MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 7, 2003:
New York, August 08, 2003 -- MOODY'S ASSIGNS PRIME-1 RATING TO SHORT-TERM NOTES ISSUED
BY GRENADIER FUNDING, LIMITED
Moody's has assigned ratings to 4 classes of notes issued by Grenadier
Funding, Limited and co-issuer Grenadier Funding Corp.,
totaling $1.5 billion. These ratings include a Prime-1
short-term rating assigned to U.S.$1,320,000,000
of ABCP Notes, due prior to the Expiration Date under the Put Agreement.
Other ratings include a Aaa long-term rating assigned to the Class
A-1 Floating Rate Senior Subordinate Secured Notes due August 5,
2038, a Aaa long-term rating assigned to the Class A-2
Floating Rate Subordinate Secured Notes due August 5, 2038,
and a A2 long term rating assigned to the Class B Floating Rate Junior
Subordinate Secured Notes due August 5, 2038.
The rating of the ABCP Notes is primarily based on the credit quality
of the underlying assets and on a put option agreement and cash flow swap
agreement entered into with Citibank N. A. ("Citibank")
The put option is designed to fund the full principal repayment of any
Class A Notes that are not successfully remarketed at their maturity,
and the cash flow swap is structured to provide funds to pay interest
due on the Class A notes. The short-term rating of the ABCP
Notes is also closely correlated to the short-term deposit rating
of Citibank. Citibank has a short-term deposit rating of
Prime-1, a long-term senior deposit rating of Aa1
and a bank financial strength rating of A-. Any replacement
support provider would be required to carry a Prime-1 short term
MOODY'S RATED THE FOLLOWING ABCP CONDUIT PRIME-1 DURING THE PERIOD
AUGUST 1, 2003 THROUGH AUGUST 7, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO CITIBANK'S CALLISTO CAPITAL FUNDING,
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper ("ABCP") issued by Callisto Capital Funding, LLC
("Callisto"). Callisto is a newly established, fully supported
loan-backed ABCP program sponsored by Citibank, N.A.
(Aa1/Prime-1/A-) and administered by Deutsche Bank Trust
Company Americas (A1/Prime-1/C) ("DBTCA"). Citibank,
as sponsor, plays various roles in Callisto including transaction
arranger, loan originator, credit support agent, and
Callisto will use the proceeds from the issuance of ABCP to fund the purchase
of corporate loans made primarily to Citibank's non-investment-grade
clients ("borrowers"). Each loan facility will be reviewed by Moody's
prior to purchase. Also, each loan will be funded by ABCP
notes issued with a maturity matching that of the loan. Callisto
has not yet funded any assets.
The Prime-1 rating assigned to Callisto's ABCP is primarily based
on, among other factors, Moody's prior review of each loan
facility entered into by Callisto; the full credit and liquidity
support for each loan facility provided by a syndicate of Prime-1
rated banks; and the abilities of DBTCA as administrator.
Each loan facility entered into by Callisto is fully supported by a corresponding
credit support facility that absorbs all credit and liquidity risk.
Credit support must be sized to equal the face amount of ABCP issued in
connection with that loan facility. In the event there are insufficient
funds from the borrower to repay maturing ABCP, the credit support
providers for the related loan facility will purchase the defaulted loan
from Callisto to ensure the timely and full repayment of ABCP.
As a result, Callisto will not have program-level credit
enhancement as each loan facility is fully supported. The credit
support facility for each loan facility will typically be provided by
a syndicate of Prime-1 rated banks.
For further details, please see Moody's press release dated August
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD AUGUST 1, 2003 THROUGH AUGUST 7,
STATE STREET'S GALLEON ADDS EURO 120 MILLION LEASING TRANSACTION
Galleon Capital Corp., a partially supported, multiseller
ABCP program sponsored by State Street Capital Markets, LLC (Aa2/Prime-1/B+),
has added a leasing facility in the amount of Euro 120 million.
The facility is backed by auto and equipment lease contracts originated
by two Austrian leasing companies. Credit enhancement is provided
by overcollateralization of 8%. The credit risk is further
limited due to structural features that restrict the amount of defaulted
receivables that are not funded by the liquidity facility. A swap
will be provided by State Street Bank to hedge fixed-to-floating
interest rate risk. Galleon issues U.S. dollar-denominated
ABCP as well as Euro CP issued in the European market. If U.S.
dollar--denominated ABCP is issued against the transaction,
State Street will supply currency protection in the form of Euro currency
spot and forward contracts. Liquidity is provided by two Austrian-
based banks: Raffeisen Zentralbank Osterreich AG (also known as
RZB) (A1/Prime-1/C+ ) and Bank Austria Creditanstalt AG (
Aa2/Prime-1/B-). Galleon has also added incremental
program- level credit enhancement of 10% of the amount of
this asset. Galleon is now authorized to issue $3.5
billion of ABCP.
BANK OF NOVA SCOTIA'S LIBERTY STREET BUYS $80 MILLION TRADE RECEIVABLES
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B)
partially supported, multiseller ABCP conduit, has added an
$80 million, partially supported revolving trade receivables
transaction. This transaction is a co-purchase with PNC's
Market Street Funding, which already has $80 million invested
in the transaction. The originator, which is rated below
investment grade, is prominent in the stationery industry.
Seller-specific credit enhancement is a minimum of approximately
36%, but the credit enhancement adjusts dynamically based
upon asset performance. Liquidity is provided by Prime-1-rated
Bank of Nova Scotia. The program letter of credit has been increased
by 10% of the amount of this commitment. Program-level
credit enhancement for Liberty is currently about $585 million.
Liberty currently has approximately $5.6 billion in ABCP
commitments and just over $3.3 billion of ABCP outstanding.
DEUTSCHE BANK'S NEWPORT FUNDING CORP. MAY NOW PURCHASE UP TO $1
BILLION Aaa-RATED ABS
Newport Funding Corp., a fully supported, securities
arbitrage program sponsored by Deutsche Bank (Aa3/Prime-1/B) has
increased by $500 million a "sub-facility" which permits
it to purchase Aaa-rated ABS without requiring support from the
program's surety bond or a credit default swap. This sub-facility
now totals $1 billion. Liquidity will be provided either
through a liquidity agreement or a swap. Should any ABS be downgraded
to Aa3 or below, the liquidity facility will be used to purchase
the assets in the full amount of outstanding ABCP issued to fund the asset.
This mechanism is consistent with Newport's Prime-1 rating.
Newport is now authorized to issue up to $5 billion of ABCP.
WESTLB'S PARADIGM INCREASES INTEREST IN $455 MILLION CLUB TRADE
RECEIVABLES DEAL FROM $125 MILLION TO $255 MILLION
Paradigm Funding LLC (Paradigm), a partially supported, multiseller,
ABCP conduit sponsored by WestLB AG (Aa1/Prime-1/D-,
bank financial strength rating on review for possible downgrade),
has increased its interest in a $455 club trade receivables transaction
from $125 million to $255 million The trade receivables
are originated by an unrated media company, which is wholly owned
by a Baa1/Prime-2-rated parent. Paradigm acquired
its increased interest from Bank of America, N.A.'s
(Aa1/Prime-1/A-) Quincy Capital Corp. (Quincy).
After the transfer of its interest to Paradigm, Quincy no longer
has an interest in this facility. Dresdner Bank AG's (A1/Prime-1/C-)
Beethoven Funding Corp. and Bank One, N.A.'s
(Aa2/Prime-1/B+) Jupiter Securitization Corp. are now
co-purchasers of this facility.
The transaction benefits from a minimum of 25% deal-specific
credit enhancement in the form of overcollateralization. However,
the actual amount will adjust dynamically depending upon asset performance.
Also, incremental program-level credit enhancement of 10%
of the increase in the transaction is provided. Currently,
Paradigm has about $7.0 billion in ABCP outstanding,
with $559.43 million of program-level credit enhancement.
Paradigm is now authorized to issue up to $8.36 billion
ROMULUS ADDS EURO 97.5 MILLION OF A HIGHLY RATED ELIGIBLE ASSET
Romulus Funding Corp., a partially supported, hybrid
conduit administered by Banca Intesa S.p.A.,
has made another trade and term receivables purchase. The pool
addition is a purchase of approximately Euro 97.5 million of a
Aa2 note backed by trade receivables originated by an Italian company.
Liquidity is provided by Banca Intesa S.p.A.,
which is rated A1/Prime-1. Romulus currently has $20
million of program credit enhancement. No incremental program credit
enhancement is being added for this purchase due to the Aa2 rating of
the purchased note. If the note is downgraded, program enhancement
will be increased by 8% of the deal, with a minimum size
of $20 million. A liquidity facility provided by Banca Intesa
will fund for the face amount of related ABCP unless the note is downgraded
to the Caa range. Since Romulus does not have any specific requirements
to take out the note once it is downgraded to a certain level, the
program might be subject to ratings volatility in the event of a deterioration
of this pool. Romulus may not issue ABCP if its available credit
enhancement is less than the required amount. Romulus currently
has approximately $1.58 billion of ABCP outstanding.
SUNTRUST'S THREE PILLARS ADDS $175 MILLION TRADE RECEIVABLE FACILITY
Moody's has confirmed the Prime-1 rating of Three Pillars Funding
Corp., SunTrust Bank's (Aa2/P1/B+) partially supported
multiseller ABCP conduit after the addition of a $175 million trade
receivable facility. The seller is a leading carpet and rug manufacturer
in the United States. The facility will replace an existing $75
million trade receivable facility in Three Pillars that is backed by receivables
originated by the ceramic tile division of the company. Wachovia's
Blue Ridge program will be a co-purchaser in this facility with
a $175 million commitment.
Liquidity, provided by Prime-1-rated SunTrust,
funds based on non-defaulted receivables. Defaulted receivables
are defined as those 60 or more days past due or written off in the normal
course of business. Transaction-specific credit enhancement
is provided in the form of overcollateralization. While there is
a minimum level of enhancement equal to the sum of 13.5%
plus historical dilution, the amount of the loss reserve will fluctuate
depending on pool performance. Program-level credit enhancement
for Three Pillars has been increased by 10% of the commitment amount.
Three Pillars is authorized to issue up to $4.67 billion
of ABCP, and its total program-level credit enhancement is
approximately $336 million.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN BY MOODY'S AT PRIME-1
DURING THE PERIOD AUGUST 1, 2003 THROUGH AUGUST 7, 2003:
MOODY'S WITHDRAWS PRIME-1 RATING OF SIEFUNDS CORPORATION LLC
In London, Moody's withdrew the Prime-1 rating of Siefunds
Corporation LLC, an ABCP program sponsored by Siemens AG.
As of August 5, 2003, all outstanding ABCP had been repaid
in full. The program will not be issuing any further 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 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.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service