MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 22, 2004
New York, June 24, 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 individual programs, including liquidity providers,
credit enhancement, seller industries, seller ratings,
and other information.
All programs in ABCP Query have been updated through February 2004.
Partial information is available for March and April 2004.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JUNE 16, 2004 THROUGH JUNE 22,
HVB'S BUFCO PURCHASES BLACK FOREST ABCP BACKED BY $75 MILLION CLO
Bavaria Universal Funding Corp. ("BUFCO"), a partially supported
program sponsored by Bayerische Hypo -und Vereinsbank AG (A3/Prime-1/C-)
("HVB"), has purchased ABCP from its sister conduit, Black
Forest Funding Corp. ("Black Forest"). Black Forest ABCP
is backed by a $75 million interest in an existing CLO transaction.
The CLO transaction, $700 million in aggregate, is
backed by a pool of senior and subordinated commercial loans made primarily
to privately owned middle market businesses.
This transaction is fully supported through BUFCO's program-level
credit enhancement in the form of a letter of credit provided by HVB.
With this transaction, BUFCO has $3.39 billion in
total asset purchase commitments, with $839.56 million
in program-level credit enhancement.
ABN AMRO'S ORCHID ADDS NOTE BACKED BY SINGAPORE CONSUMER LOAN RECEIVABLES
Orchid Funding Corporation ("Orchid"), a partially supported,
multiseller ABCP conduit administered by ABN AMRO Bank N. V.
(Aa3/Prime-1/B), has purchased a U.S. dollar-denominated
note ("US Note") backed by consumer loans. The amount of the note
is a U.S. dollar equivalent of Singapore Dollar ("SGD")
105 million. The US Note is issued by a special-purpose
vehicle ("SPV") and is backed by a pool of consumer loans originated by
a Singapore-based retailer of consumer electronics and household
The SPV will purchase the consumer loans at a discount. Credit
enhancement for this partially supported transaction is provided in the
form of overcollateralization and a credit facility provided by ABN AMRO.
This transaction also benefits from a swap agreement provided by ABN AMRO.
The swap agreement mitigates currency and interest-rate risks of
the US Note and the SGD-denominated consumer loans.
RABOBANK'S NIEUW AMSTERDAM AND SUNTRUST'S THREE PILLARS ACQUIRE INTERESTS
IN EXISTING TRADE RECEIVABLE FACILITY
Nieuw Amsterdam Receivables Corp. ("Nieuw Amsterdam") and Three
Pillars Funding Company LLC ("Three Pillars") have acquired interests
in an existing trade receivable facility. Nieuw Amsterdam,
a partially supported, multiseller ABCP conduit sponsored by Rabobank
Nederland (Aaa/Prime-1/A), has acquired a $100 million
interest. Three Pillars, a partially supported, multiseller
ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+),
also has acquired a $100 million interest. The facility,
$1.4 billion in aggregate, is financed with five other
conduits. The underlying receivables are originated by a Baa2-rated
U.S.-based healthcare service company.
Transaction-specific credit enhancement is based on a dynamic formula
that responds to changes in defaults, dilution, discount and
servicing fee, and has averaged approximately 43% with a
minimum of 26%. With this transaction, both Nieuw
Amsterdam and Three Pillars' program-level credit enhancements
increased by 10% of its commitments. Liquidity facilities
provided by Rabobank and SunTrust partially support this transaction.
Nieuw Amsterdam is authorized to issue up to $3.8 billion
of ABCP and Three Pillars may issue up to $4.8 billion of
SUNTRUST'S THREE PILLARS INCREASES INTEREST IN EXISTING LOAN PURCHASE
Three Pillars Funding Company LLC ("Three Pillars"), a partially
supported, multiseller ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+),
has increased its interest in an existing revolving loan purchase facility.
The loans in the facility are originated by an unrated consumer finance
company. The obligors are mostly subprime quality borrowers.
Three Pillars' interest has increased from $15 million to $20
million. A liquidity facility, provided by SunTrust Bank,
fully supports this transaction.
Three Pillars has about $5.31 billion in total purchase
commitments and $457.12 million in program-level
ROYAL BANK OF CANADA'S THUNDER BAY REMOVES FULL SUPPORT FROM $400
MILLION INTEREST IN CO-PURCHASE TRADE RECEIVABLE FACILITY
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 from its interest in a co-purchased trade
receivable facility originated by a A3-rated industrial company.
Thunder Bay's share is $400 million of a $1.2 billion
facility. This transaction was previously fully supported through
program-level credit enhancement.
The facility has a minimum of 18.13% transaction-specific
credit enhancement in the form of subordination. The subordination
level adjusts dynamically depending upon asset performance. This
transaction is now partially supported by a liquidity facility.
Thunder Bay is now authorized to issue up to $4.56 billion
of ABCP. Currently, Thunder Bay has about $5.48
billion in total purchase commitments, with $1.55
billion in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN BY MOODY'S DURING
THE PERIOD JUNE 16, 2004 THROUGH JUNE 22, 2004:
BLB'S INDIGO FUNDING REPAYS SERIES TITRIWATT
Indigo Funding Limited, a serialized, partially supported
ABCP conduit administered by Bayerische Landesbank ("BLB") (Aaa/Prime-1/D+),
Paris Branch, has repaid in full all of its outstanding Series Titriwatt
ABCP. Series Titriwatt was terminated on June 8, 2004.
Subsequently, Moody's withdrew its Prime-1 rating on Indigo
Funding, Series Titriwatt ABCP.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com.
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service