MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED MAY 25, 2004
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD MAY 19, 2004 THROUGH MAY 25, 2004:
MIZUHO'S ASTRO CAPITAL AMENDS PROGRAM STRUCTURE
Moody's has affirmed the Prime-1 ratings of Astro Capital Corporation ("Astro Capital") following the amendment made to the program that allows for the issuance of paperless securities ("Paperless CP"). Astro Capital is a fully supported, multiseller ABCP program sponsored by Mizuho Corporate Bank, Ltd. (A3/Prime-1/E) ("Mizuho"). The proceeds from the issuance of ABCP are used to purchase primarily trade receivables from various sellers. A liquidity facility provided by Mizuho ensures the timely repayment of ABCP.
With this amendment, Astro Capital now has the ability to issuer Paperless CP as well as ABCP in the form of promissory notes. Such paperless issuance is common in U.S.-based ABCP programs.
For further details, please see Moody's press release dated May 20, 2004.
CDC IXIS CAPITAL MARKETS' DIRECT FUNDING S.A. ADDS EURO 350 MILLION ASSET
DIRECT Funding S.A. ("Direct Funding"), a partially supported, multiseller ABCP conduit sponsored by CDC Ixis Capital Markets (Aaa/Prime-1/C) ("CDC ICM"), has purchased a Euro 350 million asset interest in a pool of trade receivables. The asset addition takes the form of a subscription by Direct Funding to a credit derivatives transaction, by which it provides protection to its counterparty CDC ICM against certain credit events arising in connection with the underlying pool of trade receivables. The proceeds from ABCP issuance are invested into a cash deposit account, which is pledged to the benefit of the party buying credit protection. The underlying asset is a pool of trade receivables originated by a company in the telecommunications industry.
The pool of trade receivables benefits from a minimum of 18% transaction-specific credit enhancement.
The affirmation of Direct Funding's Prime-1 rating is also based upon the rating of CDC ICM as credit derivative counterparty and liquidity provider through its commitment to release the cash collateral associated with the credit derivative, when required. There is no increase to Direct Funding's Euro $1 billion program-level credit enhancement for the addition of this transaction.
Direct Funding is now authorized to issue up to Euro 2.5 billion of ABCP.
PROMONTORY'S FREEDOM PARK ADDS $500 MILLION Aaa-RATED VARIABLE FUNDING NOTES
Freedom Park Capital LLC ("Freedom Park"), a fully supported, multiseller extendable ABCP conduit sponsored and administered by Promontory Asset Finance Company, LLC, has acquired an aggregate $500 million of variable funding notes ("VFNs") backed by loans made to small businesses. The VFNs are rated Aaa by Moody's by virtue of a financial guaranty insurance policy provided by XL Capital Assurance Inc. (insurance financial strength Aaa). The form of liquidity support for this transaction is provided through a combination of the extension feature of this program, an existing program put agreement with Bank of America (Aa1/Prime-1/A-), and the guaranty policy. Since all asset purchases must be rated Aaa at the time of their inclusion, Freedom Park has no program-level credit enhancement.
Freedom Park is now authorized to issue $500 million of ABCP.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING INCREASES INTEREST IN VARIABLE FUNDING NOTE BACKED BY TRADE RECEIVABLES FROM $350 MILLION TO $500 MILLION
Manhattan Asset Funding Company LLC ("Manhattan Asset Funding"), a partially supported, multiseller conduit sponsored by Sumitomo Mitsui Banking Corp. ("SMBC") (A3/Prime-1/E), increased its interest in a variable funding note ("VFN") from $350 million to $500 million . The VFN is backed by trade receivables originated by an investment-grade-rated industrial company and its subsidiaries.
The transaction benefits from a minimum of 8% transaction-specific credit enhancement, which adjusts dynamically depending upon asset performance and the parent company's rating. The transaction benefits from 10% incremental program-level credit enhancement.
With this transaction, Manhattan Asset Funding has $2.39 billion in total purchase commitments and $230 million in program-level credit enhancement.
DANSKE BANK'S POLONIUS ADDS GBP 250 MILLION INTEREST IN CREDIT CARD RECEIVABLES
Polonius Inc. ("Polonius"), a partially supported, hybrid ABCP conduit sponsored by Danske Bank A/S, London branch (Aa1/Prime-1/A-), has purchased a GBP 250 million interest in a pool of credit card receivables issued by a retail credit card master trust. The receivables are originated by a leading U.K.-based financial institution.
This transaction is fully supported through a liquidity facility provided by Danske Bank's London branch. Polonius is now authorized to issue up to $1.95 billion of ABCP.
BNP PARIBAS' THESEE PURCHASES EURO 220 MILLION NOTE BACKED BY CREDIT CARD RECEIVABLES
Thésée Limited ("Thésée"), a partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa2/Prime-1/ B+), has purchased a Euro 220 million floating-rate note backed by Japanese credit card receivables.
A Euro-denominated liquidity facility, provided by BNP Paribas, will fund for outstanding ABCP as long as the note is rated Caa2 or above, or as long as it is not defaulted. In the event the note is downgraded below A1, Thésée will no longer be permitted to issue ABCP to fund this transaction. Also, the maximum tenor of ABCP that may be issued to fund this transaction is 30 days. Therefore, investors' exposure on this transaction is limited to the risk of downward transition of an A1-rated note to below Caa2 within 30 days.
Thésée's portfolio currently includes fourteen asset purchases. Approximately 60% of these are trade receivable transactions.
Thésée is now authorized to issue approximately Euro 3.2 billion of ABCP. Thésée's program-level letter of credit is at Euro 74 million, of which Euro 26 million is available to cover credit risk on the conduit's asset purchases.
ROYAL BANK OF CANADA'S THUNDER BAY REMOVES FULL SUPPORT FROM NINE CDO TRANSACTIONS TOTALING $398.11 MILLION
Thunder Bay Funding LLC ("Thunder Bay"), a partially supported, multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC") (Aa2/Prime-1/B+) has removed full support of its interests in nine CDO transactions with aggregate commitments totaling $398.11 million. The CDO transactions included one Aa2-rated CDO and eight Aaa-rated CDOs. Previously, all nine CDO transactions were fully supported through program-level credit enhancement. The transactions are now supported through liquidity facilities provided by RBC that fund outstanding ABCP so long as the CDOs are rated at least Caa2. Each transaction benefits from 10% incremental program-level credit enhancement.
Thunder Bay is now authorized to issue up to $8 billion of ABCP. Currently, Thunder Bay has about $5.54 billion in total purchase commitments, with $1.59 billion in program-level credit enhancement.
For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com.
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