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30 Aug 2002
New York, August 30, 2002 -- MOODY'S WITHDRAWS PRIME-1 RATING OF CERTAIN FUNDING LIMITED
In Paris, at the issuer's request Moody's has withdrawn the Prime-1
rating of Certain Funding Ltd., an ABCP program sponsored
by Societe Generale (Aa3/Prime-1/B).
As of August 8, 2002, all outstanding ABCP has been repaid
in full and no further ABCP will be issued under this program.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING
THE PERIOD AUGUST 22, 2002 THROUGH AUGUST 29, 2002:
CLUB DEAL FOR CONFORMING MORTGAGE LOAN WAREHOUSE FACILITY INCREASED TO
$4.25 BILLION AND AMENDED; BNP PARIBAS' STARBIRD FUNDING
A $3.5 billion warehouse facility financing conforming prime
mortgage loans co-purchased by ten separate ABCP conduit programs
was increased to $4.25 billion subsequent to the addition
of Starbird Funding Corp., a BNP Paribas (Aa2/Prime-1/B+)
multiseller conduit, as purchaser. The deal was also amended
to allow increased concentration limits for take out investors which were
offset by increased performance fees. The originator, which
is rated A3, is one of the largest originators and servicers of
residential mortgages in the US.
The facility currently provides alternative financing for the company
for the period during which certain mortgage loans are transmitted to
the applicable United States-government-sponsored agencies
or identified to be included in a mortgage backed security (MBS) to the
date on which the MBS is delivered to a third party investor. The
mortgages are underwritten to conform to agencies' standards. Any
potential market risk to the various conduits is covered through a performance
fee and yield reserve depending on the type of loan. To date,
the facility has performed as expected.
Co-purchasers for the facility and their commitments are CIBC's
Asset Securitization Cooperative Corp. ($750 million);
JP Morgan Chase's PARCO, Royal Bank of Canada's Old Line Funding
Corp., Bank One's Prefco and Commerzbank's Four Winds Funding
Corp. (at $500 million each); Bank of America's Quincy
Capital Corp., Credit Lyonnais' Atlantic Securitization Corp.,
ABN Amro's Windmill Funding Corp., Deutsche Bank's Gemini
Securitization Corp., Bayerische Landesbank's Giro Balanced
Funding Corp. and BNPParibas' Starbird Funding (at $250
million each). Each purchaser provides liquidity for its own facility
commitment. Also, each purchaser has increased its program-level
credit enhancement, as required, according to its program
IN CO-PURCHASE, SIX ABCP CONDUITS BUY UP TO $550 MILLION
OF TIME SHARE RECEIVABLES
Six multiseller ABCP conduits, both partially and fully supported,
entered into an agreement to purchase up to $550 million interests
in a variable funding note (VFN) backed by time share loans. The
conduits and their respective commitment amounts are: Bank of America's
Enterprise Funding Corp.:$100 million; Fleet
Bank's EagleFunding Corp., $125 million; Scotia
Bank's Liberty Street Funding Corp., $75 million;
CSFB's Alpine Securitization Corp, $75 million; Bank
One's Jupiter Securitization Corp,.$100 million;
and Credit Lyonnais' Lafayette Asset Securitization LLC Conduit,
$75 million. The timeshare loans are originated by subsidiaries
of one of the largest franchisers of hotels and provider of timeshare
exchange services. The underlying transaction benefits from overcollateralization
and a funded reserve. Investors are also protected against credit
risk exposure from the underlying assets by highly structured liquidity
at each conduit that absorbs substantially all the credit risk of the
STATE STREET'S CLIPPER MERGES WITH STATE STREET'S FRIGATE
State Street Bank & Trust Co. (Aa2/Prime-1/B+)
has merged its Frigate Funding Corp. conduit into its Clipper Receivables
Corp conduit, with Clipper as the surviving entity. Frigate
was a Prime-1-rated program established in 1996, with
outstandings of approximately $1.8 billion as of June 30,
2002. Clipper is a partially supported, multiseller program
with outstanding ABCP of approximately $3.15 billion as
of June 30, 2002. The combined entity will have a program
size of $5.5 billion, and program-level credit
enhancement of 8% except for securities rated Aa2 or higher and
for fully supported transactions. All transferred assets will comply
with Clipper's credit policies and guidelines.
The bulk of the assets coming from Frigate are securities rated between
Aa3 and A2 which will require 8% program-level credit enhancement
instead of the 10% required by the Frigate program documents.
Moody's has reviewed the assets being transferred and concluded that the
8% enhancement level provided by the Clipper program documents
for these assets remains consistent with Prime-1. The Clipper
program has also been amended to permit Clipper to add transactions that
are 100% wrapped by program-level credit enhancement with
minimal information to the rating agencies.
IBEX'S FENWAY FUNDING INCREASES TRANSACTION BACKED BY CORPORATE LOANS
BY $1 BILLION
Fenway Funding LLC, a fully supported ABCP conduit that issues extendible
ABCP known as Secured Liquidity Notes ("SLNs"), sponsored by IBEX
Capital Markets, increased the purchase limit of an existing transaction
by $1 billion to $2.25 billion. This transaction
is backed by a participation interest in corporate loans originated by
a United States-based nonbank financial services company.
Liquidity, which fully supports this transaction, is provided
through a combination of a funding obligation for the principal amount
of the SLNs and a cost of funds swap for the interest component of the
SLNs, both provided by an A2/Prime-1-rated United
States-based nonbank financial services company. Fenway
is authorized to issue up to $7 billion of SLNs.
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $75 MILLION FULLY SUPPORTED
Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B)
partially supported, multiseller ABCP conduit, added a $74.9
million fully supported transaction. This transaction, backed
by auto leases, is fully supported by liquidity provided by The
Bank of Nova Scotia. In addition, a 10% incremental
increase in the program letter of credit is provided. Separately,
Liberty Street recently revised an existing $148 million transaction.
This deal, which had been fully wrapped by a Aaa-rated surety
provider, is now fully supported by bank liquidity. Liberty
currently has just over $5 billion in ABCP commitments and approximately
$3.4 billion in ABCP outstanding.
THE ROYAL BANK OF SCOTLAND'S TAGS ABCP PROGRAM ADDS GBP 600 MILLION TRANSACTION
FINANCING UK AUTO RECEIVABLES
Thames Asset Global Securitization No. 1, Inc. (TAGS),
a Prime-1 rated, partially supported multiseller conduit
sponsored by The Royal Bank of Scotland (Aa1/Prime-1/A-),
has funded a GBP 600 million auto receivables facility. The funding
is in respect of a financing of a revolving portfolio of United Kingdom
(UK) auto receivables. The underlying receivables are originated
by the UK subsidiary of a large Prime-1-rated German car
manufacturer. The portfolio comprises various types of auto receivables
(predominantly consumer receivables). Portfolio composition is
monitored via eligibility criteria. There are no limits by model
or brand. The deal is partially supported by a liquidity facility
provided by The Royal Bank of Scotland (Aa2/Prime-1/A-)
and two other Prime-1-rated banks. The transaction
benefits from pool-specific credit enhancement in the form of a
subordinated loan. The transaction benefits from two performance
triggers (delinquency and loss-to-liquidation ratio).
If the trigger events occur, no further ABCP may be issued against
this pool. The maturity of ABCP outstanding against this pool is
limited to 1 month. The total authorized amount for the TAGS conduit
is currently approximately $4.5 billion.
For a more detailed description of these ABCP programs, see Moody's
GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which
is published quarterly.
Structured Finance Group
Moody's Investors Service
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDING AUGUST 22, 2002:
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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