MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 11, 2003:
New York, December 12, 2003 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE SEVEN-DAY
PERIOD ENDED DECEMBER 11, 2003:
MOODY'S ASSIGNS PRIME-1 RATING TO GMAC COMMERCIAL MORTGAGE'S CRE-8
Moody's has assigned a Prime-1 rating to the secured liquidity
notes (SLNs) to be issued by GMAC Commercial Mortgage Corp.'s CRE-8
Funding LLC. The new program will fund a variety of assets originated
or acquired by GMAC Commercial Mortgage Corp. (GMACCM) or its affiliates
including commercial real estate loans, commercial mortgage loan
servicer advances, student loans, rated securities and government
agency eligible loans and guaranteed debt. The program is intended
as a warehouse facility, with the assets held for less than two
years, during which time they will be securitized or sold.
The program is authorized to issue up to $2 billion of secured
Credit enhancement is provided in the form of overcollateralization with
variable levels based on asset type and portfolio composition.
Market value risk protection on sale is provided by a market value swap
with Credit Lyonnais (Aa3/Prime-1/B-) or other counterparties
rated Aa3/Prime-1 or higher. The swap covers all non-defaulted
collateral and partially covers defaulted collateral.
Funding will be accomplished through issuing SLNs, a form of extendible
money market notes, with an initial expected maturity of up to 90
days, extendible to a final maturity of 270 days after the related
expected maturity, for a maximum term of 360 days.
For further details, see Moody' press release dated December 11,
MOODY'S AFFIRMED THE RATINGS OF THE FOLLOWING ABCP PROGRAMS DURING THE
SEVEN-DAY PERIOD ENDED DECEMBER 11, 2003:
EIGHT CONDUITS PURCHASE INTERESTS IN $2.725 BILLION REVOLVING
SENIOR NOTE BACKED BY AUTO LOANS
In a co-purchase transaction, eight conduits together purchased
a $2.725 billion revolving senior note backed by vehicle
loans. Barton Capital Corporation, a conduit sponsored by
Societe Generale, Aa3/Prime-1/B), acquired a $500
million interest, Cancara Asset Securitization (sponsored by Lloyds
TSB Bank, Aaa/Prime-1/A) acquired $500 million;
Hannover Funding Company LLC (sponsored by Nord LB, Aa1/Prime-1/C-)
acquired $250 million; Giro Multi-Funding Corp.
and Giro Balanced Funding Corp. (both sponsored by Bayerische Landesbank
Girozentrale, Aaa/Prime-1/D+), each acquired $237.5
million; Starbird Funding Corp. (sponsored by BNP Paribas,
Aa2/Prime-1/B+) acquired $500 million; and Bryant
Park Funding LLC and Regency Markets No. 1 LLC (both sponsored
by HSBC, Aa2/Prime-1/B+) acquired $250 million.
The transaction benefits from deal-specific credit enhancement
in the form of a 1.5% fully funded reserve account,
5.5% subordination, and excess spread.
Each participating conduit increased its program-level credit enhancement
by a certain percentage of its interest in the note. The conduits
Hannover and the Giro conduits are increasing their program-level
credit enhancement by 10%, Barton and Bryant Park are increasing
program-level credit enhancement by 8%, and Starbird,
Regency and Cancara are increasing their program-level credit enhancement
by 5%. Currently, Barton is authorized to issue up
to $13 billion of ABCP; Hannover is authorized to issue up
to $2.8 billion, Giro Balanced is authorized to issue
up to $7.1 billion, Cancara $ 7.5 billion,
Regency $3.85 billion, while Starbird is authorized
to issue up to approximately $4.2 billion of ABCP.
JPMORGAN'S PARCO AND DFC PURCHASE $350 MILLION VARIABLE FUNDING
NOTES FROM PRIVATE LABEL CREDIT CARD MASTER TRUST
Park Avenue Receivables Corp. ("PARCO") and Delaware Funding Corp.
("DFC"), JPMorgan Chase Bank's (Aa3/Prime-1/B) multiseller
ABCP conduits, have each purchased $175 million of Class
A variable funding notes issued by a private-label credit card
The Class A Notes are backed by private label credit card receivables
originated and serviced by an A1-rated finance company.
First loss protection for the Class A Notes is in the form of a subordinated
Class B Note and overcollateralization. The subordinate notes must
always equal at least 18.5% of the aggregate outstanding
principal balance of the Class A and Class B Notes. The transaction
is partially supported by liquidity facilities provided by Prime-1-rated
JPMorgan Chase for their respective conduits.
Program-level credit enhancement for each conduit was increased
by 10% of its purchase commitment for this asset. PARCO
is now authorized to issue up to $9.6 billion of ABCP and
DFC could issue up to $8.1 billion of ABCP as of September
ABN AMRO'S AMSTEL PURCHASES EUR 1.031 BILLION ASSET-BACKED
The purchasing vehicle of Amstel Funding Corp., a partially
supported ABCP conduit sponsored by ABN AMRO (Aa3/Prime-1/B,
long term unsecured rating on review for possible downgrade), has
entered into two transactions to purchase an aggregate EUR 1.031
billion of asset-backed securities (the Notes). Both transactions
were funded by Amstel's Euro funding vehicle, Amstel Euro Funding
The Notes are rated Aaa. If any Notes are downgraded below Aa2,
they either will be sold on a "no loss" basis or immediately put to liquidity.
The authorized issuance amount for AMEFCO is now approximately EUR 25.5
SOCIETE GENERALE'S BARTON PURCHASES $625 MILLION VARIABLE FUNDING
Societe Generale's (Aa3/Prime-1/B) Barton Capital Corp.
has purchased a A2-rated $625 million Class A variable funding
note issued by a credit card master trust. The transaction is partially
supported by 22.5% deal-specific credit enhancement
in the form of subordinated Classes C, D, and E. In
addition, program-wide credit enhancement has been increased
by 8% of the amount of this facility. Liquidity provided
by Societe Generale partially supports this transaction. Barton
is now authorized to issue up to $12.5 billion of ABCP.
CANCARA ASSET SECURITISATION LIMITED ADDS $ 500 MILLION AUTO LOAN
Cancara Asset Securitisation Limited ("Cancara") a Prime-1-rated,
hybrid, partially supported ABCP conduit sponsored by Lloyds TSB
Bank (Aaa/Prime-1/A), has added a $500 million facility
to its portfolio.
Cancara makes advances under a commissioning agreement to a purchasing
company, Gresham Receivables (No. 3) Limited, which
finances auto loan receivables purchased on a revolving basis.
The debtors of the underlying portfolio are resident only in the US.
Pool-specific credit enhancement is provided in the form of a funded
1.5% reserve account and 5.5% subordination.
The maximum tenor of ABCP is 60 days.
The transaction benefits from default and delinquency trigger events.
If these trigger events occur, they can result in the termination
of receivable purchases and early amortization of the transaction.
An "out of formula" trigger results in the cessation of ABCP issuance.
Lloyds TSB Bank PLC (Prime-1/Aaa/A-) provides liquidity,
which funds for non-defaulted receivables.
With this addition to its portfolio, Cancara is now authorized to
issue ABCP up to an amount of approximately US$ 7.5 billion.
DZ BANK'S CORAL CAPITAL ADDS FIRST TRANSACTION EUR 2 BILLION DEBT PURCHASE
CORAL Capital Limited ('Coral'), a partially supported, hybrid
ABCP program, sponsored by DZ Bank AG Deutsche Zentral-Genossenschaftsbank
(DZ Bank, A2/Prime-1/D), issues ECP and also ABCP in
the United States market, with Coral Capital, LLC, its
wholly owned US subsidiary, acting as co-issuer.
In its first transaction, CORAL has added a program to finance the
purchase of up to EUR 2 Billion in highly rated debt securities.
The transaction will initially have no credit enhancement due to the high
credit quality of the securities purchased; at least 50% of
the portfolio must be rated Aaa and no security may be purchased which
is rated lower than Aa3. This facility also incorporates a strong
ratings migration strategy that requires CORAL to obtain credit enhancement
for all securities rated below Aa3 and for securities rated above Aa3
in excess of certain limits.
CORAL may issue ABCP in both the United States and Euro markets.
Following this addition, CORAL is authorized to issue the equivalent
of approximately EUR 2 billion in asset-backed commercial paper.
LANDESBANK HESSEN-THÜRINGEN'S OPUSALPHA ECP PROGRAM ADDS EUR
270 MILLION TRANSACTION FINANCING MOBILE PHONE RECEIVABLES
Opusalpha Funding Limited, a new Prime-1-rated,
partially supported hybrid conduit sponsored by Landesbank Hessen-Thüringen
Girozentrale (Helaba, Aaa/Prime-1/C), has added its
first asset. The issue will provide Opusalpha's purchasing affiliate,
Opusalpha Purchaser Limited, with the financing to subscribe for
up to EUR 270 million of funding notes issued by an intermediate special
purchase vehicle and backed by receivables originated by a German mobile
The deal is partially supported by a liquidity facility provided by Helaba
(Aaa/Prime-1/C). The transaction benefits from enhancement
in the form of a minimum 2.5% overcollateralization,
a cash reserve which will be built up to 3%, and a subordinated
loan. Further, there is provision for liquidity to be drawn
in full following certain termination events. One example is any
breach of a minimum enhancement trigger, subject to a grace period.
The transaction was co-purchased with another German-sponsored
KBC BANK'S QUASAR SECURITISATION COMPANY NV ADDS EUR 82 MILLION AUTO LOAN
Quasar Securitisation Company NV, a Prime-1-rated,
multiseller, partially supported ABCP conduit sponsored by KBC Bank
(Aa3/Prime-1/B), has added a EUR 82 million facility to its
portfolio. The debtors of the underlying portfolio are resident
in The Netherlands. Pool-specific credit enhancement is
provided in the form of an 8% purchase discount on the auto loan
receivables. The transaction benefits from default trigger events.
If these trigger events occur, they will result in the cessation
of ABCP issuance followed by a put to liquidity. KBC Bank (Prime-1/Aa3)
provides liquidity, which funds for non-defaulted receivables.
With this addition, the aggregate authorized amount for Quasar is
now approximately EUR 1.7 billion.
BARCLAYS' SHEFFIELD PURCHASES $150 MILLION OF CLASS D CREDIT CARD
Sheffield Receivables Corp., a partially supported,
multiseller conduit sponsored by Barclays Bank (Aa1/Prime-1/A-),
has purchased $150 million of Class D variable funding floating
rate notes from a credit card master trust. The transaction is
supported by a guaranty from a Aa2-rated monoline insurer.
Sheffield's program credit enhancement was incrementally increased by
10% of this purchase. Sheffield is currently authorized
to issue up to $22.8 billion of ABCP.
DRESDNER BANK'S SILVER TOWER FUNDING LIMITED ADDS 50 MILLION TRADE RECEIVABLES
Silver Tower Funding Limited, a Prime-1-rated,
multiseller, partially supported ABCP conduit sponsored by Dresdner
Bank AG, has added a EUR 50 million facility to its portfolio.
Silver Tower Funding makes advances under a commissioning agreement to
a purchasing company, Carbo Finance Inc., which finances
trade receivables, originated within the automotive sector,
on a revolving basis. The debtors of the underlying portfolio are
resident in a number of European countries. Debtor concentration
is mitigated through commercial credit insurance and covers the largest
Pool-specific credit enhancement is provided in the form of:
a 0.75% purchase discount; and up to a 3% cash
reserve, which when fully funded will be subject to a floor amount
of EUR 1.5 million, and an initial subordinated loan of 3.5%
until the cash reserve is fully funded thereafter reduced to 2.5%.
The transaction benefits from default and delinquency trigger events.
If these triggers occur, they result in the termination of receivable
purchases and the cessation of ABCP issuance followed by a put to liquidity.
Dresdner Bank AG (Prime-1/A1/C-) provides a liquidity facility
which funds for non-defaulted receivables. With this addition,
Silver Tower Funding is now authorized to issue ABCP up to approximately
EUR 15 billion.
BNP PARIBAS' STARBIRD BUYS $125 MILLION TRADE RECEIVABLES IN FULLY
Starbird Funding Corp. (sponsored by BNP Paribas, Aa2/Prime-1/B+)
has purchased $125 million of trade receivables originated by a
non-investment-grade-rated toy and entertainment
product manufacturer. Citibank's (Aa1/Prime-1/A-)
CAFCO joined in the transaction. The Starbird transaction is fully
supported. Starbird may now issue $4.2 billion of
ROYAL BANK OF SCOTLAND PLC'S TAGS ABCP PROGRAM ADDS GBP 200 MILLION TRANSACTION
FINANCING WAREHOUSE OF RESIDENTIAL MORTGAGE-BACKED SECURITIES
Thames Asset Global Securitisation No.1, Inc.,
a Prime-1-rated, partially supported multiseller conduit
sponsored by the Royal Bank of Scotland plc (Aa1/Prime-1/A-),
has agreed to subscribe for up to GBP 200 million of funding notes issued
by a mortgage warehouse special purpose vehicle. The funding notes
will finance the origination of residential mortgage loans by a United
Kingdom originator on behalf of the mortgage warehouse vehicle.
The deal is partially supported by a liquidity facility provided by the
Royal Bank of Scotland plc. The transaction benefits from enhancement
in the form of a minimum of 2.75% overcollateralization
of the mortgage loans backing the funding notes for each funding period
of approximately 30 days, and further benefits from a number of
cease issuance triggers, in particular a 5-month delinquency
trigger set at 1%. The total authorized amount for the TAGS
conduit is currently approximately $5.29 billion.
ABN AMRO'S TULIP FINANCES EUR 500 MILLION PORTFOLIO OF AUTO LOANS AND
LEASES AND EUR 80 MILLION PORTFOLIO OF INSTALLMENT LOANS
Tulip Funding Corp. (Tulip), the fully supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has financed a EUR 500 million pool of Austrian auto loans and lease receivables
and a EUR 80 million pool of UK installment loans. Both transactions
were funded by Tulip's Euro funding vehicle, Tulip Euro Funding
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 $16
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