MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 4, 2003:
New York, December 08, 2003 -- MOODY'S ASSIGNS RATING OF PRIME-1 TO ASSET-BACKED COMMERCIAL PAPER ISSUED BY CORAL CAPITAL LIMITED
In London, Moody's has assigned a rating of Prime-1 to the asset-backed commercial paper ('ABCP') issued by CORAL Capital Limited ('Coral'). Coral is a newly established, partially supported ABCP program, sponsored by DZ Bank AG Deutsche Zentral-Genossenschaftsbank ('DZ Bank,' A2/Prime-1/D). Coral will issue ECP and also ABCP in the United States market, with Coral Capital, LLC, its wholly owned US subsidiary, acting as co-issuer.
While DZ Bank, through its New York branch, sponsors Autobahn Funding, Coral is DZ Bank's first ABCP conduit in Europe and its first hybrid conduit. Coral is a 'hybrid' in that it will also be used as a securities arbitrage vehicle and to achieve regulatory capital relief for assets held on balance sheet by DZ Bank.
DZ Bank has appointed Deutsche Bank AG, London, as program administrator. Deutsche Bank will undertake the day-to-day administration of Coral, including issuance of ABCP, monitoring of transactions and ensuring timely draws of liquidity and credit enhancement if required. DZ Bank's principal responsibilities as program sponsor are (a) to originate, underwrite and structure client transactions and bank balance sheet assets, (b) identify highly rated securities to be purchased, (c) provide day-to-day advice, on request, in relation to conduit administration and (d) arrange and structure any necessary hedging agreements.
Deutsche Bank's principal responsibilities as program administrator are to monitor the various pools over time and provide day-to-day conduit administration. Deutsche Bank has gained considerable experience acting in a third-party administration role for various European and US ABCP programs in local and global ABCP markets and has included the management of a diverse range of program and asset types.
Coral will use the proceeds from the issue of ABCP to advance funds to purchasing vehicles, (the 'Purchasers') under loan agreements and the Purchasers will use these funds to acquire or finance various types of assets. The assets, which may include trade and term receivables, ABS, other debt instruments and synthetic obligations can be broadly classified into three types: client transactions originated and structured by DZ Bank, highly rated securities purchased by the Purchaser pursuant to agreed investment criteria, and synthetic transactions linked to the performance of a reference portfolio of assets.
DZ Bank and other Prime-1-rated institutions will provide program-level credit support to Coral in the form of (a) an irrevocable letter of credit provided by DZ Bank. The letter of credit must increase by 5% of ABCP issued in connection with each pool addition (other than highly rated securities).
Coral's liquidity will be provided at the Purchaser level by Prime-1-rated institutions. In general, liquidity will fund for non-defaulted assets and senior expenses, and will not be available if Coral or the related Purchaser is insolvent. DZ Bank, will act as liquidity agent under the liquidity facilities.
Coral is required to have appropriate hedging agreements in place to protect investors from any interest rate or currency risk. Deutsche Bank AG, London, in its role as program administrator, will be required to ensure that prior to each issuance of ABCP adequate hedges are in place with Prime-1 rated counterparties.
For further details, please see Moody's press release dated December 1, 2003.
MOODY'S ASSIGNED THE FOLLOWING ABCP PROGRAM A PROVISIONAL RATING OF (P) PRIME-1 DURING THE FOURTEEN-DAY PERIOD ENDED DECEMBER 4, 2003:
MOODY'S ASSIGNS PROVISIONAL (P) PRIME-1 RATING TO EURO SOVEREIGN FUNDING S.A.
In Paris, Moody's assigned a provisional (P)Prime-1 rating to ESF S.A. ("Euro Sovereign Funding S.A"), a new multiseller, asset-backed commercial paper (ABCP) sponsored by Credit Lyonnais S.A. (rated Aa3/Prime-1/B-). ESF will issue Billets de Tresorerie (French ABCP) and Euro Commercial Paper.
The provisional (P) Prime-1 rating assigned to the program is based upon, among other things, Moody's prior review of each new asset, the credit quality of ESF assets, the liquidity support provided by Credit Lyonnais, Credit Lyonnais' credit quality and experience in managing ABCP programs, and ESF's bankruptcy-remote status.
Moody's issues provisional ratings in advance of the final sale of securities, and these ratings only represent Moody's preliminary opinion. Upon a conclusive review of the program and associated documentation, Moody's will endeavor to assign a definitive rating to the Notes. A final rating may differ from a prospective rating.
ESF's asset portfolio is expected to be made up of secured loans with the benefit of first demand guarantees issued (either directly or through an agency) by a Aaa-rated OECD government, such as France. The assets will be securitized via a Fonds Commun de Creances (FCC, the French securitisation vehicle) and ESF will purchase only senior tranches of FCC units.
Liquidity facilities will be structured as asset purchase agreements with Credit Lyonnais. Liquidity will insulate investors against the risk that the guarantee proceeds might not be sufficient or received in time to pay maturing ABCP. However, funds will not be available under any asset-specific purchase agreement in the case of the downgrade to a C rating of the OECD state which provides or supports the guarantee.
The management and administration of the program will be carried out by Credit Lyonnais in Paris. ESF is the third ABCP program to be sponsored by Credit Lyonnais in Paris. It also sponsors LMA S.A. and H2O S.A.
For further details, please see Moody's press release dated November 27, 2003.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD NOVEMBER 21, 2003 THROUGH DECEMBER 4, 2003:
EIFFEL FUNDING ADDS TWO CDO FACILITIES TO ITS PORTFOLIO
Eiffel Funding LLC, CDC Financial Products, Inc.'s (Aaa/Prime-1) partially supported, multiseller ABCP program, has added two CDOs to its portfolio, totaling $279.29 million. The purchase commitments for the two facilities are $131.11 million and $148.18 million, respectively. The two CDO facilities are structured similarly. Each of the two facilities is backed by a diversified pool composed mainly of performing U.S. dollar-denominated loans to middle-market companies. Eiffel is purchasing the Aaa-rated revolving CDO tranche from each facility and will issue ABCP to finance the purchases. Principal and interest payments on the CDOs are guaranteed by Aaa-rated Ambac Assurance Corp. Liquidity will fund for the face amount of ABCP as long as there is no default by Ambac. Program-wide credit enhancement is being increased by 5% of outstandings against the additions.
RABOBANK'S NARCO ADDS $100 MILLION TRADE RECEIVABLE FACILITY AND TWO CDO FACILITIES TO ITS PORTFOLIO
Moody's has affirmed the Prime-1 rating of Nieuw Amsterdam Receivables Corporation (NARCO), Rabobank International's (Aaa/Prime-1/A) partially supported, multiseller ABCP conduit, after the addition of a $100 million purchase commitment in a $500 million facility backed by trade receivables from one of the largest national dairy companies in the U.S. The dairy company carries a long-term issuer rating of Ba1. The facility has been in the marketplace since 2000 with an initial purchase limit of $150 million, and the total limit was increased to $400 million in 2001. The other co-purchasers include Bank One, Credit Lyonnais and Wachovia's ABCP conduits. Bank One, as the agent of the transaction, has committed to co-purchase up to $200 million in the transaction, Credit Lyonnais and Wachovia's ABCP conduits have each committed up to $100 million. The transaction structure was also amended.
Pool-specific credit enhancement is in the form of dynamic overcollateralization with a floor of 21.5% of the net receivable balance. Program-wide credit enhancement is being increased by 10%, or up to $10 million with the addition of this deal. Liquidity provided by Prime-1-rated Rabobank funds for non-defaulted receivables. Defaulted receivables are receivables that remain unpaid for more than 90 days from the invoice date. The amendments to the transaction structure include the addition of new originators from various dairy divisions, the inclusion of up to 3% of government receivables, and the increase of special obligor concentrations for Aa2-rated leading retailers from 12% to 15%.
NARCO also added two CDOs to its portfolio, totaling $200 million. The purchase commitments for the two facilities are $50 million and $150 million, respectively. The structures of the two CDO facilities are essentially the same, and each of the two facilities is backed by a diversified pool of performing principally US dollar-denominated middle-market loans. NARCO is co-purchasing the Aaa-rated revolving CDO tranche from each facility and will issue ABCP to finance the purchases. Principal and interest payment on the CDOs are guaranteed by Aaa-rated Ambac. Liquidity will fund for the face amount of ABCP as long as the credit enhancer does not default. Due to the high credit quality of the assets, program-wide credit enhancement is being increased by 5% of outstandings against the additions.
CIBC'S SPARC ADDS TWO TRANSACTIONS
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 $100 million Aaa-rated note backed by a collateralized loan obligation, and wrapped by Ambac Assurance Corp. Liquidity provided by Prime-1-rated CIBC partially supports the transaction; it funds for the face amount of ABCP as long as there is no credit insurer default.
SPARC has also added two certificates backed by subprime credit card receivables originated by one of the largest credit card issuers in the U.S. The $225 million Class A certificate is rated Aaa and the $25 million Class B certificate is rated Aa2. Liquidity partially supports this transaction. Chargeoffs are deducted from the funding formula only to the extent that they exceed reserves. SPARC is now authorized to issue up to $3.9 billion of ABCP.
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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