MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 31, 2003:
New York, August 01, 2003 -- MOODY'S RATED THE FOLLOWING ABCP CONDUIT PRIME-1 DURING THE PERIOD
JULY 24, 2003 THROUGH JULY 31, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO ARTEMIS FUNDING CORP.
In Tokyo, Moody's assigned a Prime-1 rating to Artemis Funding
Corp. ("Artemis"), a fully supported Japanese Yen ABCP program.
Mizuho Bank (A3/Prime-1/E) is administrative agent for Artemis.
Artemis' Prime-1 rating is based largely upon the liquidity agreement
and credit facility agreement entered into between the issuer and Mizuho
Bank, Ltd., which will assure timely repayment of ABCP.
The conduit is authorized to issue up to 100 billion yen of ABCP.
Artemis, a bankruptcy-remote special purpose company established
in the Cayman Islands, will issue yen-denominated commercial
paper in the
Japanese market. The proceeds from the sales of its asset-backed
commercial paper notes will be used to purchase yen-denominated
trade receivables from Mizuho Factors, Limited.
Please see Moody's press release dated July 28 for further details.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JULY 24, 2003 THROUGH JULY 31,
SOCGEN'S BARTON PURCHASES $600 MILLION AUTO LOAN TRANSACTION AND
$475 MILLION BUSINESS CREDIT CARD DEAL
Barton Capital Corp., a partially supported, multiseller
ABCP conduit sponsored by Societe Generale (Aa3/Prime-1/B) has
purchased a $600 million warehouse facility for auto loans originated
by a entity which has a parent rated below investment-grade.
Enhancement is a minimum of 15%, but will increase dynamically
based on portfolio composition and pool performance.
Barton also bought $475 million of Class A notes backed by business
credit card receivables originated by an investment- grade-rated
credit card issuer active in the term market. The notes are supported
by 5% of subordination and a seller piece of 7% which will
cover dilutive items.
Barton's program credit enhancement has been increased by 8% of
the amount of these new assets. Barton is now authorized to issue
up to $11.3 billion of ABCP.
WESTLB'S COMPASS ADDS AUSTRALIAN SECURITIZATION FACILITY
Compass, a Prime-1 rated, multiseller, partially
supported ABCP conduit sponsored by WestLB AG, has added an A$
1 billion facility to purchase highly rated securities in Australia.
This is Compass's first Australian securitization.
Compass Securitisation Limited, the European issuer, and Compass
Securitization LLC, the U.S. issuer, will both
make advances under funding agency agreements to a purchasing company,
Compass Sec Rec Australia Pty Limited, which purchases the securities.
The new facility benefits from program-wide credit enhancement.
However, there will be no increase in the program-wide credit
enhancement in relation to securities financed through the new facility
due to the high credit quality of securities which Compass Sec Rec Australia
is permitted to purchase. The first two securities to be purchased
are rated Aaa. Each purchase of securities by Compass is subject
to prior review by Moody's; also, Compass must monitor the
ratings of each security it finances through this new facility.
Compass's ability to issue ABCP to fund assets held by Compass Sec Rec
Australia will be restricted if an asset is downgraded below Aa2.
Liquidity is provided by WestLB AG (Prime-1/Aa1).
With this addition, Compass Securitisation Limited and Compass Securitization
LLC are now authorized to issue ABCP up to a total amount of approximately
Euro 14 billion.
LIBERTY STREET PURCHASES $225 MILLION INTEREST IN REVOLVING TRADE
Liberty Street Funding Corp., The Bank of Nova Scotia's
(Aa3/Prime-1/B) partially supported, multiseller ABCP program,
has added a $225 million trade facility. Bank One's Jupiter
is also purchasing a $225 million piece of the transaction.
The originator is an investment-grade-rated finance company
prominent in the energy and chemical sector. Investors are protected
by 19% of deal-specific credit enhancement, as well
as various structural features that will cause the conduit to cease funding
assets if various performance trigger events occur. Other structural
protections include performance-based triggers tailored to the
two types of receivables securitized. Receivables generated by
the energy and chemical divisions have separate default levels to maintain,
based on a 30 and 90 day default standard, respectively.
In addition, obligor concentrations are restricted. Liberty
Street has increased its program-level letter of credit by 10%
of this transaction. The conduit is authorized to issue up to $8
billion of ABCP, and currently has approximately $5.8
billion of ABCP outstanding.
COUNTRYWIDE'S PARK GRANADA LLC INCREASES AUTHORIZED AMOUNT TO $18
Park Granada LLC, a single-seller mortgage loan warehouse
facility sponsored by Countrywide Home Loans Inc. (A3/Prime-2),
a wholly owned subsidiary of Countrywide Financial Corp. (A3),
has increased its authorized amount from $15.25 billion
to $18 billion. With this $2.75 billion increase,
Park Granada is now authorized to issue $17.208 billion
of Prime-1-rated short-term notes. The short-term
notes benefit from a total of 5% credit enhancement, provided
in the form of a 0.60% cash collateral account, and
4.4% in unrated subordinated variable funding notes.
BANCA INTESA'S ROMULUS PURCHASES TWO HIGHLY RATED ABS FOR EURO 316 MILLION
Moody's has confirmed the Prime-1 rating assigned to Romulus Funding
Corp. (Romulus), a partially supported, multiseller
asset-backed commercial paper program sponsored and administered
by Banca Intesa S.p.A. (A1/Prime-1/B-).
following its purchase of two Aaa-rated notes backed by leases
and loans originated by an Italian company. This purchase was made
outside the post-review securities arbitrage facility within Romulus.
The lease-backed and loan-backed ABS amount to Euro 149.7
million and Euro 166 million, respectively. In both cases,
the liquidity facility is sized at 102% of the notes' amount and
is provided by Banca Intesa S.p.A.
The liquidity facility will fund against the face amount of the ABCP issued
against these assets, unless a note is downgraded to the Caa range.
In the latter case, the liquidity facility will fund against the
non-defaulted underlying asset balance, plus recoveries.
Since the program does not have any requirements for the removal of downgraded
securities, and has limited program credit enhancement, the
program is subject to ratings volatility in the event of a deterioration
of these pools. No incremental credit enhancement was posted following
these purchases, as they are highly rated assets. Current
program enhancement is Euro 20 million. However, if any of
these ratings is reduced below Aa2, program enhancement will be
increased by 8% of the related deal. Romulus is now authorized
to issue up to USD 2 billion of ABCP.
SUN TRUST'S THREE PILLARS ADDS $62.5 MILLION Aaa-RATED
VARIABLE FUNDING NOTE
Three Pillars Funding Corp. ("TPFC"), Sun Trust Bank's (Aa2/Prime-1/B+)
multiseller ABCP conduit, added a $62.5 million transaction
which is wrapped by an insurance policy provided by Aaa-rated MBIA
Insurance Corp. The portfolio consists of a revolving pool of intellectual
property and related contractual rights in drug patents from universities,
investors and the biotech companies that are responsible for manufacturing
and marketing these biopharmaceutical products.
Liquidity is provided by Prime-1-rated SunTrust Bank (Aa2/Prime-1/B+)
for 102% ($63.75 million) and advances against outstanding
ABCP unless MBIA is bankrupt or it fails to make a required payment under
the insurance policy. Program-level credit enhancement for
TPFC was not increased for this transaction. Three Pillars is now
authorized to issue up to $4.57 billion of ABCP.
SAVE THE DATE FOR MOODY'S & IPMA EUROPEAN ABCP CONVENTION: OCTOBER
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 [email protected]
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.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service