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22 Jan 2004
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAYS ENDED JANUARY 22, 2004
New York, January 22, 2004 -- MOODY'S ABCP GROUP PUBLISHES 2003 REVIEW AND 2004 OUTLOOK AND ARTICLE
ON ABCP'S IMPORTANT ROLE IN MONEY MARKET FUNDS' BOOM
Moody's Investors Service has published "2003 Review and 2004 Outlook:
ABCP Experiences a Revival of Fortune." As the article explains,
while 2003 looked statistically similar to the doldrums-ridden
year of 2002, a variety of trends underlying these numbers hint
at healthy growth in 2004. Moody's believes that U.S.
ABCP outstandings could reach $750 billion by the end of 2004.
Moody's expects the increase in U.S. ABCP outstandings to
occur as the result of several factors : a surge in deal activity
toward the end of 2003; the streamlining of conduits in the ABCP
market through closure and combination; and sponsors finally becoming
comfortable with the requirements and implications of FIN 46. The
article also discusses other 2003 market events, including the increase
of CDO participation in the short-term market and the mortgage
boom's effects on mortgage warehousing conduits. The article closes
with a statistical overview of 2003, including a breakdown of new
and terminated programs and a survey of the most common asset types in
Moody's has also published "ABCP and Money Market Funds - Happy
Together." This report reveals that CP, including ABCP,
represents the largest security held by prime money market funds.
Furthermore, ABCP holdings in the surveyed funds currently amount
to over 20% of total net assets, which represents approximately
13% of the total ABCP outstanding.
The article explains to the reader how ABCP and corporate CP benefit money
market fund managers by diversifying portfolios and providing an opportunity
to enhance the yield performance and liquidity of their funds.
The article concludes by providing a detailed quantitative analysis of
ABCP exposure in the fifteen largest prime institutional money market
Both "2003 Review and 2004 Outlook: ABCP Experiences a Revival of
Fortune" and "ABCP and Money Market Funds - Happy Together" 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 16, 2004 THROUGH JANUARY
IN CLUB DEAL, CREDIT LYONNAIS' ATLANTIC AND LAFAYETTE ADD $600
MILLION FULLY SUPPORTED COMMERCIAL MORTGAGE TRANSACTION
Atlantic Asset Securitization Corp. and La Fayette Asset Securitization
LLC, Credit Lyonnais' (Aa3/Prime-1/B-) partially supported,
multiseller ABCP conduits, added a $600 million commercial
mortgage warehouse transaction. The entire transaction is fully
supported by liquidity provided by Credit Agricole Indosuez (Aa3/Prime-1/C).
Atlantic's commitment is $400 million, while La Fayette's
is $200 million. The underlying commercial mortgage collateral
is originated and serviced by an unrated financial institution whose parent,
rated A3/Prime-2, is prominent in the property management
Giving effect to this purchase, Atlantic is currently authorized
to issue up to $4.2 billion of ABCP and has $2.6
billion of outstanding ABCP. Lafayette may issue up to $1.41
billion of ABCP and currently has $948 million of outstanding ABCP.
CO-PURCHASE DEAL IN EQUIPMENT LEASE FACILITY INCREASES FROM $1.5
BILLION TO $2 BILLION
Several conduits have increased their co-purchase shares in an
equipment lease facility to an investment-grade-rated agricultural
and commercial machine and equipment manufacturing company, so that
the entire transaction has now increased to $2 billion.
The shares of Delaware Funding Company, LLC, and Park Avenue
Receivables Corp., both partially supported, multiseller
ABCP programs sponsored by JPMorgan Chase Bank, increased from $250
million each to $333 million. Royal Bank of Canada's (Aa2/Prime-1/B+)
Thunder Bay Funding Inc. and Old Line Funding Corp. increased
their shares from $100 million to $133 million and from
$500 million to $667 million, respectively.
Deutsche Bank's Gemini Securitization Corp., a partially
supported, multiseller conduit, has purchased ABCP from a
sister conduit, Tahoe Funding Corp., that is backed
by an increase in Tahoe's co-purchase share from $500 million
to $666 million. Tahoe's purchase was done on a fully supported
basis through liquidity provided by Deutsche Bank (Aa3/Prime-1/C-).
CREDIT LYONNAIS' ATLANTIC ADDS $125 MILLION SYNDICATED LOAN FACILITY
Atlantic Asset Securitization Corporation, a Credit Lyonnais (Aa3/Prime-1/B-)-sponsored
and administered ABCP program, entered into a syndicated loan facility
for a closed-end investment fund managed by an Aa3/Prime-1-rated
global investment bank. Atlantic's share is $125 million
of the $700 million facility. The facility lends against
the capital commitments of investors in this fund. Liquidity provided
by Prime-1- rated Credit Lyonnais fully supports this transaction
as long as Atlantic and a Aa3-rated financial institution are not
bankrupt. Atlantic's program-level credit enhancement will
be increased by 10%, or $12.5 million,
of its commitment. Atlantic is currently authorized to issue up
to approximately $4 billion of ABCP.
SUN TRUST'S THREE PILLARS ADDS $50 MILLION STRUCTURED SETTLEMENT
Three Pillars Funding Corp., Sun Trust Bank's (Aa2/Prime-1/B+)
partially supported, multiseller ABCP conduit, has added a
partially supported, $50 million revolving warehouse facility.
The seller is a specialty finance company that provides financing to owners
and beneficiaries of structured settlements. Liquidity is provided
by Prime-1-rated SunTrust Bank. Transaction-specific
credit enhancement, in the form of overcollateralization,
is set at a minimum of 10%. The enhancement increases dynamically
based upon the performance of the receivables pool. Program-level
credit enhancement for Three Pillars was increased by $5 million
for this transaction. Three Pillars is authorized to issue up to
$4.53 billion of ABCP.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING ACQUIRES $350 MILLION
INTEREST IN A $2.5 BILLION VARIABLE FUNDING NOTE BACKED
BY TRADE RECEIVABLES
Manhattan Asset Funding Company LLC (Manhattan), a partially supported,
multiseller conduit, sponsored by Sumitomo Mitsui Banking Corp.
(SMBC) (A3/Prime-1/E), acquired a $350 million interest
in a variable funding note (VFN) backed by trade receivables originated
by an investment-grade-rated industrial company and its
subsidiaries. This transaction is supported by a minimum of 8%
deal-specific credit enhancement that adjusts dynamically depending
upon asset performance and the parent company's rating. Also,
incremental program-level credit enhancement of 10% of Manhattan's
interest in the VFN is provided. Manhattan is authorized to issue
up to $5 billion of ABCP. Currently, Manhattan has
about $1.9 billion in outstanding ABCP, with $230
million in program-level credit enhancement.
BARCLAYS' SHEFFIELD BUYS $100 MILLION PRIVATE LABEL CREDIT CARD
Sheffield Receivables Corp., a partially supported,
multiseller conduit sponsored by Barclays Bank plc (Aa1/Prime-1/A-),
has purchased $100 million of private label credit card receivables
originated by a B2-rated specialty retailer. Credit enhancement
includes 20% of subordination, plus a minimum of 3%
in a cash collateral account. There is also a 2% seller's
interest to cover dilution. A performance trigger stops the deal
if the three-month average excess spread falls below 1%.
Partially supporting liquidity is provided by Barclays Bank. Sheffield
has added 10% of the amount of this asset to its program credit
enhancement, and the conduit is currently authorized to issue $22.6
billion of ABCP.
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.
Structured Finance Group
Moody's Investors Service
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
No Related Data.
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