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.
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