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29 Aug 2003
New York, August 29, 2003 -- DID YOU KNOW? ABCP QUERY PROVIDES DETAILED INFORMATION ABOUT CONDUIT
ABCP Query is an Excel-based tool that provides clients with data
on Moody's-rated Asset Backed Commercial Paper conduits.
Current coverage includes the largest multiseller and securities arbitrage
conduits. Query provides data specific to every program,
including liquidity providers, credit enhancement, seller
industries and seller ratings. You may also view summary or detail
data by conduit, administrator, or liquidity provider.
You can obtain information about a particular administrator and the conduits
it sponsors by clicking on the "Administrator" tab. For example,
you can learn the authorized amount, outstanding ABCP, program
credit enhancement by dollar amount and as a percentage of outstanding
ABCP for the past 12 months for each of an administrator's conduits.
Also, a convenient link to Moodys.com provides ready access
to ratings information about the administrator itself.
In the coming weeks, we will provide additional examples of ABCP
conduit information that may be accessed through Query.
MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD
AUGUST 22, 2003 THROUGH AUGUST 28, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO GEORGETOWN FUNDING COMPANY LLC
EXTENDIBLE COMMERCIAL NOTE PROGRAM
Moody's has assigned a Prime-1 rating to Georgetown Funding Company,
LLC, ("Georgetown"), a new asset-backed commercial
paper program sponsored by Friedman Billings Ramsey Group, Inc.
(FBR). Georgetown will issue extendible commercial notes (ECNs)
and use the proceeds to invest in repurchase agreements collateralized
by Agency-backed adjustable rate mortgage securities (ARMS).
FBR Investment Management, Inc. (FBRIM), an FBR subsidiary,
will act as program administrator. Deutsche Bank Trust Company
Americas (A1/Prime-1/C) will act as collateral agent and issuing
and paying agent. Georgetown is authorized to issue up to $5
billion of extendible ABCP.
The Prime-1 rating is based primarily on:
(1) The credit quality of the Agency-backed ARMS provided as collateral
under the repurchase agreements;
(2) Liquidity provided by issuing ABCP match-funded to the scheduled
maturity of the repurchase agreement, with the ability to extend
the ABCP maturity for an additional 10 days to sell the collateral if
payment to repurchase the collateral is not received;
(3) Credit enhancement, provided by overcollateralization,
sized to cover the market value risk of liquidating the collateral over
a 10-day period;
(4) The capabilities of FBR Investment Management Inc. as administrator;
(5) The capabilities of Deutsche Bank Trust Company Americas as issuing
and paying agent and collateral agent;
(6) The capabilities of LordSPV Securities Corporation as back-up
administrator in the event of a program default.
For further details, please see Moody's press release dated August
MOODY'S ASSIGNS PRIME-1 RATINGS TO TICONDEROGA MASTER FUNDING LTD./TICONDEROGA
FUNDING LLC, FORRESTAL CERTIFICATE FUNDING TRUST AND INDOMITABLE
Moody's has assigned Prime-1 ratings to the fully supported asset-backed
commercial paper notes ("Notes") and certificates ("Certificates") issued
by Ticonderoga Master Funding Ltd., Forrestal Certificate
Funding Trust and Indomitable Funding Ltd. (together, the
"Conduits"). All three programs are administered by Bank of America,
N.A. ("Bank of America") (Aa1/Prime-1/A-)
or an affiliate. Ticonderoga may issue up to $20 billion
non-U.S. and U.S. Notes and Certificates.
Ticonderoga may also issue Notes and Certificates in the US with its co-issuer,
Ticonderoga Funding LLC. Also, Forrestal may issue up to
$10 billion U.S. Notes and Indomitable may issue
up to $10 billion non-U.S. Notes.
Each of the Conduits is only permitted to purchase certificates or notes
("purchased securities") that are issued by conduits administered by Bank
of America or an affiliate of Bank of America. These purchased
securities are fully supported by total rate of return swaps provided
by Bank of America (or one of its affiliates whose obligations under the
swap are guaranteed by Bank of America). Indomitable may also purchase
Certificates issued by Ticonderoga.
The purchased securities are match-funded with the Certificates
and the Notes issued by the Conduits ("Conduit Securities"). The
Conduit Securities may be denominated in U.S. dollars or
another currency approved by Moody's but they must be denominated in the
same currency as the purchased securities acquired with the proceeds of
issuance of related Conduit Securities.
The Prime-1 ratings assigned to the Conduits are primarily based
on the credit support provided by the fully supported, match-funded
purchased securities which back the Conduit Securities. Also,
structural protections for each of the Conduits ensure the bankruptcy-remoteness
of Ticonderoga, Forrestal and Indomitable.
For further details, please see Moody's press release dated August
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD AUGUST 22, 2003 THROUGH AUGUST
WACHOVIA'S BLUE RIDGE JOINS EXISTING TRADE RECEIVABLES DEAL
Blue Ridge Asset Funding, Wachovia Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit, has purchased
$80 million of an existing $500 million copurchase trade
receivables securitization. The transaction is backed by short-term
receivables originated by a multinational marketing service organization
rated Baa2. Investor protections include tight triggers as well
as limits on lower-rated obligors. Liquidity, provided
by each of the three participating banks, funds for non-defaulted
assets. Non-defaulted assets are defined as less than 120
days past due. ABCP investors benefit from a minimum loss reserve
of 12%. The program letter of credit has increased by 10%
of the amount of this transaction. Blue Ridge now has $3.1
billion of ABCP outstanding and $6.8 billion in commitments.
CDC'S EIFFEL FUNDING ADDS $150 MILLION COPURCHASE OF EXISTING MORTGAGE
Eiffel Funding, a partially supported multiseller ABCP conduit sponsored
by CDC-Financial Products, Inc. (Aaa/Prime-1)
added a $150 million facility backed by qualified non-performing
residential mortgages that are either insured by the Federal Housing Administration
(FHA) or guaranteed by the Department of Veterans' Affairs (VA).
The facility is part of a $1.050 billion facility that is
now funded through several conduits, including Bank of America's
Quincy Capital Corp., Credit Lyonnais' Atlantic Asset Securitization
Corp. and La Fayette Asset Securitization LLC, and Bank One's
Falcon Asset Securitization Corp. The mortgages are serviced and
originated by an unrated subsidiary of a Aa3-rated insurance company.
Pool- specific credit enhancement is in the form of asset overcollateralization,
which varies depending on the mix of FHA-insured and VA-guaranteed
loans. The advance rates for FHA and VA loans are 95% and
92%, respectively. There is also a reserve account
which is currently not funded. Once annualized losses exceed 2%,
there is a requirement that 2% of the facility limit be deposited
into the reserve account. The highest annual loss since November
2000 has been less than 1%. Program-wide credit enhancement
is in the form of an asset purchase agreement and will be increased by
10% of outstandings, giving investors additional protection.
BMO NESBITT BURNS CORP.'S FAIRWAY AMENDS $150 MILLION AUTO
FLEET LEASE FACILITY
Fairway Finance Co., LLC, which is sponsored and administered
by BMO Nesbitt Burns Corp., the securities underwriting affiliate
of Bank of Montreal (BMO) (Aa3/Prime-1/B), amended an existing
$150 million revolving auto fleet lease transaction. The
seller, headquartered in the Midwest, is one of the nation's
oldest vehicle leasing and fleet management companies.
The amendment reduces Fairway's program-wide credit enhancement
allocation for this transaction, a letter of credit provided by
BMO, from 15% to 10% of the facility limit based on
the strong performance of the lease pool. Deal-specific
credit enhancement, in the form of overcollateralization,
is fixed at 10%, with a floor of $2.25 million.
Liquidity, provided by Prime-1 rated BMO, partially
supports this transaction in Fairway. If certain trigger events
occur, the amount funded by liquidity may be reduced if the outstanding
principal balance of defaulted leases exceeds the required reserves.
However, credit enhancement at both the deal and program level has
been sized to mitigate this risk.
Fairway is currently authorized to issue up to $12 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 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
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 28, 2003:
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
© 2020 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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