MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 10, 2004
New York, August 12, 2004 -- MOODY'S PUBLISHES EMEA ABCP MARKET UPDATE
Moody's Investors Service has published its Europe/Middle East/Africa
("EMEA") ABCP market update report, "EMEA ABCP Market Update:
Recent Seller Additions and New Conduits." The special report comments
on the state of the EMEA ABCP market for the first half of 2004.
According to the report, the EMEA ABCP market showed a decrease
of 1% in ABCP outstandings at the end of second quarter 2004.
This slight decrease in volume was mainly due to the decline in the ABS
volume financed through EMEA conduits, which is due to tight spreads
on Aaa-rated ABS and increased competition for Aaa-rated
ABS among CDO securitizations, structured investment vehicles,
and credit arbitrage conduits.
The "EMEA ABCP Market Update: Recent Seller Additions and New Conduits,"
Special Report is available on Moody's website, http://www.moodys.com.
MOODY'S RATES SENIOR CLASS OF SIERRA MADRE FUNDING CDO PRIME-1
Moody's has assigned ratings to seven classes of notes issued by Sierra
Madre Funding, Ltd. The ratings assigned to the respective
tranches are as follows: (i) Prime-1 rating to the $945,000,000
CP Notes, (ii) Aaa to the $400,000,000 Class
A-1LT-a Floating Rate Notes Due 2039, (iii) Aaa to
the $57,500,000 Class A-2 Floating Rate Notes
Due 2039, (iv) Aa2 to the $40,500,000 Class B
Floating Rate Notes Due 2039, (v) A3 to the $24,000,000
Class C Floating Rate Notes Due 2039, (vi) Baa2 to the $15,000,000
Class D Floating Rate Notes Due 2039, and (vii) Ba1 to the $18,000,000
Class E Shares.
Moody's ratings on this cash flow ABS CDO reflect the credit quality of
the underlying assets, which consist primarily of structured finance
securities, as well as the credit enhancement for the notes inherent
in the capital structure and the transaction's legal structure.
The Prime-1 rating assigned to the CP Notes addresses the timely
payment of the principal and interest of the notes within three business
days from the due date. Sources of payment include cash payments
received from the underlying assets, or cash paid by Prime-1-rated
Societe Generale under the terms of a put
Western Asset Management Company is the collateral manager for the transaction.
For further details, please see Moody's press release dated July
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD AUGUST 4, 2004 THROUGH AUGUST 10,
WESTLB'S COMPASS SECURITISATION AND DRESDNER BANK'S SILVER TOWER ACQUIRE
INTERESTS IN EURO 175 MILLION LEASE FACILITY
Compass Securitisation Limited and Compass Securitization LLC (together,
"Compass Securitisation") have joined with Silver Tower Funding Limited/Silver
Tower US Funding LLC ("Silver Tower") in financing a Euro-denominated
175 million lease facility. Compass Securitisation, a partially
supported, multiseller ABCP conduit administered by WestLB AG (Aa2/Prime-1/D-),
has acquired a Euro 100 million interest. Silver Tower, a
partially supported, multiseller ABCP conduit administered by Dresdner
Bank AG (A1/Prime-1/C-) has acquired a Euro 75 million interest.
This facility finances auto and equipment lease installments. The
residual values are not included.
In this transaction, Compass Securitisation and Silver Tower make
advances under funding agreements to their respective purchasing companies,
which finance leases on a revolving basis. The leases are originated
by a German leasing company.
Transaction-specific credit enhancement is provided through a combination
of excess spread and a cash reserve. Furthermore, the transaction
benefits from additional structural protections provided in each conduit.
With this transaction, Compass Securitisation will increase its
programme-level credit enhancement, which is in the form
of a surety bond provided by Ambac. Additionally, the transaction
has a minimum level of credit enhancement, and various default and
delinquency trigger events that would result in amortisation of the facility.
Silver Tower does not have any programme-level credit enhancement.
In Silver Tower, the transaction benefits from default and delinquency
trigger events. The occurrence of such trigger events would result
in the cessation of ABCP issuance followed by an immediate put to the
Liquidity facilities provided by WestLB and Dresdner Bank partially support
Compass Securitisation is authorised to issue approximately $15
billion of ABCP and Silver Tower is authorized to issue up to Euro 15
billion of ABCP.
CDC'S EIFFEL FUNDING ADDS NEW PURCHASING SUBSIDIARY AND ACQUIRES INTERESTS
IN THREE Aaa-RATED NOTES
Eiffel Funding LLC ("Eiffel Funding"), a partially supported multiseller
conduit sponsored and administered by CDC Financial Products (Aaa/Prime-1)
has added a new purchasing subsidiary, Eiffel Euro Funding,
Ltd., to its program and acquired interests in three Aaa-rated
Eiffel Euro Funding, Ltd. ("Eiffel Euro"), a limited
purpose corporation organized under Cayman law, is a newly created
purchasing subsidiary of Eiffel Funding. Eiffel Funding is the
sole owner of Eiffel Euro. Eiffel Euro was created to purchase
Euro-denominated assets from clients of CDC and to finance the
purchase of assets through a loan agreement from Eiffel Funding or through
liquidity facilities. Eiffel Funding will fund the loans to Eiffel
Euro through the issuance of Euro-denominated ABCP in the Euro
market or the U.S. market. If Eiffel Funding issues
U.S. dollar-denominated ABCP to finance loans to
Eiffel Euro, a foreign exchange hedge will be required to mitigate
currency risk. A liquidity facility, denominated in Euros,
is available at the Eiffel Euro level as well as the Eiffel Funding level.
Maples Finance Ltd. will perform the role of administrator for
Eiffel Euro and will rely on CDC, as sub-agent, to
provide most of the administrative functions. CDC's duties will
include ensuring the proper management of Eiffel Euro and maintaining
its bankruptcy-remote structure.
Along with the addition of Eiffel Euro, Eiffel Funding has acquired
interests in three Aaa-rated notes. The first transaction
is a $140 million interest in a Aaa-rated Class A-2
note issued from a CDO structure. The underlying assets are primarily
U.S. loans, which consist of a mix of middle market,
primarily senior secured, leveraged loans. The $140
million note is supported by a surety bond provided by Aaa-rated
MBIA. A liquidity facility provided by CDC will fund for maturing
ABCP as long as there is no payment default on the underlying note and
as long as MBIA has not defaulted on its payment obligations. Eiffel
Funding's program-level credit enhancement was increased by 5%
The second transaction is a $75 million interest in a Aaa-rated
Class A-2 note issued from a CDO structure. The underlying
assets are primarily U.S. loans, which consist of
a mix of middle market, mostly senior secured, leveraged loans.
Similar to the first transaction, the $75 million note is
supported by a surety bond provided by Aaa-rated MBIA. A
liquidity facility provided by CDC will fund for maturing ABCP as long
as there is no payment default on the underlying note and as long as MBIA
has not defaulted on its payment obligations. With this transaction,
Eiffel Funding's program-level credit enhancement was increased
by 5% of outstandings.
The third transaction is a Euro 75 million interest in a Aaa-rated
variable funding note ("VFN"), which was purchased by Eiffel Euro,
Eiffel Funding's subsidiary. Like the first two transactions,
the Aaa-rated VFN is issued from a CDO structure. The underlying
assets consist of European leveraged loans and mezzanine loans denominated
in both Euro and Sterling. Eiffel Funding will issue Euro ABCP
and use the proceeds to provide a loan to Eiffel Euro. This transaction
benefits from two liquidity facilities - one at the Eiffel Euro
level and the other at the Eiffel Funding level. Both liquidity
facilities are sized at 102% of the transaction, or Euro
76.5 million. Eiffel Euro's liquidity facility will be available
to: (i) purchase new notes if Eiffel Funding is unable to make a
loan to Eiffel Euro, or (ii) repay outstanding loans to Eiffel Funding.
Eiffel Euro's liquidity facility will not fund if the principal and interest
payments on the note are not paid when due or if the rating of the VFN
is downgraded below Caa3. Eiffel Funding's liquidity facility will
be available to: (i) fund for maturing ABCP, or (ii) fund
new loans to Eiffel Euro. Eiffel Funding's liquidity facility will
not fund if the principal and interest payments on the note are not paid
when due or if the rating of the VFN is downgraded below Caa3.
With this transaction, Eiffel Funding's program-level credit
enhancement will increase by 5% of outstandings.
Eiffel Funding is now authorized to issue approximately $7 billion
GEORGETOWN FUNDING INCREASES PROGRAM SIZE TO $12 Billion
Georgetown Funding Company, LLC ("Georgetown"), a partially
supported, single-seller securities program sponsored by
Friedman Billings Ramsey Group, Inc., has increased
its authorized program size from $5 billion to $12 billion.
Georgetown finances agency-backed hybrid adjustable rate mortgage-backed
securities ("hybrid ARMS") through the issuance of extendible ABCP in
the form of Extendible Commercial Notes ("ECNs"). The conduit funds
the securities through a repurchase agreement with the seller.
Liquidity is provided by issuing ECNs that are match-funded to
the scheduled maturity of the repurchase agreement, with the ability
to extend the maturity of the ECNs and sell the collateral during the
extension period. All of the financed securities are of Aaa-equivalent
credit quality by virtue of guarantees supplied by Fannie Mae, Freddie
Mac or Ginnie Mae. Credit enhancement for the market value risk,
upon the sale of the hybrid ARMS, is provided in the form of overcollateralization
at levels determined by Moody's to be consistent with a Prime-1
The larger program size means that more securities would have to be sold
if the program were to be wound down. In order to mitigate the
potential for constrained liquidity in the market for hybrid ARMS,
Georgetown increased the extension period from 10 days to 20 days to allow
more time to conduct the sale of securities and increased the credit enhancement
levels to accommodate greater price volatility. While the extension
period has been increased, the maximum initial maturity of the ECNs
has been reduced from 250 to 240 days, so that all notes issued
by Georgetown will have a legal final maturity of 260 days or less.
Georgetown is now authorized to issue up to $12 billion of ECNs.
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