New York, December 14, 2001 -- MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER
MOODY'S RATED THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAM
PRIME-1 DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 13,
MOODY'S ASSIGNS PRIME-1 RATING TO HVB'S HARP LLC
Moody's Investors Service has assigned a Prime-1 rating to the
asset-backed commercial paper notes (ABCP) issued by Hudson-American
Realty Protection LLC ("Harp"), a $2 billion fully supported
program sponsored by Bayerische Hypo- und Vereinsbank AG ("HVB")
Harp has been established to act as swap counterparty on a credit default
swap with HVB. In its normal course of business, HVB finances
a revolving pool of commercial real estate mortgages ("reference assets")
to its banking clients. Moody's has reviewed the initial pool of
reference assets and will also periodically review the performance of
these assets as well as that of any additional mortgages added to the
Moody's Prime-1 rating for the ABCP is based on full liquidity
support and credit enhancement provided by a combination of a liquidity
facility from HVB, certain maturity- matched high quality
investments and premium payments made through the credit default swap,
credit enhancement in the from of unrated subordinated medium-term
notes issued by Harp for the greater of 27% of the total program
size and $250 million, and an insurance policy provided by
Aaa-rated MBIA. Other strengths of Harp include the capability
and experience of HVB in its role as the administrative agent and Harp's
bankruptcy-remoteness. Moody's believes that HVB is a capable
and experienced administrator for asset-backed commercial paper
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1
BY MOODY'S DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 13,
BANK ONE'S MULTISELLER, POST-REVIEW ABCP CONDUITS INCREASE
Falcon Asset Securitization Corp., Preferred Receivables
Funding Corp (PREFCO) and Jupiter Securitization Corp., each
a post-review, partially supported, multiseller ABCP
conduit sponsored by Bank One, have all increased their respective
authorized issuance amounts. Falcon is now authorized to issue
up to $23 billion, up from $17.5 billion,
PREFCO may issue up to $20 billion, up from $15 billion,
and Jupiter may issue up to $17 billion of ABCP, up from
Program-level credit enhancement, which is in the form of
an AMBAC surety and a subordinated loan provided by Bank One, was
increased for each conduit according to its individual program requirements.
CREDIT LYONNAIS' ATLANTIC ADDS $125 MILLION TRADE RECEIVABLES DEAL
Atlantic Asset Securitization Corp., Credit Lyonnais' partially
supported, multiseller conduit, added a $125 million
transaction backed by trade receivables originated by a major packaging
products manufacturer with a low investment grade rating by Moody's.
Obligor concentration risk is minor since the originator's business is
highly diversified, both by obligor size and geographical location.
Investors are protected by a minimum of 12% deal-specific
credit enhancement that is reset each month based on multiples of certain
pool performance ratios and a liquidity commitment that absorbs all risks
relating to the receivables other than defaulted receivables. In
addition, investors benefit from program-wide credit enhancement
equal to 10% of the authorized amount of this facility.
Atlantic is now authorized to issue up to $3.6 billion of
HVB'S BLACK FOREST ADDS $230.3 MILLION SYNTHETIC LEASE TRANSACTION
Black Forest Funding Corp., Bayerische Hypo-und Vereinsbank's
partially supported, multiseller ABCP conduit, funded a $230.3
million, fully supported synthetic lease transaction. The
lessee is an investment-grade-rated oil company.
Black Forest supported this transaction with an increase to program level
credit enhancement sized to cover the face amount of commercial paper
notes issued to fund this deal. Black Forest is now authorized
to issue approximately $2.7 billion of ABCP.
STATE STREET'S CLIPPER RECEIVABLES CORPORATION PURCHASES $85 MILLION
Clipper Receivables Corp., a partially supported, multiseller
ABCP program sponsored by State Street Bank and Trust Co.,
purchased a $85 million municipal bond. The security is
fully supported through an increase to a program-level letter of
credit. No program-level credit enhancement was added for
this deal. Clipper is now authorized to issue up to $3.04
billion of ABCP.
COMMERZBANK'S FOUR WINDS PURCHASES $500 MILLION INTEREST IN AUTO
Four Winds Funding Corp., a partially supported, multiseller
ABCP program sponsored by Commerzbank AG, purchased a $500
million interest in receivables originated by an automobile manufacturer.
This deal is fully supported through liquidity. Four Winds is authorized
to issue up to $7.5 billion of ABCP.
STATE STREET'S GALLEON PURCHASES GBP16 MILLION OF CERTIFICATES BACKED
BY CREDIT CARD RECEIVABLES, EURO 12 MILLION OF SECURITIES BACKED
BY NETHERLAND MORTGAGE LOANS AND $70 MILLION OF CERTIFICATES BACKED
BY CONSUMER AUTO LOANS
Galleon Capital Corp. is a partially supported, multiseller
ABCP program sponsored by State Street Bank and Trust Co. Under
its British Pound Global Liquidity Asset Purchase Agreement, Galleon
purchased a GBP16 million interest in certificates backed by credit card
receivables. Moody's rates these certificates A1. No incremental
program credit enhancement is being added for this asset.
Galleon purchased two classes of securities backed by Netherland mortgage
loans. The first class, a class in the amount of Euro 32
million, is rated Aaa. Moody's rates the second class,
amounting to Euro 12 million, A1. Both classes are fully
supported through an increase to a program-level letter of credit.
Under its Global Liquidity Purchase Agreement, Galleon also purchased
two classes of securities backed by consumer auto loans, aggregating
$70 million. Both classes are rated Aaa by Moody's.
No incremental program credit enhancement is being added for these assets.
Galleon may now issue up to $2.01 billion of ABCP.
DEUTSCHE BANK'S GEMINI SECURITIZATION INCREASES INTEREST IN CLASS A NOTE
TO $324.25 MILLION
Gemini Securitization Corp., (formerly Twin Towers Inc.),
a partially-supported, multi-seller conduit sponsored
by Deutsche Bank AG, increased its holding in Class A notes from
a credit card master note trust from an established issuer that offers
MasterCard and Visa credit cards. The Class A Note is rated Aaa.
In addition to Gemini's investment increase, the deal was amended
to include additional payout events, such as a servicer ratings
trigger and new performance related triggers. Gemini may now issue
up to $7.5 billion of ABCP.
THE BANK OF NOVA SCOTIA' S LIBERTY STREET ADDS $108 MILLION FULLY
SUPPORTED LEASE DEAL
Liberty Street Funding Corp., The Bank of Nova Scotia's partially
supported, multiseller ABCP conduit, will purchase a $108
million synthetic lease fully supported by liquidity. This is part
of a $1.3 billion transaction representing a co-purchase
with several other conduits. Liquidity also fronts for an AMBAC
surety bond, which covers the credit risk on the underlying transaction.
With the addition of this facility, Liberty Street is now authorized
to issue up to $6.3 billion of ABCP.
MONTAUK ADDS THREE "C" PIECE CREDIT CARD TRANSACTIONS
Montauk Funding Corp., a limited post-review,
partially supported, multiseller ABCP conduit administered by Westdeutsche
Landesbank Girozentrale, purchased three "C" class pieces of floating
rate asset-backed notes backed by credit card receivables.
Montauk's first two purchases of Class "C" tranches, each in the
amount of $10 million interests, are supported by subordination
of the security's "D" class. Montauk's third "C-piece" purchase
amounts to $18.6 million and is supported by 11.98%
of pool-specific credit enhancement. In addition to this
transaction- specific enhancement, each transaction is supported
by program-level credit enhancement, in the form of a surety
bond provided by Aaa-rated FGIC. The bond is currently at
its floor of $400 million.
Montauk now funds a total of 31 "C" class asset interests totaling $1.5
billion, and is authorized to issue up to approximately $10
billion of ABCP.
ING's MONT BLANC PURCHASES $50 MILLION NOTE WRAPPED BY MBIA
Mont Blanc Capital Corp., ING Bank N.V.'s partially
supported, multiseller ABCP conduit, added a $50 million
lease-backed note wrapped by Aaa-rated MBIA. The
issuer is an unrated rail car leasing company. The transaction
is fully supported by liquidity provided by ING Bank (Aa2/Prime-1).
Mont Blanc currently has approximately $7.3 billion in outstanding
NATIONAL CITY'S NORTH COAST ADDS $100 MILLION POST- REVIEW
North Coast Funding LLC, National City Bank's partially supported,
multiseller ABCP conduit, may now enter into $100 million
of commitments to finance unrated companies involved in equipment leasing
without prior review by Moody's. These companies may borrow amounts
up to $5 or $10 million each from North Coast on a post-review
basis, up to a total of $100 million. This post-review
capability is based on full liquidity support provided by National City
Bank (Aa2/Prime-1). Each transaction, when added,
will also benefit from a 10% incremental increase in the program
letter of credit.
North Coast is now authorized to issue up to $ 4.5 billion
GECC'S REDWOOD RECEIVABLES ADDS $150 MILLION TRADE RECEIVABLES
Redwood Receivables Corp. is a GECC sponsored and administered,
partially supported multiseller ABCP program. Redwood added a $150
million, 5-year revolving trade receivables facility backed
by receivables generated from the prescription benefit services of a non-investment
grade-rated health service manager and provider. Pool-specific
credit enhancement, in the form of dynamic asset overcollateralization,
is equal to a minimum of 15% of the eligible receivables.
The program-level letter of credit will also increase by at least
5% of outstandings and will fluctuate, depending on portfolio
performance, to a maximum of 15% of outstandings.
With the addition of this asset pool, Redwood is now authorized
to issue up to $2.39 billion of ABCP.
BARCLAYS' SHEFFIELD ADDS $650 MILLION AUTO LOAN DEAL
Sheffield Receivables Corp., Barclays Bank PLC's partially
supported, multiseller trade and term receivables program,
added a $650 million purchase of notes collateralized by an amortizing
pool of auto loans originated by an unrated automobile finance company.
The transaction is supported by 18% overcollateralization and a
reserve account set at a minimum of 2% of the transaction.
Sheffield will add $65 million in program credit enhancement for
this transaction. Sheffield may now issue up to $19.029
billion of ABCP.
SUN TRUST'S THREE PILLARS ADDS $15 MILLION LOAN RECEIVABLES PURCHASE
Three Pillars Funding Corp., Sun Trust Bank's partially supported,
multiseller ABCP conduit, added a $15 million fully supported
revolving loan receivables transaction. The seller is a consumer
finance company that originates short-term loans, collateralized
by individuals' automobiles. The obligors are mostly subprime quality
borrowers. Liquidity, provided by Prime-1 rated SunTrust
Bank, fully supports this transaction. Three Pillars is authorized
to issue up to $3.045 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.
Structured Finance Group
Moody's Investors Service
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 13, 2001:
Letitia J. Hanson
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service