New York, December 19, 2003 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE SEVEN-DAY
PERIOD ENDED DECEMBER 18, 2003:
MOODY'S ASSIGNS DEFINITIVE PRIME-1 RATING TO EUROPEAN SOVEREIGN
In Paris, Moody's assigned a definitive Prime-1 rating to
ESF S.A. ("European 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
The 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.
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. The liquidity facilities 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 that 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
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE DURING THE SEVEN-DAY PERIOD ENDED DECEMBER
SUN TRUST'S THREE PILLARS AND SOCGEN'S BARTON ADD CLASS A AND CLASS B
VARIABLE FUNDING NOTES FROM CREDIT CARD MASTER TRUST
Three Pillars Funding Corp. ("Three Pillars"), Sun Trust
Bank's (Aa2/Prime-1/B+) multiseller ABCP conduit, purchased
a $89.75 million Class A-2 Note and a $10.25
million Class B-2 Note issued by a retail credit card master trust.
Barton Capital Corp. ("Barton"), administered by Societe
Generale (Aa3/Prime-1/B) purchased a $80.78 million
Class A-1 Note issued out of the same series. The notes
purchased by Three Pillars and Barton are backed by a pool of MasterCard/Visa
credit card receivables.
Credit enhancement for the Class A Notes is provided by subordinated Class
B Notes, which offer first-loss protection and must always
equal at least 10.25% of the aggregate outstanding principal
balances of the Class A and Class B Notes. The Class A and B Notes
also benefit from a funded spread account sized at 1% of the Series
Liquidity facilities are provided by Prime-1-rated Sun Trust
Bank and Societe Generale for each of their respective investments.
For each conduit's investment in the Class A Note, the liquidity
facility funds against good assets. The liquidity facility fully
supports Three Pillar's investment in the Class B-2 Note.
Program-level credit enhancement for Three Pillars was increased
by 10% ($10 million) of its purchase commitments for the
Class A-2 and Class B-2 Notes. Barton's program-level
credit enhancement was increased by 8% of its investment in the
Class A-1 Note. Three Pillars is now authorized to issue
up to $4.6 billion of ABCP and Barton is authorized to issue
up to $12.6 billion of ABCP.
BANK ONE'S JUPITER AND FALCON INCREASE COMMITMENT TO CREDIT CARD MASTER
Bank One's (Aa2/Prime-1/B+) Jupiter Securitization Corporation
("Jupiter") and Falcon Asset Securitization Corporation ("Falcon") have
added a $750 million Class A tranche of an existing credit card
master trust. This brings the conduits' commitment in this transaction
to $1.75 billion. Before the addition, the
existing $1 billion was equally shared between PREFCO and Jupiter.
Jupiter's share will now be $750 million, while Falcon will
acquire the remaining $500 million of the increase in the deal,
bringing its holding to $1 billion.
The transaction is backed by receivables originated by a highly rated
financial institution and frequent securitizer of MasterCard and Visa
receivables. Investors are protected by a 6% cash collateral
account. Performance triggers are incorporated into the transaction
that mirror public issuances out of this same trust. Additional
loss protection is provided by an increase of 10% of the amount
of this transaction in program-level credit enhancement for both
Falcon and Jupiter. The portfolio continues to perform in line
with expectations. Jupiter is authorized to issue $17 billion
of ABCP and as of November 30, 2003, had $11 billion
in ABCP outstanding. Falcon, which is authorized to issue
$23 billion of ABCP, had over $12.3 billion
in ABCP outstanding at the end of November 2003.
CREDIT LYONNAIS' ATLANTIC ADDS TWO TRADE DEALS
Atlantic Asset Securitization Corp., Credit Lyonnais' (Aa3/Prime-1/B-)
partially supported, multiseller conduit, added two trade
receivable transactions for a combined total of $275 million.
The first revolving transaction is sized at $100 million,
with receivables originated by a major oil and gas company. Its
parent is rated Baa2. The portfolio is comprised of receivables
from retail, wholesale and chemical sales with obligor limitations
of 4% on highly rated obligors. Investors are protected
by reserves set at a floor of 15.5%, which would increase
to 25% if defaults exceed 1% and dilutions exceed 1.5%.
The portfolio has performed well within these trigger levels. As
long as these reserves are adequate to cover the deal's defaults (defined
as 60 days past due plus charge offs), liquidity provided by Credit
Lyonnais will cover outstanding ABCP. The liquidity facility also
absorbs all risks relating to collections made but not remitted.
Bank One's Falcon purchased a $100 million share in this transaction.
Atlantic also entered into a second trade receivable transaction to an
unrated seller prominent in the electrical parts distribution business
in the United States and Europe. This transaction funds only U.S.
dollar-denominated and originated receivables, with the total
deal sized at $175 million. The portfolio is fairly well
diversified, with receivables originated by sellers in eight different
divisions nationwide. Government obligors, however,
may comprise up to 10% of the portfolio. Investors benefit
from several structural protections. These include a requirement
to cease issuing ABCP in the event that liabilities exceed the transaction's
eligible assets, or if the seller or its unrated Europe-based
parent becomes insolvent. A liquidity facility provided by Credit
Lyonnais will fund for face ABCP as long as reserves, sized with
a 15% floor, are adequate to cover defaults. Defaults
have been consistently below their trigger levels of 8.5%
based on a three-month rolling average and 9.5% for
one month. Liquidity also covers dilution and collections made
but not remitted.
An incremental increase of 10% of in the program letter of credit
provided by Credit Lyonnais was added for each transaction.
In a separate action, Atlantic recently amended its Administration
Agreement to allow Atlantic to purchase Prime-1- rated ABCP
as an investment. Any purchases will be match-funded as
to both yield and maturity with the ABCP that Atlantic issues to fund
Atlantic is currently authorized to issue up to $3.79 billion
in ABCP and has $ 2.121 billion in outstandings.
BELMONT FUNDING LLC ADDS $700 MILLION CDO FACILITY
Belmont Funding LLC, Hudson Castle's partially supported ABCP program
administered by Deutsche Bank Trust Company Americas (A1/Prime-1/C),
has added a $700 million Aaa-rated collateralized debt obligation
(CDO). The CDO is fully supported by a liquidity facility provided
by a Prime-1-rated commercial bank. The CDO transaction
is the first transaction funded by Belmont.
BRYANT PARK ADDS VARIABLE FUNDING CERTIFICATES AND NOTES TOTALING $400
In one transaction, Bryant Park Funding, LLC, sponsored
and administered by HSBC Bank (Aa3/Prime-1/B-), has
added two variable funding certificates (VFCs) that are part of a series
issued from an unrated credit card master trust. These are a $185
million Class A certificate and a $15 million Collateral Interest
Amount (CIA). The collateral backing the series consists of credit
card receivables arising under a single affinity card relationship.
The Class A certificate is supported by subordination of 7.5%
of the investor interest. Moody's has reviewed the portfolio and
assessed the credit quality of the VFC to be investment grade.
The addition of 10% program-wide credit enhancement brings
its credit quality to a level consistent with Beethoven's Prime-1
rating. The CIA is supported by excess spread, as well as
a dynamic spread account. Through structural protections that limit
the time that ABCP investors are exposed to losses, and additional
program-level enhancement equal to 10% of outstandings,
the credit quality of the CIA was brought to a level consistent with Beethoven's
In another transaction, Bryant Park added $200 million of
variable funding notes (VFNs) issued by one of the largest small business
credit card issuers in the United States. The purchase includes
Class A (rated A2) and Class B (rated Baa2) VFNs with purchase limits
of $187.05 million and $12.95 million,
respectively. For the Class B notes, ABCP investors are protected
by issuance limitations. ABCP issued to fund the transaction is
limited to a maximum maturity of 60 days. In addition, if
excess spread on the underlying transaction declines beyond a certain
point, the conduit will cease issuing ABCP against the asset,
thus limiting ABCP investors' risk exposure. Program-wide
credit enhancement was increased by 8% of the purchase limits,
or $16 million, with the addition of the Class A and Class
B notes. A liquidity facility provided by Prime-1-rated
HSBC Bank USA funds for non-defaulted assets.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING ENTERS INTO $325
MILLION TOTAL RETURN SWAP TRANSACTION TO PURCHASE HIGHLY RATED SECURITIES
Giro Balanced Funding Corp., Bayerische Landesbank's (Aaa/Prime-1/D+)
partially supported, multiseller conduit, has entered into
a $325 million total return swap transaction for the purchase of
highly rated securities. The total return swap is structured to
fully support this transaction by absorbing liquidity, credit and
market value risk. Giro Balanced Funding is now authorized to issue
approximately $7.38 billion of ABCP.
ABN AMRO'S ORCHID ADDS $150 MILLION EXTENDABLE FLOATING-RATE
Orchid Funding Corp. (Orchid), a partially supported,
multiseller conduit sponsored and administered by ABN AMRO Bank N.V.
(Aa3/Prime-1/B), has purchased $150 million of extendable
floating-rate notes (extendable FRNs) ultimately backed by a pool
of freight receivables originated by a Korean container company.
Moody's confirmed the Prime-1 rating assigned to Orchid's ABCP
program in connection with the purchase. Moody's rating affirmation
is primarily based on the liquidity facility agreement to the extendable
FRNs provided by Prime-1-rated ABN AMRO Bank N.V.
through its Singapore branch.
WESTLB'S PARADIGM FUNDING ADDS THREE INTERESTS TOTALING $103.7
Paradigm Funding LLC (Paradigm), a partially supported, multiseller
conduit, has acquired several unrated credit card-backed
investments from Montauk Funding Corporation. Both conduits are
administered by WestLB AG (Aa1/Prime-1/E, bank long-term
deposit rating and bank financial strength rating on review for possible
downgrade). The first transaction, for $24.2
million, benefits from 10% incremental program-level
enhancement. Two additional investments, for $37.2
million and $42.3 million, are supported by 6.32%
deal-specific enhancement provided through the liquidity facility
as well as 10% incremental program-level credit enhancement.
In each transaction, the risk to ABCP investors is minimized through
a short ABCP tenor and very strong ABCP cease issuance events and other
provisions in the documents. Paradigm has about $7.55
billion in outstanding ABCP, with nearly $700 million in
program-level credit enhancement. Paradigm is now authorized
to issue about $9.29 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 inforrmation is also available at
Structured Finance Group
Moody's Investors Service
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 18, 2003:
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service