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05 Aug 2004
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 3, 2004
New York, August 05, 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 April 2004.
Partial information is available for May 2004 and June 2004.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JULY 28, 2004 THROUGH AUGUST 3,
HSBC'S BRYANT PARK ADDS TWO TRANSACTIONS BACKED BY TRADE RECEIVABLES
Bryant Park Funding LLC ("Bryant Park"), a partially supported,
multiseller ABCP conduit sponsored by HSBC Securities (USA) Inc.,
has added two trade receivable transactions to its portfolio. HSBC
Securities (USA) Inc. is an unrated subsidiary of HSBC Bank plc
("HSBC", rated Aa2/Prime-1/B+).
The first transaction is a Euro 120 million trade receivable facility
originated by an unrated French telecommunication company. The
facility, denominated in Euros, is used to finance telephone
usage made by customers of the company. Transaction-specific
credit enhancement is in the form of asset overcollateralization which
is sized at a minimum of 22% of eligible receivables and adjusts
dynamically depending upon asset performance. The transaction is
partially supported through a liquidity facility provided by Prime-1-rated
CCF, a subsidiary of HSBC. The liquidity facility is sized
at 102% of the transaction, or Euro 122.4 million.
The second transaction is a $254.4 million trade receivable
facility originated by a Baa2-rated telecommunication company.
The facility, denominated in U.S. dollars, is
used to finance various telecommunication services to business customers
of the company. Transaction-specific credit enhancement
is in the form of a dynamic loss reserve and dilution reserve sized at
a minimum of 30% of eligible receivables. The level of credit
enhancement will fluctuate depending on asset performance. The
transaction is partially supported through a liquidity facility provided
by Prime-1-rated HSBC. The liquidity facility is
sized at 102% of the transaction, or $259.5
With the addition of the transactions, Bryant Park's program-level
credit enhancement was increased by 8% of outstandings.
Bryant Park is now authorized to issue over $4 billion of ABCP.
WESTLB'S COMPASS SECURITISATION ADDS TWO TRADE RECEIVABLE FACILITIES TOTALING
EURO 500 MILLION
Compass Securitisation Limited and Compass Securitization LLC (together,
"Compass Securitisation"), a partially supported, multiseller
ABCP conduit administered by WestLB AG (Aa2/Prime-1/D-),
has added two trade receivable facilities totaling Euro 500 million.
The first transaction is a Euro-denominated 150 million trade receivable
facility originated by a Spanish supplier of building and construction
Transaction-specific credit enhancement, totaling approximately
16%, is in the form of a loss reserve, a dilution reserve
and a transaction cost reserve. In addition, the transaction
benefits from performance trigger events that would result in a cease
purchase of receivables and amortization of the facility.
The second transaction is a Euro-denominated 350 million trade
receivable facility originated by a German automotive supplier.
Transaction-specific credit enhancement for this facility,
totaling approximately 17%, is in the form of a loss reserve,
a dilution reserve and a transaction cost reserve. Similar to the
first transaction, this facility also benefits from performance
trigger events that would result in a cease purchase of receivables and
amortization of the facility.
Both transactions are partially supported through liquidity facilities
provided by WestLB. Compass Securitisation's programme-level
credit enhancement has been increased for the addition of each transaction
and is now approximately Euro 500 million.
Compass Securitisation is authorised to issue up to $15 billion
BANK OF NOVA SCOTIA'S LIBERTY STREET AND WESTLB'S PARADIGM ACQUIRE INTERESTS
IN EXISTING MORTGAGE WAREHOUSE FACILITY
Liberty Street Funding Corp. ("Liberty Street") and Paradigm Funding
LLC ("Paradigm") have acquired interests in an existing mortgage warehouse
facility. Liberty Street, a partially supported, multiseller
conduit sponsored by Bank of Nova Scotia (Aa3/Prime-1/B),
has acquired a $300 million interest. Paradigm, a
partially supported, multiseller conduit sponsored by WestLB AG
(Aa2/Prime-1/D-), has acquired a $500 million
interest. The warehouse facility, $7.5 billion
in aggregate, is financed in 14 other conduits and is backed by
conforming mortgage loans. The loans are originated by an A3-rated
mortgage company. This transaction provides interim financing for
the mortgage company and temporarily warehouses the loans prior to term
securitization. The loans in the facility will eventually be converted
into Aaa-rated mortgage-backed securities ("MBS") issued
by government agencies.
Liquidity facilities provided by Bank of Nova Scotia and WestLB will fund
for maturing ABCP as long as the ratings of the government agencies that
issued the Aaa-rated MBS are rated at least Caa2. With this
transaction, both Liberty Street and Paradigm's program-level
credit enhancements increased by 10% of its purchased interest.
Liberty Street currently has about $6 billion in total purchase
commitments and $649 million in program-level credit enhancement.
Paradigm has about $9.5 billion in total purchase commitments
and $716 million in program-level credit enhancement.
RABOBANK'S NIEUW AMSTERDAM AND CDC'S EIFFEL FUNDING ACQUIRE INTERESTS
IN Aaa-RATED MARKET VALUE CDO FACILITY
Nieuw Amsterdam Receivables Corp. ("Nieuw Amsterdam") and Eiffel
Funding LLC ("Eiffel Funding") have acquired interests in a Aaa-rated
market value CDO facility. Nieuw Amsterdam, a partially supported,
multiseller ABCP conduit sponsored by Rabobank Nederland (Aaa/Prime-1/A),
has acquired a $125 million interest. Eiffel Funding,
a partially supported, multiseller conduit sponsored by CDC Financial
Products (Aaa/Prime-1), has acquired a $304 million
interest. The facility, $429 million in aggregate,
is the senior tranche of a market value CDO structure and is insured by
a surety bond provided by Aaa-rated Ambac. The receivables
backing the CDO facility consist of high yield debt, mezzanine investments,
distressed debt, and equity securities.
Liquidity facilities provided by Rabobank and CDC partially support this
transaction. Both liquidity facilities will fund for maturing ABCP
as long as the rating of Ambac does not fall to Caa3 or below.
Nieuw Amsterdam is authorized to issue up to $4 billion of ABCP
and Eiffel is authorized to issue over $6 billion of 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
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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