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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD FROM OCTOBER 11 TO OCTOBER 18, 2001

22 Oct 2001
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD FROM OCTOBER 11 TO OCTOBER 18, 2001 New York, October 22, 2001 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE PERIOD OCTOBER 11 TO OCTOBER 18, 2001:

RESIDENTIAL MORTGAGE WAREHOUSE FINANCE FACILITY FINANCED BY NINE ABCP PROGRAMS IS INCREASED AND AMENDED
A club deal which provides financing to an unrated company in the mortgage lending business has been amended and increased. The facility's authorized amount will fluctuate for the next few months to allow flexibility for the seller. From and after October 16, 2001 to and until October 31, 2001, the deal size is $5,738,000,000; from and after November 1, 2001 to and until January 31, 2002, $5,338,000,000; from and after February 1, 2002; to and until April 30, 2002, $5,138,000,000; and from and after May 1, 2002, $4,638,000,000. The borrower has an investment grade-rated parent. The facility is a co-purchase arrangement among nine ABCP programs: ABN Amro's Amsterdam Funding Corp. and Windmill Funding Corp., CIBC's Asset Securitization Cooperative Corp. (ASCC), Societe Generale's Barton Capital Corp, West LB's Compass Securitization LLC and Paradigm Funding Corp., Bank One's Falcon Asset Securitization Corp. and Preferred Receivables Funding Corp. (PREFCO), and Barclays' Sheffield Receivables Corp.

The facility is used to finance two lines of the company's business. The first involves short-term lending to mortgage bankers, in which the advances to the mortgage bankers are secured by recently originated mortgage loans. The second line of business for the company is the securitization of mortgage loans it purchases directly from loan originators in the whole loan market. The amendments, which have been reviewed by Moody's, affect concentration limits in the mortgage loan warehouse part of the facility only. No changes were made with respect to the mortgage banker part of the transaction.

CHASE'S PARCO, SUN TRUST'S THREE PILLARS AND RABOBANK'S NARCO CO- PURCHASERS IN A $750 MILLION FOOD TRADE RECEIVABLE TRANSACTION
Park Avenue Receivables Corp. (PARCO), Three Pillars Funding and Nieuw Amsterdam Receivables, all partially-supported, multi-seller ABCP programs, each purchased a $250 million interest in a $750 million food industry trade receivable securitization. The receivables are from an investment grade meat and poultry producer. The transaction is supported by dynamic reserves with a minimum of 12%, and liquidity provided by Prime-1 rated Chase Manhattan Bank, Sun Trust and Rabobank.
Three Pillars will increase its program wide credit enhancement by 10% and may issue up to $3 billion of ABCP; and has about $170 million in program-level credit enhancement. CP investors in Park Avenue Receivables Corp. (PARCO) benefit from program level credit enhancement equal to 10% of the purchase commitments. The program enhancement in PARCO also has a $300MM floor. PARCO is authorized to issue up to approximately $16 billion of ABCP. Nieuw Amsterdam Receivables (NARCO) is authorized to issue approximately $2 billion of ABCP and has program level credit enhancement totaling $100 million.


SCOTIA'S LIBERTY STREET ADDS $400 MILLION AUTO LOAN RECEIVABLE TRANSACTION
Liberty Street, the Bank of Nova Scotia's multi-seller ABCP conduit, added a $400 million transaction backed by auto loan receivables from the captive finance company of an investment-grade-rated US auto manufacturer. This partially supported transaction is related to transactions closed earlier this month when seven conduits added major purchases of similarly structured revolving pools of auto loan receivables from the captive finance company of an investment-grade-rated United States auto manufacturer. While the pools were similarly structured, each comprises a discrete set of receivables. In all of the pools, transaction-specific credit enhancement, in the form of 2.5% overcollateralization, 3% excess spread and a .5% funded reserve account, total 6%. Net losses are projected below 2% throughout the life of the deal. Liberty Street increased program wide credit enhancement by 10% of the amount of this transaction. Liberty Street is now authorized to issue up to an estimated $6.0 billion of ABCP.

ING'S MONT BLANC ENTERS INTO $8 MILLION ABCP PURCHASE AGREEMENT WITH MONTE ROSA
Mont Blanc, ING's partially supported, multiseller ABCP conduit, entered into an $8 billion commercial paper purchase agreement with its sister conduit, Monte Rosa. As part of the initial stages of a restructuring of both conduits, Monte Rosa will sell all its ABCP on a match- funded basis to Mont Blanc. Mont Blanc will fund its purchase through issuance of its own ABCP. Because the asset is match-funded, Mont Blanc will not be providing a bank liquidity commitment for this purchase. If for some reason Mont Blanc were not able to issue new ABCP to repay its maturing ABCP, Monte Rosa will draw on its own liquidity to repay Mont Blanc. Monte Rosa currently has $4.6 billion in outstanding ABCP. Mont Blanc, with $ 2.6 billion outstanding, can now issue up to approximately $11 billion of ABCP.

CHASE'S PARCO ADDS $100 MILLION A2-RATED OWNER TRUST CERTIFICATES
Park Avenue Receivables Corp. (PARCO), a partially supported, multiseller conduit sponsored and administered by The Chase Manhattan Bank, purchased $100 million in A2- rated owner trust certificates which are supported by securities. The securities are backed by auto loans, leases and floor-plan loans rated A2 and issued by a special purpose subsidiaries of an investment-grade-rated auto manufacturer. This transaction is fully supported by a liquidity facility which funds for the face amount of ABCP provided by Prime-1 rated Chase Manhattan Bank. PARCO also has program-level credit enhancement equal to 10% of the purchase commitments. The program enhancement in PARCO has a $300 million floor. PARCO is authorized to issue up to approximately $16 billion of ABCP.

DRESDNER BANK'S SILVER TOWER FUNDING ADDS EURO 1.5 BILLION AUTO LEASE RECEIVABLES TRANSACTION
Silver Tower Funding Limited, a Prime-1 rated, multiseller, partially supported ABCP conduit sponsored by Dresdner Bank AG, has added an Euro 1.5 billion auto lease transaction to its portfolio. This deal is the first auto lease transaction in the European market which has enabled the originator to finance 100% of residual values through securitization.

The originator intends to finance its lease receivables via Silver Tower Funding on a medium to long-term basis. These are retail leases for German automobiles, primarily BMWs. The receivables are financed on a revolving basis. The lease receivables, which include lease installments and residual value claims, are originated by a wholly owned subsidiary of a Prime-1 rated German car manufacturer.

The lease installments comprising the pool are owed to the seller by a wholly owned member of the originator group. They effectively benefit from the Prime-1 rating of one of its unlimited partners. Hence, Moody's analysis was not dependent upon the underlying sub-leases.

Residual value claims can account for up to 60% of the amount of the receivables in the portfolio. Residual value risk is mitigated through: i) A guarantee provided by a Prime-1 rated financial institution, which effectively protects investors against a deterioration of residual values of up to 25% of the initial purchase price; ii) The originator's proven ability to predict accurately residual values and to efficiently re-sell vehicles to its dealer network; and iii) Various portfolio criteria (with respect to pool composition by model, minimum calculated residual values per lease contract and lease maturity profiles) coupled with tight termination triggers, which protect the transaction from residual value deterioration.

Pool-specific credit enhancement is provided in the form of a 2% discount covering defaulted receivables and residual value losses. Furthermore, the transaction benefits from default and delinquency triggers, which if hit, result in the termination of receivable purchases and the cessation of ABCP issuance followed by an immediate put to liquidity. Liquidity is provided by Dresdner Bank AG (Prime-1/Aa2).

With this addition, Silver Tower Funding is now authorized to issue ABCP up to approximately Euro 13.2 billion.

CIBC'S SPARC ADDS $152.5 MILLION CDO TRANSACTION
Special Purpose Accounts Receivable Cooperative Corp. (SPARC), a partially supported, multiseller conduit sponsored and administered by Canadian Imperial Bank of Commerce, entered into a $50 million revolving purchase facility for the Aaa-rated Class A-1b notes of a cash flow CDO. SPARC also entered into a $102.5 million revolving purchase facility for the Aa3-rated Class A-2 note of the same CDO. CIBC provides liquidity support that will be available to pay maturing ABCP and fund additional pool investments if ABCP cannot be issued. In addition, Eiffel will add program level credit enhancement equal to 10% of the face amount of ABCP issued to fund the Class A-2 notes.

For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly. This information is also available at http://www.moodys.com.
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

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MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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