MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED OCTOBER 4, 2004
New York, October 06, 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 June 2004.
Partial information is available for July and August 2004.
MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
SEPTEMBER 28, 2004 THROUGH OCTOBER 4, 2004:
MOODY'S ASSIGNS PRIME-1 RATING TO BARCLAYS' STRATFORD RECEIVABLES
COMPANY LLC ABCP PROGRAM
Moody's has assigned a Prime-1 rating to the asset-backed
commercial paper ("ABCP") of Stratford Receivables Company LLC ("Stratford").
Stratford is a newly established, partially supported, multiseller
extendible ABCP program sponsored by Barclays Bank PLC ("Barclays",
rated Aa1/Prime-1/A-). Barclays will be the administrator,
letter of credit provider, swingline provider, as well as
collateral agent for Stratford. Deutsche Bank Trust Company Americas
(A1/Prime-1/C) will serve as issuing and paying agent.
Stratford is the first reduced liquidity, multiseller extendible
program in the ABCP market worldwide. Stratford may issue up to
$10 billion of U.S. dollar-denominated ABCP
in the US market.
Stratford will use the proceeds from the sale of ABCP to invest in various
trade and term receivables. All assets purchased or financed must
be rated at least Aa3 or carry a guarantee from a guarantor rated at least
Aa3 at the time of acquisition. All asset purchases are subject
to rating agency prior review.
Each asset will be evaluated by Moody's as to its third party liquidity
needs. Assets will benefit from third party liquidity facilities
sized between 0% and 100% of asset commitments. Bank
liquidity facilities will fund only against non-defaulted assets.
The remainder of the necessary liquidity will come from the amortization
or sale of the assets themselves.
Stratford has the ability to issue extendible notes as well as callable
notes. Both notes have expected maturity dates no longer than 120
days from issuance with weighted average maturities no longer than 60
days. The notes may only be extended in the event that there is
a disruption in the commercial paper market. Stratford's extendible
notes and callable notes have a maximum maturity date of 390 days from
its initial issuance.
For further details, please see Moody's press release dated September
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD SEPTEMBER 28, 2004 THROUGH OCTOBER
CTX MORTGAGE'S HARWOOD STREET FUNDING I AMENDS PROGRAM STRUCTURE
Harwood Street Funding I LLC ("Harwood"), a partially supported,
single-seller mortgage warehouse conduit sponsored by CTX Mortgage
Corp. Inc. ("CTX Mortgage"), has amended its program
to allow for additional mortgage loan types and to incorporate tighter
structural parameters. CTX Mortgage is an indirect wholly owned
subsidiary of Centex Corporation (Baa2/Prime-2).
Harwood has amended its program to allow for the ability to finance home
equity lines of credit ("HELOCs") and second lien loans. The HELOCs
and second lien loans are subject to a combined limit of 25% of
the conduit's outstanding debts. With this amendment, Harwood
now has four sub-facilities: conforming loans, FHA/VA
loans, non-conforming loans, and HELOCs/second liens.
Each sub-facility is subject to a specific set of portfolio criteria,
portfolio aging and performance triggers, and level of credit enhancement.
A breach in a sub-facility trigger leads to a wind-down
of the respective sub-facility. A wind-down in one
sub-facility does not affect the other facilities that are in compliance.
Harwood has also tightened various structural parameters, such as
increasing the weighted average FICO score requirement, shortening
the definition of defaulted loans from 90+ days past due to 60+
days past due, and amending the reserve fund trigger from 120 days
to 60 days. With the tightening of its structural parameters,
Harwood has changed its required credit enhancement level from a fixed
amount to a dynamic calculation.
In connection with the program amendment, Harwood has issued $250
million of medium-term notes and $60 million of Baa2-rated
subordinated certificates. The Baa2-rated certificates along
with the dynamic reserve fund provide credit support for Harwood's secured
liquidity notes ("SLNs") and medium-term notes ("MTNs").
The market value risk and interest rate risk associated with Harwood's
SLNs and MTNs are hedged by a combination of market value swap and cost-of-funds
swap provided by Prime-1-rated Bank of America, N.A.
Harwood has reduced the authorized issuance amount of its SLNs to $2.69
billion from $2.861 billion in order to issue $250
million of Prime-1-rated MTNs. With these amendments,
Harwood's program size remains unchanged at $3 billion.
CANCARA ASSET SECURITISATION ADDS GBP100 MILLION TRADE RECEIVABLE TRANSACTION
Cancara Asset Securitisation Limited ("Cancara"), a partially supported,
hybrid ABCP conduit sponsored by Lloyds TSB Bank (Aaa/Prime-1/A-),
has added a GBP 100 million trade receivable transaction to its portfolio.
The receivables are originated by a U.K. steel manufacturer.
In the transaction, Cancara makes advances under a commissioning
agreement to a purchasing company, which purchases a GBP 100 million
interest in a trade receivable facility.
The trade receivable facility enhancement adjusts dynamically, subject
to a floor of 9%, and depends upon the asset performance
and rating of the parent company.
The transaction benefits from an "out of formula" trigger event.
If such trigger event occurs, no further ABCP could be issued against
this transaction. Lloyds TSB provides a liquidity facility that
funds for non-defaulted receivables.
Cancara is currently authorized to issue up to $8 billion of ABCP.
ABN AMRO'S ORCHID PURCHASES NOTE BACKED BY TRADE RECEIVABLES
Orchid Funding Corp. ("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 backed by trade receivables. The note is backed by a $300
million trade receivable facility originated by four international subsidiaries
of a leading technology company headquartered in Asia. The receivables
in the facility are denominated in three currencies: U.S.
dollar, Euro and Japanese Yen.
The trade receivables will be purchased at a discount. Transaction-specific
credit enhancement is in the form of overcollateralization and two credit
facilities provided by Prime-1-rated ABN AMRO. The
credit enhancement is based mainly on obligor concentration limits and,
to a lesser extent, a dynamic formula that responds to changes in
losses. Overall losses tend to be low. This transaction
also benefits from a swap agreement provided by ABN AMRO. The swap
agreement mitigates currency risks of the U.S. dollar-denominated
note and the different currencies of the receivables.
With this transaction and as of this addition, Orchid may issue
up to approximately US$734 million of ABCP.
BARCLAYS' SHEFFIELD ENTERS INTO $295 MILLION CONTINGENT PURCHASE
Sheffield Receivables Corp. ("Sheffield"), a partially supported,
multiseller conduit sponsored by Barclays Bank PLC (Aa1/Prime-1/A-),
has entered into a contingent purchase agreement to acquire $295
million in U.S. dollar-denominated notes.
The notes are rated Aaa and backed by U.K.-originated
mortgage collateral. A liquidity facility provided by Barclays
partially supports this transaction. There is no currency exchange
risk to investors in the transaction.
Sheffield's program-level credit enhancement was increased by 10%
of this commitment. Sheffield is currently authorized to issue
up to $25 billion of ABCP.
SUNTRUST'S THREE PILLARS ADDS $200 MILLION AUTO LEASE FACILITY
Three Pillars Funding Company LLC ("Three Pillars"), a partially
supported, multiseller ABCP conduit sponsored by SunTrust Bank (Aa2/Prime-1/B+),
has added a $200 million auto lease facility to its portfolio.
The facility is used to finance auto leases originated by an unrated regional
automobile finance company, whose parent is investment-grade-rated.
The facility benefits from 11.5% transaction-specific
credit enhancement, which is comprised of 8% overcollateralization
and a 3.5% cash reserve account. This transaction
is partially supported by a liquidity facility provided by SunTrust Bank.
With this transaction, Three Pillars' program-level credit
enhancement was increased by 10% of its commitment.
Three Pillars has about $5.23 billion in total purchase
commitments and $447.06 million in program-level
ROYAL BANK OF CANADA'S THUNDER BAY REMOVES FULL SUPPORT FROM $200
MILLION INTEREST IN STUDENT LOAN FACILITY
Thunder Bay Funding LLC ("Thunder Bay"), a partially supported,
multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC",
rated Aa2/Prime-1/B+), has removed full support from
its interest in a revolving $200 million student loan finance facility.
This transaction was added to Thunder Bay's portfolio in August 2004 and
was previously fully supported through program-level credit enhancement.
The student loans financed in this facility include PLUS, Stafford
and consolidated loans that are originated by the seller under the Federal
Family Education Loan Program ("FFELP"). A liquidity facility provided
by RBC funds for non-defaulted loans and the FFELP guarantee for
defaulted student loans. Thunder Bay's program-level credit
enhancement for this transaction is now sized at 10% of its purchase
Thunder Bay is now authorized to issue up to $4.23 billion
of ABCP. Currently, Thunder Bay has about $6 billion
in total purchase commitments, with $1.5 billion in
program-level credit enhancement.
ABN AMRO'S TULIP ADDS $150 MILLION TRADE RECEIVABLE FACILITY AND
EURO 245 MILLION OF SENIOR NOTES
Tulip Funding Corp. ("Tulip"), a fully supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (Aa3/Prime-1/B),
has added two transactions to its portfolio. The first transaction
was a $150 million trade receivable facility originated by six
The second transaction was a Euro 245 million interest in investment-grade-rated
senior notes. The notes are issued from a master trust and backed
by auto loans.
Both transactions are fully supported through liquidity facilities sized
at 90% of the commitment limits and standby letters of credit sized
at 10%. The liquidity facilities and standby letters of
credit are both provided by ABN AMRO. The letter of credit serves
as both a source of liquidity and as credit enhancement.
With these transactions, Tulip is authorized to issue up to Euro
12.8 billion of ABCP.
For a more detailed description of these ABCP programs, see Moody's
website at http://www.moodys.com
Senior Vice President
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service