MOODY'S ABCP RATING ACTIONS FOR THE THREE WEEK PERIOD ENDED JANUARY 4, 2002 (PART I):
New York, January 07, 2002 -- MOODY'S HOLDS FIRST ABCS OF ABCP IN LONDON
On December 13, 2001, in London, Moody's Investors Service
held its first annual London conference on the fundamentals of asset-backed
commercial paper, known as the "ABCs of ABCP." The conference
focused on the fundamentals of the European ABCP market and was attended
by over 100 market participants. Analysts from Moody's London and
Paris offices spoke on Moody's approach to rating ABCP conduits,
market trends and Moody's predictions for 2002.
Conference participants noted that 2001 had been another year of rapid
growth in the European ABCP market, with a volume of issuance rising
from $86.7 billion in December 2000 to $102.5
billion by the end September 2001. The European ABCP market is
expected to continue its rapid pace of growth in 2002. Moody's
expects increased regulatory scrutiny, as well as competitive pressures
to increase profitability, to have the largest influence on the
ABCP market in 2002.
MOODY'S RATED THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAMS
PRIME-1 DURING THE THREE WEEK PERIOD ENDED JANUARY 4, 2002:
MOODY'S ASSIGNS PRIME-1 RATING TO BANCO BSCH CENTRAL HISPANO'S
S ALTAMIRA FUNDING LLC
Moody's Investors Service has assigned a rating of Prime-1 to Altamira
Funding LLC (Altamira), a new ABCP program sponsored by Banco BSCH
Central Hispano (BSCH) (Aa3/Prime-1/B).
BSCH is acting as program administrator, but will delegate some
administrative duties to Bank One, NA (Aa2/Prime-1/B+).
It is BSCH's first ABCP program. Altamira is a partially supported
program with an authorized amount of $2 billion. Altamira
permits funding of maturity-matched loans, highly rated term
and other securities, and term and trade receivables.
Altamira will invest in three different types of assets. The first
two types, maturity-matched loans and highly rated term and
other securities, may be acquired without prior review by Moody's.
Altamira may only purchase the third type of asset, term and trade
receivables, after prior review by Moody's.
The program credit enhancement is provided in the form of a letter of
credit provided by BSCH. The calculation of the program credit
enhancement is dynamic (with a $50 million floor) and fluctuates
with the credit quality and composition of Altamira's asset portfolio.
The form of liquidity depends on the type of asset being funded:
for maturity-matched assets, a loan purchase agreement is
sized to the largest face amount of ABCP maturing on any two consecutive
business days. For non-maturity-matched loans and
rated term and other securities as well as term and trade receivables,
a liquidity asset purchase agreement will equal 102% of the principal
amount of the assets. Individual term and trade receivable transactions
will have their own liquidity agreements, which Moody's will review
prior to purchase.
For further details, see Moody's press release dated December 17,
MOODY'S ASSIGNS PRIME-1 TO DEUTSCHE BANK'S BLUE SPICE, LLC
Moody's has assigned a Prime-1 rating to the ABCP to be issued
by Blue Spice, LLC ("Blue Spice"). Blue Spice is a fully
supported, multiseller program sponsored by Deutsche Bank AG (Aa3/Prime-1/B).
The conduit is administered by JPMorgan Chase Bank.
Blue Spice will use the proceeds of ABCP to purchase notes (Notes) issued
by special purpose entities. Each Note, and indirectly Blue
Spice's ABCP, is fully supported through total return swaps provided
by Prime-1-rated Deutsche Bank AG.
Repayment of ABCP issued by Blue Spice is also supported by its ability
to issue extendible commercial paper notes (unrated) for the full amount
of maturing ABCP, which Deutsche Bank is obligated to purchase at
the maturity of the rated Blue Spice ABCP. Deutsche's required
purchase of the extendible notes provides liquidity for the program.
Moody's Prime-1 rating for Blue Spice's ABCP (which is not extendible)
is based on the bankruptcy remoteness of Blue Spice, the total return
swaps provided by Deutsche Bank, and the liquidity provided through
the issuance of extendible CP notes to be purchased by Deutsche Bank.
Blue Spice may issue up to $5 billion of ABCP.
For further details, see Moody's press release dated December 20,
MOODY'S ASSIGNS PRIME-1 RATING TO SALOMON'S COBBLESTONE FUNDING
Moody's has assigned a rating of Prime-1 to the ABCP to be issued
by Cobblestone Funding L.L.C. (Cobblestone),
a new, partially supported, multiseller ACP program administered
by Prime-1-rated Salomon Smith Barney Inc. (Salomon)
with an authorized amount of $5 billion.
The Prime-1 rating is based on, among other things,
the program-wide credit enhancement which is calculated based upon
the quality and composition of Cobblestone's asset portfolio, as
well as Prime-1-rated liquidity facilities and structural
protections to ensure the bankruptcy-remoteness of Cobblestone
Cobblestone may purchase term and other types of receivables and financial
assets only after prior review by Moody's. While it may buy certain
highly-rated term and other securities without prior review by
Moody's, liquidity arrangements must be established that are satisfactory
to Moody's. Moody's has reviewed the investment guidelines and
credit enhancement for these asset types and determined that they are
consistent with a Prime-1 rating. For these highly rated
term and other securities, Moody's will review the liquidity arrangements
that Cobblestone proposes to use prior to its purchase of the first asset.
Initially, the program's credit enhancement will be provided in
the form of a surety bond issued by Ambac Assurance Corp. (Aaa)
and a letter of credit issued by Citibank, NA. (Citibank)
(Aa1/P-1/A-). A general liquidity facility from Citibank
will advance against monies due under the bond to ensure same-day
funding. Citibank is expected to provide the majority of Cobblestone's
For further details, see Moody's press release dated January 4,
MOODY'S RATES GERLING'S EUREFIN PRIME-1, AND IN ITS FIRST
TRANSACTION, EUREFIN PURCHASES EURO 25 MILLION OF TRADE RECEIVABLES
In London, Moody's assigned a Prime-1 rating to the asset-backed
commercial paper (ABCP) of European Receivables Finance Limited (EuReFin).
EuReFin is a newly established, partially supported ABCP program
sponsored by Gerling-Konzern Speziale Kreditversicherungs AG (Gerling
Credit) (Aa3/Prime-1). Gerling Namur Assurances du Credit
S.A. (Aa3/Prime-1) will be Master Administrator.
EuReFin will advance the proceeds of ABCP to EuReFin Receivables Financing
Trade Limited (EuReFin Trade) to finance the purchase of trade receivables.
All receivables purchased by EuReFin Trade will benefit from credit insurance
provided by Gerling Credit which will cover 100% of defaulted receivables,
provided that yearly insurance payments shall not exceed a certain amount.
Program credit enhancement takes the form of a letter of credit provided
by Gerling Credit. The amount of the letter of credit is equal
to the greater of (i) 5% of outstanding CP, (ii) the purchase
limit of the largest transaction and (iii) Euro 25 million. Liquidity
is provided initially by Kreditanstalt für Wiederaufbau (Aaa/ Prime-1)
and may be syndicated to other Prime-1-rated financial institutions.
Simultaneously, EuReFin acquired a Euro 25 million portfolio of
trade receivables originated by a German food manufacturer. The
transaction benefits from Gerling credit insurance in respect of all credit
losses, subject to the restriction that yearly insurance payments
shall not exceed 30% of the purchase limit.
For further details, see Moody's press release dated January 7,
MOODY'S ASSIGNS PRIME-1 RATING TO ABBEY NATIONAL'S FULBECK FUNDING
Moody's has assigned a Prime-1 rating to the ABCP of Fulbeck Funding
Limited (Fulbeck), as well as ratings of Aaa to $250 million
of floating rate senior notes and A2 to $50 million of floating
rate junior notes. Fulbeck has also been assigned a counterparty
rating of Aaa reflecting its ability to pay under the terms of a credit
default swap. Fulbeck Funding is a newly established, partially
supported ABCP program sponsored by Abbey National Financial Products
(ANFP), a branch of Abbey National Treasury Services plc (ANTS)
(Aa2/Prime-1), the treasury and wholesale banking operation
of Abbey National plc (Aa2/Prime-1/C+).
Fulbeck will enter into a credit default swap with a notional amount of
up to $10 billion of highly-rated assets with Abbey National
Financial Products (ANFP). Fulbeck will use the proceeds of the
sale of ABCP to invest in a portfolio of reverse repurchase agreements
and deposit accounts, both with highly-rated counterparties,
to collateralize its obligations under the credit default swap.
These investments will serve both to make payments as required under the
credit default swap, and to provide liquidity to repay maturing
ABCP in the event that ABCP cannot be reissued. The reference portfolio
is subject to strict investment guidelines, and may require asset-specific
or portfolio credit enhancement beyond the issued debt. Losses
on the reference portfolio, if any, under the credit default
swap will first be absorbed by any asset-specific or portfolio
credit enhancement, then by the Junior noteholders, then by
the Senior noteholders, and finally by ABCP investors. Reference
assets may be added, removed and replaced under these guidelines
without prior review by Moody's.
Fulbeck is very similar to a synthetic cash-flow CDO. The
ABCP may be compared to the super-senior class, the Senior
Notes to the rated senior class, and the Junior Notes to the mezzanine
class, and any additional enhancement to the first loss position
of a CDO. The quantitative analysis and methodology used to determine
the rating levels assigned to the ABCP, and the senior and junior
notes of this facility is the same as that Moody's uses for cash flow
While other conduits have invested in synthetic securities, Fulbeck
is the first securities arbitrage program to be structured entirely as
a synthetic. As a result it permits ANTS to transfer the risk of
highly rated assets from its balance sheet while providing minimal credit
enhancement. Fulbeck also has no liquidity facility, unlike
many credit arbitrage programs that require full bank liquidity,
or structured investment vehicles which have partial bank liquidity.
Fulbeck may issue up to $9.7 billion of ABCP.
For a more detailed discussion, see Moody's press release dated
December 18, 2001.
MOODY'S RATES INDIGO FUNDING'S SERIE AZZURRO PRIME-1
Moody's has assigned a Prime-1 rating to the Euro 245 million Serie
Azzurro of billets de tresorerie (French ABCP) to be issued by
Indigo Funding. Indigo Funding is the French serialized asset-backed
commercial paper conduit managed by the Paris branch of Bayerische Landesbank
Girozentrale. In this serialized ABCP program, Indigo Funding
issues different series of ABCP. Each series is backed by a specific,
identifiable asset portfolio, with its own credit enhancement and
liquidity support. The liquidity and credit support for a series
is solely dedicated to the respective series.
Serie Azzurro is the fifth series of ABCP issued by Indigo Funding Ltd.
This fully supported series of Indigo ABCP is backed by FCC Units (French
asset backed securities) issued by FCC Oceano- Compartiment Fraikin
01. These units refinance receivables discounted facilities granted
by HSBC-Credit Commercial de France to different Fraikin
entities, in the Fiat group. Moody's Prime-1 rating
of Serie Azzurro is primarily based on the following factors: (i)
the Prime-1 rating of the liquidity banks that fully support Serie
Azzurro ABCP, (ii) the legal integrity of the serialized structure,
(iii) the capabilities and obligations of BLB as program manager and (iv)
the bankruptcy remoteness of the issuer. The liquidity facility
provided by HSBC-Credit Commercial de France may be syndicated
with other Prime-1 rated banks, subject to Moody's prior
confirmation of the Prime-1 rating of Serie Azzurro.
Taking all of its series together, Indigo Funding may now issue
up to Euro 4 billion of ABCP.
MOODY'S ASSIGNS PRIME-1 RATING TO CREDIT LYONNAIS' LA FAYETTE ASSET
Moody's has assigned a rating of Prime-1 to the asset-backed
commercial paper notes (ABCP) to be issued by La Fayette Asset Securitization
LLC (La Fayette), a partially supported, multiseller ABCP
program sponsored by Credit Lyonnais' New York branch (Credit Lyonnais)
(A1/Prime-1/B-). La Fayette is not yet authorized
to issue any ABCP, since it has not yet purchased any asset interests..
The Prime-1 rating assigned to La Fayette is based on dynamic program-wide
credit enhancement with a floor amount of $50 million, as
well as transaction-specific credit enhancement, Prime-1-rated
liquidity support, the Prime-1 rating of Credit Lyonnais,
and structural protections to ensure the bankruptcy remoteness of La Fayette.
La Fayette will invest in a variety of asset types. These may include,
among others, term and trade receivables, asset-backed
and mortgage-backed securities, and loan purchases.
All asset purchases will require prior review by Moody's.
Program credit enhancement is in the form of a letter of credit provided
by Credit Lyonnais. Transaction-specific credit enhancement
as well as program credit enhancement will be determined prior to asset
purchase. The amount of the program credit enhancement will depend
upon the credit quality and composition of La Fayette's asset portfolio.
For a more detailed discussion, see Moody's press release dated
December 26, 2001.
MOODY'S RATES FIRST UNION'S PATRIOT FUNDING LLC PRIME-1
Moody's Investors Service has assigned a rating of Prime-1 to the
asset-backed commercial paper notes (ABCP) to be issued by Patriot
Funding LLC (Patriot), a partially supported, securities arbitrage
program sponsored by First Union National Bank (First Union) (Aa3/Prime-1/B+).
The program is authorized to issue $2 billion of ABCP.
The Prime-1 rating assigned to Patriot is based on liquidity support
in the form of market value hedging arrangements for the face amount of
maturing secured liquidity notes (SLNs) and extended notes (ENs) (collectively,
Notes); credit enhancement in the form of a credit default swap or
letter of credit; the Prime-1 rating of First Union as the
initial provider of credit enhancement as well as the market value and
interest rate hedge; features that ensure timely payment of maturing
secured liquidity notes (SLNs) and extended notes (ENs), and structural
protections to ensure the bankruptcy-remoteness of Patriot.
Patriot's investments are limited to asset backed securities and mortgage-backed
securities, U.S. issued or guaranteed securities,
and securities issued or guaranteed by government-sponsored enterprises,
all of which may be acquired without prior review by Moody's. Credit
enhancement is provided in the form of a credit default swap or a letter
of credit provided by First Union. The amount depends on the ratings
of the securities in Patriot's portfolio.
Liquidity support, also provided by First Union, is in the
form of a hedge agreement. Liquidity would cover any discrepancy
between the purchase price of the securities in Patriot's portfolio and
the market price received from an asset disposition that may be needed
to pay maturing SLNs or ENs. The hedge agreement also covers any
interest rate shortfalls on SLNs or ENs. To ensure timely payment,
First Union, as hedging agent, is required to execute asset
sales by a specified date prior to payment to Noteholders, with
First Union required to pay any shortfalls at maturity. Moody's
rating applies to the final maturity, not the expected maturity,
of the Notes.
For a more detailed discussion, see Moody's press release dated
December 27, 2001
MOODY'S RATES KBC'S QUASAR SECURITIZATION PRIME-1
In London, Moody's assigned a Prime-1 rating to the ABCP
of Quasar Securitisation Company NV (Quasar). Quasar is a newly
established, partially supported ABCP program sponsored by KBC Bank
NV (KBC) (Aa3 / Prime-1). KBC shall act as program administrator.
Quasar will issue ECP (European commercial paper) notes to finance the
purchase of trade receivables and other financial assets from sellers
located primarily in Europe. The Prime-1 rating of Quasar's
ABCP is based on, among other factors, the following:
Moody's review of all assets prior to acquisition; a program-wide
letter of credit provided by KBC; liquidity support from Prime-1-
rated banks; issuance tests which require a sufficient amount of
liquidity facilities before ABCP may be issued; structural protections
to ensure the bankruptcy-remote nature of Quasar; and hedging
agreements with Prime-1-rated financial institutions to
mitigate any interest rate or currency risk.
Program-wide credit enhancement takes the form of a letter of credit
provided by KBC. The amount of the letter of credit is equal to
the greater of (i) 5% of outstanding ABCP (other than in respect
of transactions involving highly rated assets) and (ii) Euro 30 million.
Liquidity is provided by KBC and may be syndicated to other Prime-1
rated financial institutions.
For further details, see Moody's press release dated January 4,
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1
BY MOODY'S DURING THE THREE WEEK PERIOD ENDED JANUARY 4, 2002:
$1.2 BILLION CLUB DEAL FOR AUTO LOAN SECURITIZATION
A $1.2 billion revolving securitization of automobile loans
was added to six separate ABCP conduit programs. The loans are
non-prime retail installment sales contracts secured by a pool
of new and used cars and light-duty trucks. The vehicles
are financed by an A2/Prime-1 entity which provides consumer automotive
loan financing to individuals throughout the U.S. Transaction-level
credit enhancement takes the form of overcollateralization and excess
spread, totaling about 29.25%. ABCP tenor was
also limited to 90 days for certain of the conduits.
Four bank co-purchasers each took a $300 million share.
Participating conduits include JP Morgan Chase's PARCO, Bank of
America's Kitty Hawk, CSFB's Alpine, Greenwich, and
Gramercy (for $300 million in the aggregate in all CSFB conduits),
and Deutsche Bank's Gemini Securitization Corp. Each purchaser
provides liquidity for its own commitment and has increased its program
level credit enhancement, as applicable.
ATLANTIC, AUTOBAHN, BEETHOVEN AND CHARTA ADD $376 MILLION
INTEREST IN $1.075 BILLION UTILITY TRANSACTION
Charta Corp., one of Citicorp North America, Inc.'s
(CNAI) multiseller, partially supported conduits, is financing
power generating assets, together with Beethoven Funding Corp.,
Dresdner Bank AG's multiseller conduit. Each purchased a $133
million fully supported interest in this transaction. Both interests
are fully supported through liquidity. Also, Autobahn Funding,
DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN's
multiseller, partially supported conduit, took on a $44.2
million fully supported commitment. In addition, Atlantic
Asset Securitization Corp., Credit Lyonnais' partially supported,
multiseller conduit, is financing a $66 million portion on
a fully supported basis.
This $1.075 billion financing will also be funded by sources
outside the ABCP market
Charta is now authorized to issue up to $5 billion in ABCP,
while Beethoven may issue up to $5 billion. Autobahn is
now authorized to issue up to $2.766 billion of ABCP,
and Atlantic may now issue up to $4.01 billion of ABCP (taking
into account the other Atlantic transactions set forth below).
GECC'S EDISON AND HVB'S BLACK FOREST FUNDING TOGETHER ESTABLISH $1
BILLION EQUIPMENT SYNTHETIC LEASE FACILITY
Edison Asset Securitization LLC and Black Forest Funding LLC, both
partially supported, multiseller conduit sponsored and administered
by GECC and HVB, respectively, have participated in the purchase
of a $1 billion equipment lease financing facility. The
lease transactions are originated by businesses of a diversified investment-grade
rated company. Black Forest's $120 million interest in the
facility will be supported by Prime-1- rated Hypo-und
Vereinsbank AG, which will assume both credit and liquidity risk.
There was no increase to the program-level letter of credit.
Black Forest is now authorized to issue approximately $3.2
billion of ABCP.
Edison's $880 million interest in the facility is fully supported
by liquidity provided by Prime-1-rated GECC. Edison's
program-level credit enhancement was also increased by 7%
of outstandings. Edison, together with its other asset purchases
described later in this press release, may now issue $44.38
billion of ABCP.
WESTLB'S COMPASS SECURITIZATION LLC, BANK AMERICA'S ENTERPRISE FUNDING,
AND BLB'S GIRO MULTI FUNDING INCREASE FACILITY LIMITS IN TRADE RECEIVABLES
TRANSACTION FROM $500 MILLION TO $560 MILLION
A $500 million trade receivable transaction from a non-investment-grade
medical equipment supplier and servicer was increased to $560 million,
as well as amended to accommodate receivables from a newly-acquired
subsidiary. The three conduits involved, Giro Multi-Funding
Corp. Compass Securitization Limited and Enterprise Funding Corp.,
each increased their respective shares of the deal by $20 million.
Enterprise' share is now $220 million. Both GMFC (its share
now $120 million) and Compass ($220 million) have fully
supported this transaction through liquidity. Since the deal is
fully supported, no increases in program credit enhancement were
BANK OF AMERICA'S HATTERAS, THE BANK OF NOVA SCOTIA'S LIBERTY STREET
AND WEST LB'S PARADIGM ALL FINANCE $230 MILLION SYNTHETIC LEASE
The following multiseller conduits: Hatteras Funding Corp.,
sponsored by Bank of America, NA, Liberty Street Funding Corp.,
sponsored by Scotiabank, and Westdeutsche Landesbank's Paradigm
Funding LLC all entered into a revolving credit facility. The facility
provides funds for the financing of a synthetic lease relating to a double-hulled
vessel outfitted with oil drilling equipment. Hatteras' share is
$129 million, Liberty's share is $50 million,
and Paradigm's share is $51 million. Hatteras is fully supported,
while Liberty Street and Paradigm are partially supported. The
drillship is owned by an investment trust, funding from which will
be obtained through advances made by the conduit co-purchasers.
Two investment-grade companies guarantee the lessee's performance
under the charter/lease: one an energy company, the other
a provider of marine contract drilling services. The transaction
is fully supported through liquidity.
Hatteras, which now funds a total of 27 transactions, is authorized
to issue up to approximately $6.0 billion of ABCP;
Liberty Street is authorized to issue about $4.5 billion
of ABCP; and Paradigm is authorized to issue about $6.9
billion of ABCP.
FLEET NATIONAL BANK'S EAGLEFUNDING AND WESTLB'S PARADIGM FUNDING CO-FINANCE
$180 MILLION SPORTS STADIUM CONSTRUCTION FINANCING FACILITY
Fleet National Bank's EagleFunding Capital Corp. (EagleFunding)
and Westdeutsche Landesbank's Paradigm Funding LLC (Paradigm Funding),
each a partially supported multiseller ABCP conduit, provided a
combined $180 million credit facility to finance the construction
of a sports stadium. The transaction benefits from a surety bond
from a Aaa-rated monoline insurer. Both EagleFunding's $100
million interest and Paradigm's $80 million interest in the facility
are supported by liquidity provided by Prime-1-rated banks.
EagleFunding is authorized to issue up to $4.78 billion
in ABCP and has $3.21 billion in outstanding ABCP,
with $206.1 million in program-level credit enhancement.
Currently, Paradigm Funding has about $5.67 billion
in outstanding ABCP, with $371.2 million in program-level
credit enhancement, and is authorized to issue up to $6.99
billion in ABCP.
IN CLUB DEAL, WESTLB'S PARADIGM FUNDING ACQUIRES $100 MILLION
INTEREST IN $2.15 BILLION DEALER FLOORPLAN FINANCING FACILITY
Westdeutsche Landesbank Girozentrale's (WestLB) Paradigm Funding LLC (Paradigm),
a partially supported, multiseller conduit, acquired a $100
million interest in a $2.15 billion club deal to finance
the dealer floorplan receivables for a variety of equipment, including
boats, marine products, motor cycles, recreational vehicles,
electronic and home appliances, and lawn care and agricultural equipment,
generated by an unrated subsidiary of an investment-grade-rated
financing company. Pool-level credit enhancement is provided
in the form of overcollateralization equal to a minimum of 6% of
the eligible receivables and a minimum 3% reserve. In addition,
Paradigm is providing 10% incremental program-level credit
enhancement. Currently, Paradigm has about $5.44
billion in ABCP outstanding, with $362 million in program-level
credit enhancement. Paradigm is now authorized to issue about $
6.87 billion of ABCP.
ABN AMRO'S AMSTEL PURCHASES EURO 13.8 BILLION ASSET- BACKED
Amstel Funding Corp., a multiseller, partially supported
ABCP conduit sponsored by ABN AMRO, has purchased Euro13.8
billion in notes backed by corporate loans originated by ABN Amro.
The notes are rated Aa2 or above by Moody's. If any Notes are downgraded
below Aa2, they will either be sold on a "no loss" basis or be immediately
put to liquidity. Any currency or interest rate risk is hedged
pursuant to a swap provided by ABN AMRO. Amstel is now authorized
to issue approximately $24 billion of ABCP.
SOCIETE GENERALE'S ANTALIS ADDS TWO TRADE DEALS AND AMENDS PROGRAM
Antalis S.A., the partially supported, multiseller
conduit sponsored by Societe Generale,
added two new trade receivables transaction, restructured and increased
three existing transactions and amended its program documentation.
The two transactions added Euro 250 million to Antalis' total authorized
amount. They both represent securitizations of trade receivables
originated by European companies in the consumer goods and transportation
sector. Structural protections for each consist of overcollateralization
and pool-specific liquidity facilities. Program-wide
credit enhancement also increased by 10% of the amount of each
Finally, Antalis made amendments to its program documents.
Among the most important are: the ability to issue ABCP in a currency
foreign to that of the liquidity facilities, subject to appropriate
hedging to insulate investors from any currency risk; the implementation
of a floor for the program credit enhancement of Euro 100 million;
and the reduction of the actual amount of program-wide credit enhancement.
After such reduction, program enhancement amounts to Euro 474 million,
or 8.8% of Antalis' authorized issuance amount of Euro 5.397
BAYERISCHE HYPO-UND VEREINSBANK'S ARABELLA ADDS EURO 1.2
BILLION AUTO LOAN TRANSACTION
Arabella Funding, LTD, a multiseller, partially supported
ABCP conduit sponsored by Bayerische Hypo-und Vereinsbank AG (HVB),
has entered into a Euro 1.2 billion revolving auto loan transaction.
The loans, which finance a mixed pool of vehicles, are originated
by a subsidiary of an A3/P-2-rated manufacturer within the
automobile industry. Various portfolio limitations include an obligor
limit of 0.25% and a maximum of 30% in loans with
a balloon payment. Pool-specific credit enhancement is provided
via a seller cash deposit of 6.3%, and 2.3%
overcollateralization. Also, a 7.3% letter
of credit from Aa3/P-1-rated HVB serves as program-wide
This pool was formerly in HVB's Bavaria Securitisation Limited.
The performance experienced during the last 3.5 years under the
Bavaria program was taken into account by Moody's in confirming Arabella's
Prime-1 rating. This partially supported transaction benefits
from delinquency (3.0%) and default termination events (2.8%)
and a minimum cash deposit termination event (6%). These
events would end the purchase of new receivables, cause the transaction
to begin to amortize, and prevent any further issuance of ABCP by
the conduit. The liquidity facility, which funds for non-defaulted
receivables, is provided by Prime-1-rated HVB.
With this addition, Arabella is now authorized to issue ABCP up
to approximately Euro 1.75 billion.
CREDIT LYONNAIS' ATLANTIC ADDS FOUR DEALS AT YEAR-END
In a year-end flurry of deals, Atlantic Asset Securitization
Corp., Credit Lyonnais' partially supported, multiseller
conduit, added four transactions.
Atlantic added a $30.6 million transaction backed by payments
under a synthetic lease that provides financing for a U.S.-based
company's lease of heavy construction equipment. ABCP investors
are protected by a liquidity obligation that fully supports Atlantic's
liability to investors
Atlantic also entered into a $200 million trade receivables originated
by a leading dairy products company with a high non-investment
grade rating by Moody's. Obligor concentration risk is relatively
minor in this industry. Investors are protected by a liquidity
funding formula that assumes dynamic credit enhancement that is reset
each month, based on multiples of certain pool performance ratios.
The liquidity facility absorbs all risks relating to the receivables other
than defaulted receivables. The transaction's enhancement is subject
to a loss reserve floor of 9%. In addition, investors
benefit from program-wide credit enhancement equal to 10%
of the committed amount. Falcon, a post-review conduit
of Bank One, committed to an equal purchase amount of this transaction.
Credit Lyonnais' Atlantic also purchased $274 million in senior
pass-through certificates issued by a equipment lease trust sponsored
by a major U.S. airline with a non-investment grade
rating. Investors are protected by a liquidity facility in the
underlying transaction that covers more than a year in interest payments.
In addition, Atlantic's commitment obligation terminates prior to
the legal final maturity of the certificates, thus avoiding the
possibility of a principal default on the underlying certificates.
Atlantic increased its program credit enhancement by 10% of the
Finally, Atlantic added a $134 million fully supported synthetic
lease transaction involving real estate interests. Program credit
enhancement was increased by 10% of the commitment amount.
Atlantic is now authorized to issue up to $4.01 billion
DG'S AUTOBAHN FUNDING ADDS $100 MILLION REVOLVING LOAN FACILITY
Autobahn Funding, DZ Bank Deutsche Zentral-Genossenschaftsbank
Frankfurt AM MAIN's ("DZ Bank") partially supported, multiseller
ABCP conduit, added a $100 million loan facility.
The originator services finance loans to distributors of manufactured
goods. The loans are secured by the distributor's inventory and
certain of their accounts receivable. Liquidity, provided
by Prime-1-rated DZ Bank, fully supports this transaction.
Autobahn is currently authorized to issue up to $2.886 billion
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.
To Be Continued in Part II of this Press Release.
Structured Finance Group
Moody's Investors Service
Letitia J. Hanson
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service