MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED OCTOBER 9, 2003:
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD OCTOBER 2, 2003 THROUGH OCTOBER 9, 2003:
COUNTRYWIDE'S PARK GRANADA LLC INCLUDES A SUB-FACILITY AND INCREASES AUTHORIZED AMOUNT TO $19 BILLION
Park Granada LLC is a partially supported single-seller ABCP program sponsored by Countrywide Home Loans, Inc., ("Countrywide"). Countrywide is an indirect, wholly owned subsidiary of Countrywide Financial Corp. (A3). Park Granada issues two types of extendible ABCP, known as Secured Liquidity Notes ("SLNs"), and Callable Notes, the proceeds of which are used to provide mortgage warehouse financing to Countrywide.
In program amendments, Park Granada has now included HELOCs and closed-end second liens as a sub-facility. The new sub-facility is subject to the same eligibility criteria, portfolio criteria, aging limit and triggers as the existing portfolio, thus ensuring that the risk is consistent with the Prime-1 rating. The sub-facility will wind down if certain trigger events occur.
In addition, Park Granada has increased its authorized amount from $15.25 billion to $19.05 billion. With this $3.8 billion increase, Park Granada is now authorized to issue $18.164 billion of Prime-1-rated short-term notes. The short-term notes benefit from a combination of two forms of credit enhancement, a cash collateral account equal to 0.60% of the authorized amount, and 4.4% subordination of the outstanding amount of the short-term notes.
As of July 31, 2003, Park Granada had $13.5 billion of SLNs outstanding, and $633 million in unrated variable funding subordinated notes.
CIBC'S SPARC ADDS $125 MILLION Aaa- RATED NOTE
Special Purpose Accounts Receivable Corp. (SPARC), a partially supported, multiseller conduit sponsored by Canadian Imperial Bank of Commerce (CIBC)(Aa3/Prime-1/B), has purchased a $125 million variable funding note (VFN) backed by servicing advances made in connection with mortgage-backed securities. The VFN is rated Aaa on the basis of a surety bond issued by MBIA . A liquidity facility provided by Prime-1-rated CIBC, funds as long as there is no payment default or insolvency of MBIA. SPARC is now authorized to issue approximately $4.4 billion of ABCP.
BNP PARIBAS' THESEE LIMITED PURCHASES $300 MILLION ASSET-BACKED SECURITIES IN MAXIMUM AMOUNT OF EURO 300 MILLION
Thesee Limited, BNP Paribas' (Aa2/Prime-1/ B+) partially supported, multiseller ABCP conduit, has purchased a structured, floating-rate bond issued in connection with the securitization of Korean credit card receivables. The underlying bond has been explicitly rated Aa3 by Moody's. The bond issuance amount is Euro 300 million. A liquidity facility provided by BNP Paribas is available as long as the bond is rated Caa2 or above, or as long as it is not defaulted.
In addition, Thesee will cease to issue ABCP to fund this asset in the event the bond is downgraded below A1. Therefore, investors' exposure to credit risk on this security is limited to the transition of an A1-rated security to below Caa2 within thirty days, which is the maximum tenor of ABCP that may be issued to fund this transaction.
Thesee's assets include fourteen portfolios of securities, including approximately 51% of trade receivable-backed securities. Thesee's authorized amount is now approximately Euro 3.4 billion. The program-wide letter of credit available to Thesee amounts to Euro 74 million, of which Euro 26 million is available to cover credit risk on the assets.
THREE PILLARS PURCHASES $150 MILLION MUTUAL FUND TRANSACTION
Three Pillars, Sun Trust's (Aa3/Prime-1/B) partially supported, multiseller ABCP program, has added a $150 million leveraged fund finance facility to its portfolio. The transaction provides funding, with conservative advance rates, to a high yield fund regulated by the Securities and Exchange Commission under the 1940 Act. The Act dictates stringent mark-to-market provisions and provides assurances that high yield and other collateral will be sufficient to cover ABCP obligations. The collateral is marked to market weekly with independent verification, to ensure that advance rates and concentration limits continue to be met. To ensure portfolio consistency and quality, the transaction is also subject to both borrowing base and asset value tests prior to any ABCP issuance. Various other structural features will cause the conduit to cease funding assets if various performance trigger events occur. Investors gain substantial protection from the requirements of the 1940 Act. These requirements, including the three-to-one leverage ratio and advance rates that meet Moody's highest rating criteria, result in substantial overcollateralization. The fund manager is experienced and affiliated with a highly rated financial institution. While an unrated entity provides liquidity, its commitment is guaranteed by a Prime-1-rated entity. No program credit enhancement was added as a result of this transaction. The conduit is now authorized to issue up to $4.3 billion of ABCP and has approximately $2.89 billion of ABCP outstanding.
MOODY'S PHDS OF ABCP ON OCTOBER 30, 2003
On Thursday, October 30, Moody's is offering a seminar in New York City called "Moody's PhDs of ABCP, Advanced Topics in Asset-Backed Commercial Paper." Members of Moody's ABCP Group will discuss topics including liquidity, exotic assets in conduit facilities, and mortgage warehousing conduits.
To enroll online, go to Moodys.com. Otherwise, please call (212) 553-1658.
SAVE THE DATE FOR MOODY'S & IPMA EUROPEAN ABCP CONVENTION: OCTOBER 29, 2003
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.
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