BONDS
Giro Balanced Funding Corp., Bayerische Landesbank's (Aaa/Prime-1/D+) partially supported, multiseller conduit, entered into a $300 million interest rate swap and credit default swap transaction for the purchase of corporate bonds. The combination of the two swaps fully supports this transaction. The interest rate swap covers both interest rate risk and liquidity risk while the credit default swap covers the credit risk of the bond defaulting. Giro Balanced Funding is now authorized to issue approximately $4.94 billion of ABCP.
ING'S MANE FUNDS NEW CREDIT DEFAULT SWAP REFERENCING $2.7 BILLION OF RATED ASSETS, INCREASING THE SIZE OF EXISTING FUNDED CREDIT DERIVATIVE TO EUR 7.25 BILLION
Mane Funding Corp, a multiseller, partially supported ABCP conduit sponsored by ING Bank NV (Aa2/ Prime-1/B+), has funded its second credit default swap, which references a $2.7 billion portfolio of rated asset-backed securities and corporate bonds. Mane has simultaneously increased the funding of its first credit default swap to EUR 7.25 billion.
The proceeds of ABCP issued by Mane serve a dual purpose: first, they provide collateral for the contingent obligations under the relevant swap; second, they can be used to repay ABCP in the event of a funding disruption. Therefore, there is no requirement for external liquidity support.
There is no program-wide credit enhancement for Mane. Transaction-specific enhancement for the swap is provided by way of a 3.5% reserve threshold. In addition, excess spread accrues at a previously determined rate of approximately 0.2% per annum. No further ABCP may be issued if the reserve threshold should fall below 2.25%.
SAVE THE DATE FOR MOODY'S & IPMA EUROPEAN ABCP CONVENTION: OCTOBER 29, 2003 Moody's Investors Service and the IPMA will hold a conference on European Asset-Backed Commercial Paper on October 29, 2003 at the Dorchester Hotel in London. For further information, please contact Moody's by e-mail on RSVP@moodys.com.
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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