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01 Mar 2004
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED FEBRUARY 26, 2004
New York, March 01, 2004 -- MOODY'S RATES SENIOR CLASS OF BLUE HERON IX CDO PRIME-1
Moody's has assigned ratings to two classes of notes and one class of certificates issued on February 25, 2004 by Blue Heron Funding IX Ltd. and co-issuer Blue Heron Funding IX Inc. (the "Issuers"). The ratings assigned to the respective tranches are as follows: (i) Prime-1 short-term rating to $910,000,000 Class A Notes, due February 23, 2005 (the "Class A Notes"); (ii) A3 to the $85,000,000 Class B Notes, due February 25, 2041 (the "Class B Notes"); and (iii) Aaa to the $5,000,000 Certificates having a scheduled final distribution date of February 25, 2041 (the "Certificates").
Moody's explained that the short-term rating of the Class A Notes is applicable only to those Class A Notes issued on the Closing Date and maturing on February 23, 2005. The rating on the Class A Notes is primarily based on the Issuers' ability to rely on a put option entered into with the put option agent (currently WestLB AG ("WestLB"), acting through its London branch) and a cash flow swap with the cash flow swap counterparty (currently WestLB, acting through its New York branch). The put option is designed to fund the principal repayment of any Class A Notes that are not successfully remarketed at their maturity, and the cash flow swap is structured to fund any shortfall between the Issuers' collections from their assets and the amount of interest due on the Class A Notes. In addition, the amount WestLB is required to pay under its support obligations cannot be reduced for defaults on the Issuers' underlying assets. The combination of the put option and cash flow swap is designed to provide the investor the full amount of principal and interest due on the Class A Notes.
Moody's further noted that for so long as WestLB is the support provider, the rating of the Class A Notes is strongly correlated to the short-term deposit rating of WestLB. WestLB currently has a short-term deposit rating of Prime-1, a long-term bank deposit rating of Aa1 on review for possible downgrade and a bank financial strength rating of E. Any replacement support provider is required under the documentation to carry a Prime-1 rating.
WestLB, through its New York branch, is also contracted as the manager of the Issuers' assets, which primarily consist of highly rated investment-grade structured finance securities.
For further details, please see Moody's press release dated February 26, 2004.
MOODY'S ASSIGNS RATING TO FOUR CLASSES OF NOTES ISSUED BY MILLSTONE FUNDING, LTD.
Moody's has assigned ratings to the four tranches of notes issued by Millstone Funding, Ltd. ("Millstone"): (i) Prime-1 to the $880,000,000 CP Notes; (ii) Aaa to the $40,000,000 Class A-1 Notes; (iii) Aaa to the $10,000,000 Class A-2 Notes; and (iv) A3 to the $65,000,000 Class B Notes.
The ratings reflect Moody's evaluation of the underlying collateral as of the closing date, the transaction's structure, the draft legal documentation, and the expertise of the Collateral Manager, Church Tavern Advisors, LLC.
The ratings of the notes address the ultimate cash receipt of all interest and principal payments required by the governing documents and are based on the expected losses posed to holders of the notes relative to the promise of receiving the present value of such payments.
The Prime-1 rating assigned to the CP notes addresses the timely payment of the face amount of the notes at maturity either from the proceeds of newly issued CP notes, cash payments received from the underlying assets, or cash paid by Citibank N.A. under the terms of a swap agreement.
For further details, please see Moody's press release dated February 5, 2004.
MOODY'S RATED THE FOLLOWING ABCP PROGRAMS PRIME-1 DURING THE PERIOD FEBRUARY 20, 2004 THROUGH FEBRUARY 26, 2004:
MOODY'S ASSIGNS PRIME-1 RATING TO BANK OF TOKYO-MITSUBISHI'S CADENZA FUNDING CORP.
In Tokyo, Moody's has assigned a Prime-1 rating to the asset-backed commercial paper ("ABCP") of Cadenza Funding Corp. ("Cadenza"). Cadenza is a fully supported ABCP program sponsored by The Bank of Tokyo-Mitsubishi Ltd. (A2/Prime-1/D-) ("BTM"). Cadenza finances yen-denominated trade receivables, commercial and consumer loans and securities through the issuance of yen-denominated ABCP in the Japanese market.
The Prime-1 rating of Cadenza is based on several factors: (1) a liquidity facility that ensures the timely payment of ABCP and a credit facility that ensures the full payment of ABCP; (2) the timing mechanics associated to the drawing of funds from the liquidity facility and credit facility; and (3) the bankruptcy remoteness of Cadenza. The liquidity and credit facilities, which are provided by BTM, ensure the full and timely repayment of Cadenza's ABCP.
Cadenza is authorized to issued to issue up to JPY500 billion of Yen ABCP.
For further details, please see Moody's press release dated February 26, 2004.
MOODY'S ASSIGNS PRIME-1 RATING TO NATIONWIDE BUILDING SOCIETY'S
COBBLER FUNDING LIMITED
Moody's has assigned a Prime-1 rating to the asset-backed commercial paper ("ABCP") of Cobbler Funding Limited ("Cobbler"). Cobbler is a newly established, partially supported, securities arbitrage ABCP program sponsored by Nationwide Building Society (Aa3/Prime-1/B) ("Nationwide"). Nationwide is the largest building society in the United Kingdom. Cobbler, Nationwide's first ABCP program, has a maximum program size of $2 billion. Cobbler may issue U.S. dollar-denominated ABCP in the U.S. market and Euro CP denominated in Euros, U.S. dollars or GBP outside the U.S. market.
Cobbler will use the proceeds from the sale of its ABCP to invest in a portfolio of highly rated securities such as ABS and MBS, subject to a set of explicit investment guidelines that specify the credit quality of the assets held. Cobbler can purchase assets either directly or finance the purchase through one of three purchasing facilities, which have been established as bankruptcy-remote special purpose vehicles.
Due to the high credit quality of the assets, the initial amount of program credit enhancement will be zero. This is similar to many other credit arbitrage ABCP programs. Also, Prime-1-rated Nationwide provides liquidity support through a Liquidity Facility Agreement and/or Liquidity Purchase Agreement. This liquidity facility equals 105% of outstanding ABCP. The liquidity facility will fund for the principal balance of non-defaulted assets. Defaulted assets are defined as assets rated below Caa2 and CCC by Moody's and S&P, respectively.
The currency of each of Cobbler's investments will be matched to the currency of the ABCP issued by Cobbler to support its investments. Furthermore, liquidity facilities and credit support, if required, will be denominated in the same currencies as the ABCP issued by Cobbler, thereby eliminating the need for hedging.
The Prime-1 rating of Cobbler's ABCP is based on, among other factors, the following: (1) the high credit quality of the portfolio of securities purchased, as required by the investment guidelines; (2) structural protections, including a requirement to cease issuing ABCP if the portfolio is not in compliance with the investment guidelines for more than 10 days, if the program credit enhancement is not at the required level for more than 10 days, or if a minimum excess spread test is not in compliance; (3) liquidity facility provided by Prime-1-rated banks, which funds for non-defaulted assets; (4) the capabilities of Nationwide as sponsor, and in its roles as program administrator, liquidity agent, swing line agent, and investment advisor.
For further details, please see Moody's press release dated February 26, 2004.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD FEBRUARY 20, 2004 THROUGH FEBRUARY 26, 2004:
NORDLB'S HANNOVER FUNDING PURCHASES $100 MILLION CERTIFICATE
Hannover Funding Corp. ("Hannover") is a hybrid ABCP conduit sponsored by Norddeutsche Landesbank Girozentrale (Aa1/Prime-1/C-) ("NordLB"). Hannover combines the features of several types of ABCP programs: partially supported term and trade receivable financing, a maturity-matched loan-backed program and a securities credit arbitrage program.
Hannover has purchased a $100 million certificate backed by a pool of consumer equipment receivables. The transaction benefits from credit enhancement in the form of overcollateralization sized at 10%, a cash reserve account of 12%, and excess spread. In addition, this transaction has an interest rate swap with a notional amount equal to the outstanding principal amount of the certificate. NordLB provides a liquidity facility which funds for non-defaulted receivables.
Hannover is authorized to issue approximately $2.8 billion of ABCP, and it has program-level credit enhancement of $186 million.
RHINELAND FUNDING CAPITAL CORP. REPLACES PROGRAM ADMINISTRATOR.
In London, Moody's has affirmed the Prime-1 rating of Rhineland Funding Capital Corp. ("Rhineland"), a partially supported, hybrid ABCP conduit sponsored by IKB Deutsche Industriebank AG (Aa3/Prime-1/B-) ("IKB"). The rating action follows the February 20, 2004 announcement made by IKB, Canadian Imperial Bank of Commerce (Aa3/Prime-1/B-) ("CIBC") and Société Générale (Aa3/Prime-1/B) ("Société Générale") of CIBC's resignation as Administrator for Rhineland. CIBC's resignation leads to a six-month period where all program administration functions will be transferred from CIBC to Société Générale. Moody's will closely monitor Rhineland during the transition period and will conduct an operations review on Société Générale shortly after it begins its new role as administrator.
Société Générale is an experienced ABCP conduit administrator in Europe and in the United States. Rhineland is authorized to issue up to $7 billion of ABCP.
For further details, please see Moody's press release dated February 23, 2004.
For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com.
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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