MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 6, 2004
MOODY'S ABCP QUERY UPDATE
ABCP Query is an Excel-based tool that provides data on Moody's-rated asset backed commercial paper conduits. ABCP Query provides data specific to every program, including liquidity providers, credit enhancement, seller industries, seller ratings and other information. Current coverage, which includes the largest multiseller and securities arbitrage conduits, will now be enhanced to include hybrid programs. Hybrid programs combine characteristics from two or more other program types, such as multiseller and securities arbitrage, into one program. There are currently two hybrid programs included in ABCP Query, BNP Paribas' Starbird Funding Corp. and Banca Intesa S.p.A.'s Romulus Funding Corp.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD APRIL 29, 2004 THROUGH MAY 6, 2004:
JPMORGAN CHASE'S DFC AND PARCO AND SUN TRUST'S THREE PILLARS CO-PURCHASE $900 MILLION FACILITY BACKED BY PRIVATE LABEL CREDIT CARD RECEIVABLES
Delaware Funding Company, LLC ("DFC"), Park Avenue Receivables Company, LLC ("PARCO"), and Three Pillars Funding Corp. ("Three Pillars") have joined in the purchase of a $900 million private label credit card facility. DFC and PARCO are partially supported, multiseller ABCP conduits sponsored by JPMorgan Chase Bank (Aa3/Prime-1/B), while Three Pillars is a partially supported, multiseller ABCP conduit sponsored by Sun Trust Bank (Aa2/Prime-1/B+). The three conduits purchased variable funding certificates ("VFC") and subordinate collateral interests issued by a credit card master trust. The master trust consists of private label credit card receivables originated by a U.S.-based finance company. The finance company acquires and finances private label credit card receivables on behalf of various retail stores.
DFC and PARCO each purchased a $194.625 million senior class VFC and a $30.375 million subordinate collateral interest. A liquidity facility provided by JPMorgan Chase fully supports this transaction in DFC and PARCO. The program-level credit enhancement for each conduit has increased by 10% of its respective purchase commitments, or $22.5 million for each conduit. PARCO is now authorized to issue up to $8.1 billion of ABCP, while DFC may issue up to $8.6 billion of ABCP.
Three Pillars purchased a $389.25 million senior class VFC and a $60.75 million subordinate collateral interest. A liquidity facility provided by Sun Trust fully supports this transaction. With the addition of this transaction, Three Pillars' program-level credit enhancement was increased by 10% of its purchase commitment, or $45 million. Three Pillars is now authorized to issue up to $4.7 billion of ABCP.
THE BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $65 MILLION TRADE RECEIVABLE FACILITY
Liberty Street Funding Corp. ("Liberty Street"), a partially supported, multiseller conduit sponsored by The Bank of Nova Scotia (Aa3/Prime-1/B), has purchased a $65 million trade receivable facility originated by an investment-grade-rated industrial steel company. This purchase is part of a $130 million co-purchase facility with Mellon Bank, N.A.'s Three Rivers Funding Corp.
Transaction-specific credit enhancement is based on a dynamic formula that responds to changes in both dilution and defaults, and has averaged 19.7% with a minimum of 17.3%. This transaction is partially supported through a liquidity facility provided by The Bank of Nova Scotia. With this transaction, Liberty Street's program-level credit enhancement increased by 10% of its commitment. Liberty Street is now authorized to issue up to $6.2 billion of ABCP.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN BY MOODY'S DURING THE PERIOD APRIL 29, 2004 THROUGH MAY 6, 2004:
BEST FUNDING RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1 rating of BEST Funding Limited, a partially supported, multiseller ABCP program sponsored by Bankgesellschaft Berlin AG (A2/Prime-1/E+). As of April 27, 2004, all ABCP had been repaid in full. No further ABCP will be issued by this program.
For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com.
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