MOODY'S RATED THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAM PRIME-1 DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 6, 2001:
MOODY'S ASSIGNS PRIME-1 RATING TO BANK OF AMERICA'S INDEPENDENCE FUNDING LLC
Moody's Investors Service has assigned a Prime-1 rating to the asset-backed commercial paper notes (ABCP) issued by Independence Funding LLC ("Independence"), a fully supported program sponsored by Bank of America, N.A. ("B of A") (Aa1/ Prime-1/A-).
Independence is a bankruptcy-remote, Delaware special-purpose limited liability company. Independence will use the ABCP proceeds to purchase two different categories of assets. The ABCP issued to purchase these assets are fully supported by either a total rate of return swap or a liquidity facility, both provided by Prime-1 rated B of A. The first category of assets consists of notes issued by special purpose vehicles. Prior to being purchased by Independence, these notes will be fully supported by a total return swap provided by B of A. The swaps supporting these assets will not be reviewed by Moody's; therefore, when Independence purchases these assets, they must be fully supported by a liquidity facility provided by Prime-1 rated B of A. The second category of assets that may be purchased by Independence consists of assets acquired directly from B of A. These may include stocks, notes, loans, bonds and other types of financial assets. These assets will be supported by the total return swap provided by B of A, which fully supports the conduit's investment in these assets. There are no restrictions on the proportion of assets in each of these two categories that Independence can purchase. Each category is fully supported by a facility that insures the timely repayment of ABCP to a Prime-1 level. Independence is authorized to issue up to $10 billion in ABCP.
In the normal course, Independence intends to reissue ABCP to pay maturing ABCP. Should market conditions prevent the issuance of ABCP, then the swap and/or the liquidity facility will pay maturing ABCP. Independence may also draw on liquidity to purchase new assets.
Moody's Prime-1 rating is based on the bankruptcy-remoteness of Independence, the total rate of return swap and liquidity facility, which together fully support ABCP, and the experience and capabilities of B of A in its role as administrator of the program.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 29, 2001:
IN CLUB DEAL, FOUR CONDUITS PURCHASE $283.5 MILLION OF $608 MILLION FRANCHISE LOAN FACILITY
Westdeutsche Landesbank's Paradigm Funding LLC, Hypo-und Vereinsbank's Black Forest Funding Corp., BNP Paribas's Starbird Funding Corp. and Fortis Bank's Scaldis Capital Ltd., all partially supported multiseller ABCP conduits, each purchased a combined $283.5 million interest in a facility financing the franchise loans of a leading restaurant chain. Credit enhancement includes a 4.5% committed purchase from Prime-1 rated financial institutions as well as a spread account. In addition, each conduit has added incremental program-level credit enhancement.
The $283.5 million club deal includes an $85 million interest for Paradigm, a $73.5 million interest for Starbird, a $75 million interest for Black Forest, and a $50 million interest for Scaldis. The remainder of the transaction will stay with FleetBoston Financial Corp.'s EagleFunding Capital Corp.
IN CO-PURCHASE, EIGHT ABCP CONDUITS ADD INTEREST IN $1.03 BILLION SYNTHETIC LEASE TRANSACTION
Eight ABCP conduits purchased asset interests in a syndicated synthetic lease transaction. The lessee is a major manufacturing company. The asset interest for each conduit is fully supported through Prime-1-rated liquidity banks in each conduit. Participants included: Citicorp's CXC Inc., which purchased $325 million; RBC's Old Line Funding Corp. which purchased $108 million; Westdeutsche Landesbank's Paradigm Funding Corp. which purchased $108 million; Hypo-und Vereinsbank's Black Forest Funding Corp. ( $108 million); The Bank of Nova Scotia's Liberty Street Funding Corp. ($108 million); B of A's Enterprise Funding Corp.($54 million); Credit Lyonnais' Atlantic Asset Funding Corp. ($108 million); and Credit Suisse First Boston's Greenwich Funding Corp. ($108 million). Program level credit enhancement for each conduit was as prescribed by applicable program documents.
CITIBANK'S APRECO ENTERS INTO YEN-DENOMINATED SENIOR LOAN AGREEMENT
APRECO, Inc. Citibank's post- review, partially supported, multiseller conduit which owns largely Japanese assets, is entering into a senior loan agreement with a Prime-1- rated Japanese bank. Proceeds of the yen-dominated loan, estimated at the equivalent of $800 million, will be used as an additional funding source for APRECO's yen- denominated assets.. This loan has a nine-month maximum maturity which is renewable monthly. APRECO will repay the loan at maturity from collections on receivables. The loan transaction will not jeopardize the bankruptcy remote nature of APRECO or the ability of ABCP investors to receive timely repayment. APRECO is now authorized to issue up to $4.5 billion of ABCP.
STATE STREET'S CLIPPER PURCHASES A $50 MILLION NOTE BACKED BY RESIDENTIAL MORTGAGES
Clipper Receivables Corp. is a partially supported, multiseller ABCP program sponsored by State Street Bank and Trust Co. Under its Global Liquidity Asset Purchase Agreement, Clipper purchased a $50 million note backed by residential mortgages. The note is rated Aaa by Moody's. Clipper is now authorized to issue up to $3.01 billion of ABCP.
IBEX' FENWAY FUNDING ADDS A $2 BILLION TRANSACTION BACKED BY LIMITED PARTNERSHIPS
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 participation interest in limited partnerships originated by a U.S. subsidiary of a European-based diversified insurance company. Liquidity to fully support this transaction is provided through a total return swap provided by the Aa1/Prime-1-rated subsidiary of a European-based diversified insurance company. Fenway is now authorized to issue up to $3.5 billion of SLNs.
STATE STREET's FRIGATE FUNDING CORP. PURCHASES $40 MILLION IN CERTIFICATES BACKED BY CREDIT CARD RECEIVABLES
Frigate Funding Corp. is a partially supported, multiseller ABCP program sponsored by State Street Bank and Trust Co. Under its Global Liquidity Asset Purchase Agreement, Frigate purchased a $40 million interest in A2-rated certificates backed by credit card receivables. Frigate is authorized to issue up to $1.95 billion of ABCP.
NORDLB'S HANNOVER FUNDING CORP. ADDS $60 MILLION SYNTHETIC LEASE TRANSACTION
Hannover Funding Corp., Norddeutsche Landesbank Girozentrale's partially supported, multiseller ABCP conduit, funded an $80 million synthetic lease transaction. The lessee is an investment-grade-rated manufacturer. Hannover supported this transaction with a liquidity facility that assumes all credit and liquidity risk. 10% of the transaction amount was added to program-level credit enhancement.
CTX MORTGAGE's HARWOOD STREET FUNDING I INCREASES AUTHORIZED AMOUNT OF SECURED LIQUIDITY NOTES TO $1.506 BILLION
Harwood Street Funding I LLC ("Harwood") a single-seller mortgage loan warehouse facility sponsored by CTX Mortgage Corp. Inc., an indirect wholly owned subsidiary of Centex Corp., has increased its authorized amount for secured liquidity note (SLN) issuance from $1.06 billion to $1.506 billion. Harwood thus increased the amount of its existing subordinated Baa2-rated certificates by $22 million. The increase in subordinated certificates was made in order to keep the amount of subordination in the same proportion as before to the authorized amount for SLN issuance.
PRINCIPAL RESIDENTIAL MORTGAGE CAPITAL RESOURCES INCREASES AUTHORIZED AMOUNT TO $4 BILLION
Principal Residential Mortgage Capital Resources LLC ("PRMC") a single-seller mortgage loan warehouse facility sponsored by Principal Residential Mortgage Inc., an indirect wholly owned subsidiary of Principal Financial Services, Inc. has increased its authorized amount by $1.5 billion, to $4 billion. PRMC is now authorized to issue $2.207 billion in Prime-1 rated secured liquidity notes ("SLNs"), and $1.6 billion in Aaa-rated medium term notes ("MTNs"). Subordinate to both the SLNs, and MTNs are a tranche of Baa2 rated certificates, and a reserve fund. PRMC thus increased the amount of its existing subordinated Baa2-rated certificates by $74.5 million. The increase in subordinated certificates was made in order to keep the amount of subordination in the same proportion as before to the authorized amount for SLN issuance.
RABOBANK'S NIEUW AMSTERDAM RECEIVABLES CORP. ADDS A $1.274 BILLION CREDIT LINKED DEPOSIT PROGRAM
Rabobank's Nieuw Amsterdam Receivables Corp. (NARCO), a partially supported, multiseller program, added a $1.274 billion credit linked deposit program. This transaction is fully supported through structured liquidity. NARCO is authorized to issue up to $3.295 billion in ABCP.
BARCLAYS' SHEFFIELD ADDS $904 MILLION STRUCTURED AUTO FLOORPLAN LOAN DEAL
Sheffield Receivables Corp., Barclays Bank PLC's partially supported, multiseller trade and term receivables program, added a $904 million purchase of unrated Class A notes collateralized by structured securities backed by auto floorplan loans. The $1 billion of underlying securities were rated Aaa by Moody's. Interest on the Class A notes purchased by Sheffield will be capitalized and added to principal until redemption or maturity. The notes are supported by $36 million of subordination. Sheffield will add 10% of the Class A notes as program credit enhancement. The liquidity commitment supporting this deal will be sized at $958 million to cover expected capitalized interest over the next 364 days, after which the commitment will be sized again and renewed. Sheffield may issue up to $18.55 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.
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 6, 2001: