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19 Jan 2005
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JANUARY 17, 2005
New York, January 19, 2005 -- 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 August 2004.
For some programs, information is available for September and October
2004. A frequently asked questions guide is also included with
ABCP Query to help answer some questions related to the product.
The FAQ may be downloaded from Moody's website, http://www.moodys.com.
MOODY'S PUBLISHES 2003 REVIEW AND 2004 OUTLOOK FOR EUROPEAN/MIDDLE EAST/AFRICA
ABCP MARKET AND FOR GERMAN/AUSTRIAN/SWISS STRUCTURED FINANCE MARKET
Moody's Investors Service has published two 2004 review & 2005 outlook
articles, one on the European/Middle East/Africa ("EMEA") market,
and the other on the German/Austrian/Swiss structured finance market.
The EMEA article is titled "EMEA ABCP Market: Regulatory and Accounting
Herald a New Era." In the article, Moody's comments that
the asset-backed commercial paper ("ABCP") market in EMEA enjoyed
continued strong growth in 2004, with outstandings growing to an
estimated $268 billion -- an increase of $48
billion or 22% compared to year-end 2003. The vast
majority of this growth was driven by credit arbitrage conduits as the
volume of asset-backed securities (ABS) financed by EMEA conduits
increased to around $152 billion during 2004 -- a
40% increase on the year-end 2003 figure.
In addition, Moody's expects the EMEA ABCP market to show further
strong growth in 2005, based on robust investor demand and the continued
appeal of ABCP as a cheap source of funding. Now that long-discussed
regulatory and accounting changes have been finalised, Moody's predicts
sponsors will structure their programmes to accommodate the new regimes,
heralding an era of more complex and innovative conduits; but there
will be no significant impact on issuance volumes, at least not
before the implementation of Basel II.
Moody's has also published an article on the German/Austrian/Swiss structured
finance markets, which includes updates on the German ABCP market.
The report is titled, "German/Austrian/Swiss Structured Finance:
Growth Potential and New Challenges." Moody's comments that while
the German term securitisation market in 2004 continued its decline from
previous years, its ABCP market enjoyed further growth to approximately
$63 billion at year-end 2004 from $58 billion at
According to the report, one German-sponsored conduit,
Ormond Quay Funding, was established during the year, while
the number of transactions increased significantly to 39 in 2004 from
31 in 2003. The majority of ABCP issued by German conduits during
2004 was placed in Europe, which confirmed the shift to domestic
markets that had already been noted in 2003.
In addition, Moody's anticipates further growth in the German ABCP
market in 2005, with leasing and consumer finance, auto leasing
and loans as well as real estate warehousing being the key development
For further details, please see Moody's press release dated January
17, 2005 for the EMEA ABCP market and January 12, 2005 for
the German/Austrian/Swiss structured finance market. The Special
Reports are available on Moody's website, http://www.moodys.com.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD JANUARY 11, 2005 THROUGH JANUARY
IN "CLUB" DEAL, THREE PRIME-1-RATED ABCP CONDUITS
ADD COMMITMENT IN Euro 250 MILLION TRADE RECEIVABLE FACILITY
JP Morgan Chase Bank N.A., London Branch acts as the
administrative agent for a Euro 250 million trade receivable facility
provided to a German industrial group. The receivables are sold
to an intermediate special purpose company from a number of jurisdictions,
including Germany, the United States, Italy and France.
The transaction benefits from dynamic credit enhancement sized to cover
losses and dilutions with a minimum reserve of 8% of outstanding
receivables. Trigger events that will prevent the conduits from
financing further receivables are set for delinquencies and defaults at
2.75% and 2%, respectively.
The following Prime-1-rated ABCP conduits participated in
JP Morgan Chase Bank's Chariot Funding Corp. added a Euro
85 million commitment and increased its program-level credit enhancement
by 5% of its commitment; liquidity support is provided by
Commerzbank's Kaizerplatz Funding Limited added a Euro 85 million
commitment and increased its program-level credit enhancement by
5% of its commitment; liquidity support is provided by Commerzbank.
ABN Amro Bank's Tulip Funding Corp. added a Euro 85 million
commitment and increased its programme-level credit enhancement
by 10% of its commitment; liquidity support is provided by
The liquidity facilities for Chariot Funding Corp. and Kaizerplatz
Funding Limited were at 102% of their respective commitments.
This transaction was fully supported by liquidity in Tulip Funding Corp.
BTM'S APEX AMENDS PROGRAM STRUCTURE
Moody's has affirmed the Prime-1 rating of Apex Funding Corp.'s
("Apex") ABCP, following the program amendment that allows for the
issuance of paperless securities ("Paperless CP"). Apex is a partially
supported, multiseller Japanese Yen ABCP program administered by
The Bank of Tokyo-Mitsubishi, Ltd. ("BTM", rated
A1/Prime-1/D-). Apex issues only yen-denominated
ABCP in the Japanese market. The proceeds from the issuance of
ABCP are used to purchase primarily yen-denominated trade receivables,
promissory notes, and loan receivables or beneficial interests backed
by assets from various sellers.
With this amendment, Apex now has the ability to issue 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 January
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING ADDS $400 MILLION
RETAIL AUTO LOAN TRANSACTION
Giro Balanced Funding Corp. ("Giro Balanced"), a partially
supported, multiseller conduit sponsored by Bayerische Landesbank
("BLB", rated Aaa/Prime-1/D+), has added a $400
million amortizing retail auto loan transaction to its portfolio.
The receivables are originated by an A3-rated auto manufacturer.
The transaction benefits from 5.5% overcollateralization
and 2% excess spread, which is guaranteed through a fixed
to floating swap with BLB. A liquidity facility provided by BLB
funds for non-liquidated receivables and 50% of liquidated
With this transaction, Giro Balanced's program-level credit
enhancement was increased by 10% of its commitment. Giro
Balanced is now authorized to issue up to $7.9 billion of
ABCP and has approximately $500 million in program-level
CALYON'S LMA ADDS TWO FCC UNITS TOTALING EURO 225 MILLION AND GBP 10 MILLION
BACKED BY TRADE RECEIVABLES
LMA S.A. ("LMA," also known as Liquidites de
Marche) has added two pools of FCC units (French ABS) backed by
two trade receivable transactions: one for Euro 225 million and
the other for GBP 10 million. LMA is a fully supported, multiseller
ABCP program sponsored and administered by Calyon (Aa2/Prime-1/C).
LMA uses the proceeds of its Billets de Tresorerie and Euro commercial
paper ("Euro ABCP") to fund the purchase of FCC units, asset-backed
securities and bonds issued by French and US corporate entities.
The Prime-1 rating assigned to LMA's Billets de Tresorerie
and Euro ABCP is based primarily on: (i) the full liquidity support
provided by Prime-1-rated banks through transaction-specific
purchase and sale agreements, which allows for timely repayment
of maturing Billets de Tresorerie and Euro ABCP, (ii) the
integrity of the conduit's structure, and (iii) the operational
ability of Calyon as the program administrator. Currently,
LMA's liquidity facility is provided by a syndicate of seven Prime-1-rated
LMA is authorized to issue up to Euro 5.78 billion, $169
million and GBP 80 million 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.
© 2020 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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