MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED SEPTEMBER 4, 2003:
New York, September 05, 2003 -- DID YOU KNOW? ABCP QUERY WILL PROVIDE INFORMATION ABOUT EUROPEAN
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 currently provides data specific to about 90 ABCP
programs, including liquidity providers, credit enhancement,
seller industries and seller ratings. Summary or detail data by
conduit, administrator, or liquidity provider is also provided.
In the near future, Query will be upgraded to include European programs.
To date, three European programs have been added: Tulip Funding
Corp., Grampian Funding Limited, and Silver Tower Funding
Monthly performance overviews for European conduits are also currently
available on Moody's website.
MOODY'S RATED THE FOLLOWING ABCP CONDUITS PRIME-1 DURING THE PERIOD
AUGUST 28, 2003 THROUGH SEPTEMBER 4, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO LIBERTY HAMPSHIRE'S CROWN POINT
Moody's has assigned a Prime-1 rating to Crown Point Capital Company
LLC ("Crown Point"), an asset-backed commercial paper program
sponsored by Liberty Hampshire Company. Liberty Hampshire provides
structuring and certain administrative services to Crown Point.
Liberty Hampshire owns and operates nine asset-backed commercial
paper and medium-term note issuing finance subsidiaries.
Deutsche Bank Trust Company Americas (A1/Prime-1/C) is the depositary
and issuing and paying agent for Crown Point. Crown Point is authorized
to issue up to $10 billion of asset-backed commercial paper
Crown Point manages a portfolio of financial assets and from time to time
enters into additional transactions with originators of assets.
The ABCP issued by Crown Point to fund these transactions is fully supported
by liquidity facilities provided by Prime-1- rated institutions.
Thus, ABCP investors are fully insulated from risks associated with
the underlying transactions financed through Crown Point.
The Prime-1 rating assigned to Crown Point is based primarily on
the full liquidity support provided by Prime-1-rated institutions
and structural protections that ensure the bankruptcy-remoteness
of Crown Point.
MOODY'S ASSIGNS PROVISIONAL RATING OF (P) PRIME-1.ZA TO
FIRST SERIES OF ASSET-BACKED COMMERCIAL PAPER OF GRAYSTON CONDUIT
1 (PROPRIETARY) LIMITED SPONSORED BY INVESTEC BANK LIMITED
Moody's has assigned a provisional rating of (P) Prime-1.za
to the first series of asset-backed commercial paper ('ABCP') issued
by Grayston Conduit 1 (Proprietary) Limited ("Grayston"). Grayston
is a newly established partially supported, serialized, multiseller
ABCP program sponsored by A1.za/Prime-1.za rated
Investec Bank Limited ("Investec"). Investec will also serve as
Manager. Grayston is the first ABCP conduit to be sponsored by
Investec. Investec made its first appearance in the asset securitisation
market last year with the closing of the Private Mortgages I (Proprietary)
Limited RMBS transaction. Grayston's program size is ZAR 10 billion.
Grayston will issue series of liabilities backed by specific pools of
assets, thereby affording a high degree of transparency to investors.
Grayston will be able to purchase or finance various asset types:
highly rated ABS, trade receivable pools, warehousing lines,
and pools of highly rated corporate indebtedness. Investec,
in its role as Manager, is expected to underwrite and structure
all of Grayston's purchases. Moody's will review each seller addition
prior to its inclusion into Grayston.
Grayston is the first South African ABCP conduit to be rated by Moody's.
The Prime-1.za rating is a "national scale" rating that
is a measure of relative risk within the South African market.
The Prime-1.za rating means that Moody's considers Grayston
to be among those issuers in South Africa with the strongest ability to
repay their short-term debt obligations. National scale
ratings in one country should not be compared to national scale ratings
in another, or with Moody's global rating. Loss expectations
for a given national scale rating will generally be higher than for the
global scale equivalent.
Moody's believes Grayston is indicative of a trend toward greater issuance
of ABCP in the South African market. ABCP is an integral part of
the rapidly maturing South African securitization market, providing
originators with a complement to long-term funding, an avenue
for liquidity and a diversified source of funding.
The Prime-1.za rating was assigned to Grayston in part based
upon the following:
1.Grayston's obligations and the underlying assets are segregated
on a series by series basis;
2.All new series, if not rated by Moody's, will be
subject to a prior review of the series supplement;
3.Each series will have a specific partially supporting liquidity
4.Credit enhancement will be sized on a series-specific
basis for defaults and other items;
5.A series-specific reserve account will be sized to cover
expenses and other items;
6.Potential interest rate risks will be addressed by series-specific
hedging agreements with a Prime-1.za rated bank;
7.Structural protections, including limited recourse language,
agreements not to petition the issuer into bankruptcy and the bankruptcy-remote
nature of the issuer will be provided for in the terms and conditions
of all series;
8.The expertise of Investec in managing the conduit; and
9.ABCP issuance tests will provide for a sufficient amount of enhancement,
liquidity and support facilities.
A more detailed description of the Grayston program will be published
in a forthcoming new issue report that will be available on Moody's website,
www.moodys.com. Also, Grayston's performance
will be noted in Moody's ABCP International Market Summary, published
monthly. Monthly performance overviews for Grayston will be available
on Moody's website, www.moodys.com.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD AUGUST 28, 2003 THROUGH SEPTEMBER
DEUTSCHE BANK'S ASPEN FUNDING ADDS TOTAL RATE OF RETURN SWAP; MAY
NOW PURCHASE UP TO $1 BILLION OF Aaa-RATED ABS
Aspen Funding Corp., a fully supported securities arbitrage
program sponsored by Deutsche Bank (Aa3/Prime-1/B) has amended
its program to include a total rate of return swap that permits the purchase
of highly rated securities up to $1 billion. The swap facility
provides both liquidity and credit support by ensuring timely and full
payment of maturing ABCP and purchasing securities that are downgraded
to Aa3 or below. The swap counterparty is Deutsche Bank.
With the addition of the swap facility, Aspen's liquidity is now
provided through either a liquidity agreement or a total rate of return
Aspen has simultaneously amended its program to allow the purchase of
up to $1 billion of Aaa-rated securities without the required
support from the program's surety bond. Should any securities be
downgraded to Aa3 or below, the liquidity or swap provider will
purchase the assets in the full amount of outstanding ABCP issued to fund
Aspen is currently authorized to issue up to $6 billion of ABCP.
DRESDNER BANK'S BEETHOVEN FUNDING ADDS $100 MILLION FULLY SUPPORTED
Moody's has affirmed the Prime-1 rating of Beethoven Funding,
Dresdner Bank AG's (A1/Prime-1/C-) partially supported multiseller
ABCP conduit, after the addition of a $100 million railcar
lease warehouse facility that is part of a co-purchase arrangement
with CSFB and its ABCP conduit. Liquidity provided by Prime-1-rated
Dresdner fully supports the facility. Program-wide credit
enhancement is being increased by 10% of outstanding ABCP issued
against this asset.
CDC'S EIFFEL FUNDING ADDS $100 MILLION WAREHOUSE FACILITY
Eiffel Funding, a partially supported multiseller ABCP conduit sponsored
by CDC-Financial Products, Inc. (Aaa/Prime-1),
added a $100 million revolving warehouse facility to its portfolio.
The facility is structured as a collateralized loan obligation that will
issue notes backed by fully funded and revolving loan facilities to certain
obligors. The warehouse facility is supported by a surety bond
provided by Aaa-rated MBIA. Liquidity will repay the face
amount of ABCP as long as there are no payment defaults on the notes and
as long as MBIA does not default on any of its obligations under the policy.
Program-wide credit enhancement was increased by 10% of
ABN AMRO'S TULIP ADDS $165 MILLION PORTFOLIO OF RESIDENTIAL MORTGAGES
AND EUR 150 MILLION PORTFOLIO OF AUTO LEASES
Tulip Funding Corp., the fully supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has financed a $165 million portfolio of United Kingdom residential
mortgages. In addition, Tulip Euro Funding Corp.,
has financed a EUR 150 million portfolio of Dutch auto leases.
The Tulip conduit is fully supported through liquidity commitments for
90% and a standby letter of credit for 10% of the facility
amount, provided by Prime-1-rated ABN AMRO.
The letter of credit serves as both liquidity and credit enhancement.
The authorized issuance amount for Tulip is now approximately $15.3
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