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14 Mar 2003
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MARCH 13, 2003:
New York, March 14, 2003 -- MOODY'S RATED THE FOLLOWING ABCP CONDUIT PRIME-1 DURING THE PERIOD
MARCH 7, 2003 THROUGH MARCH 13, 2003:
SAINT GERMAIN HOLDINGS, LTD. RATED PRIME-1
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper (ABCP) notes program of Saint Germain Holdings,
Ltd. (SGH Ltd.). Moody's has also assigned an A2
rating to the current series of capital notes due December 31, 2022
issued by SGH Ltd.
The transaction sponsor is CDC IXIS Capital Markets North America Inc.
(CDC IXIS CMNA), which is an indirect subsidiary of, and is
guaranteed by, Caisse Des Depôts et Consignations (CDC) of
France. CDC is rated Aaa/Prime-1. CDC Securities
acts as Program Administrator. JPMorgan Chase Bank (A1/Prime-1)
acts as the depositary, administrative agent, custodian and
collateral agent, and trustee for the benefit of the capital notes
holders. Under the terms of the related debt programs, SGH
Ltd. may issue up to $5 billion of asset-backed commercial
paper notes and up to $250 million of capital notes, respectively.
SGH Ltd. is a limited liability Cayman Islands company.
Its co-issuer, Saint Germain Holdings, Inc.
is a bankruptcy-remote Delaware corporation. The proceeds
of the issuance of asset-backed commercial paper notes and capital
notes will purchase a diversified portfolio of high-quality investment
assets from approved market categories (generally Aaa-rated asset-backed
securities, residential mortgage-backed securities,
commercial real estate mortgage-backed securities, and U.S.
government-issued or -guaranteed securities).
For each asset purchased, SGH Ltd. is required to enter into
a related put contract whose terms are specific to the asset. Each
put allows SGH Ltd. to sell the related asset to the counterparty
(currently CDC Financial Products, rated Aaa/Prime-1) for
same-day cash at a price no less than the allocable portion of
an asset's purchase price assumed to be funded by asset-backed
commercial paper notes. This will be based upon a "line item" capital
allocation which sizes the amount of capital needed for each asset purchase
as a function of a stressed analysis of the historical market spread volatility
of the asset's market sector.
SGH Ltd. will be operated by CDC Securities, a regulated
broker-dealer subsidiary of CDC IXIS CMNA. As program administrator,
CDC Securities will be responsible for providing investment advice,
risk management, liability management, and operational logistics.
The program administrator will also oversee SGH Ltd.'s compliance
with a well-defined set of investment and operating guidelines,
including daily compliance tests to ensure adequate diversification,
capitalization, and liquidity.
The Prime-1 rating assigned to the ABCP notes and the A2 rating
assigned to the capital notes is based on, among other factors:
the high quality and liquidity of the asset collateral; the overcollateralization
provided to the asset-backed commercial paper notes through the
"line item" allocation of capital; the requirement for Moody's periodic
review of the model inputs used in sizing capital, puts from Prime-1-rated
counterparties which provide credit enhancement by capping losses on any
single asset; and the structural features of the transaction's capital
adequacy test, which minimizes the likelihood of a forced liquidation.
Liquidity is provided by a Prime-1-rated put counterparty
(currently CDC Financial Products) with an aggregate put obligation equal
to the principal amount of the ABCP. Also, the transaction
is limited to a portfolio of highly rated and tradable securities that
are inherently liquid. Ongoing liquidity compliance testing is
For further details, please see Moody's press release dated March
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD MARCH 7, 2003 THROUGH MARCH 13,
DOLLAR THRIFTY FUNDING RENEWS LIQUIDITY COMMITMENTS
Dollar Thrifty Funding Corp., a single-seller,
partially supported ABCP conduit which issues ABCP to finance Dollar Thrifty
Automotive Group's fleet of rental cars, has renewed its 364-day
liquidity commitments, which are provided by a syndicate of Prime-1-rated
liquidity lenders. Dollar Thrifty 's program size is now $554
BMO's FAIRWAY ADDS $100 MILLION EQUIPMENT LEASE FACILITY
Fairway Finance Corp., an ABCP program sponsored by BMO Nesbitt
Burns (BMO) (Aa3/Prime-1/B), has added a partially supported
$100 million revolving equipment lease warehouse facility.
The seller provides commercial lease and term loan financing to clients
primarily in the transportation, construction and metals industries.
The equipment includes, but is not limited to, trucks,
machine tools, construction equipment, agricultural equipment
and commercial trucks.
Liquidity, provided by Prime-1 rated BMO, partially
supports this transaction in Fairway. Liquidity will fund for the
face amount of ABCP. If certain trigger events occur, the
amount funded by liquidity may be reduced if the outstanding principal
balance of defaulted receivables exceeds required reserves. However,
credit enhancement at both the deal and program level has been sized to
mitigate this risk.
Deal-specific credit enhancement, in the form of overcollateralization,
is dynamic based on the performance of the underlying portfolio.
The floor is the greater of 9% and $2 million. Fairway's
program wide credit enhancement, which is in the form of a letter
of credit provided by BMO, was increased by 8% of the facility
Fairway's letter of credit is currently $184 million, and
Fairway is currently authorized to issue up to $10.3 billion
LIBERTY STREET PURCHASES $300 MILLION UNRATED SENIOR VARIABLE FUNDING
CERTIFICATE BACKED BY CREDIT CARD RECEIVABLES
The Bank of Nova Scotia-sponsored, partially supported multiseller
conduit, Liberty Street Funding Corp., purchased a
$300 million unrated senior variable funding certificate issued
by a master trust backed by credit card receivables. Pool-level
credit enhancement is 16.25% and takes the form of subordination.
Liberty's program-wide credit enhancement has been increased by
10%. As of February 2003, Liberty Street's outstanding
ABCP was $3.3 billion and program-wide credit enhancement
was $427 million.
WESTLB'S MONTAUK FUNDING ACQUIRES $20 MILLION INTEREST IN CREDIT
CARD "C" PIECE
Montauk Funding Corporation (Montauk), a limited post-review,
partially supported, multiseller ABCP conduit sponsored by WestLB
AG (Aa1/Prime-1/D), purchased a $20 million interest
in floating rate asset-backed notes backed by credit card receivables.
The notes are supported by 2.75% of excess spread.
Investors in Montauk's ABCP have the benefit of a structuring mechanism
that effectively shifts a large portion of credit risk to the liquidity
asset purchase agreements. This transaction is also supported by
$58.7 million in program-level credit enhancement,
in the form of a surety bond provided by Aaa-rated FGIC.
Currently, Montauk has about $428.4 million in outstanding
ABCP and is authorized to issue up to approximately $10 billion
BNP PARIBAS' STARBIRD FUNDING CO-PURCHASES $200 MILLION
ASSET INTEREST IN $1.6 BILLION TRADE RECEIVABLES FACILITY
Starbird Funding Corp., a partially supported, multiseller
ABCP conduit sponsored by BNP Paribas (Aa2/Prime-1/B+) co-purchased
a $200 million share in a $1.6 billion trade receivables
facility. The seller is an investment-grade-rated
telecommunications company. The underlying assets are receivables
generated by the company's wireless businesses. The credit enhancement
is dynamic, with a floor of 6%. In addition,
Starbird's program credit enhancement has been increased by 5%.
As of February 28, 2002, Starbird's total current commitments
were $1.88 billion, total outstanding ABCP at $800
million and program credit enhancement of $144.91 million.
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-BACKED BACKED COMMERCIAL PAPER MARKET REVIEW,
which is published quarterly. This information is also available
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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