MOODY'S ABCP RATING ACTIONS FOR THE THREE WEEK PERIOD ENDED JANUARY 4, 2002 (PART II):
New York, January 07, 2002 -- THE RATINGS OF THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAMS
WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE THREE WEEK PERIOD
ENDED JANUARY 4, 2002:
BGB'S BEST FUNDING ADDS NEW $400 MILLION SECURITIES POOL SUPPORTED
BY ALTERNATE LIQUIDITY
Bankgesellschaft Berlin's (BGB) Best Funding Limited, a partially
supported, multiseller conduit, has added a $400 million
facility to purchase a portfolio of bonds which are rated Aaa by Moody's.
Liquidity for this deal is provided by a special purpose vehicle which
benefits from a committed repurchase agreement with a Prime-1 rated
bank. Should Best be unable to reissue ABCP to pay off maturing
commercial paper, it will exercise its option under the repurchase
agreement. Various structural features ensure that ABCP issuance
will not exceed the repurchase entitlement, and that Best will have
a ready source of cash, either from the repurchase counterparty
or from the program's swingline liquidity banks, to repay ABCP as
CITIBANK'S CHARTA INCREASES PROGRAM LIMIT TO $13 BILLION
Charta Corp., Citibank's partially supported, multiseller
conduit, is increasing its program size from $5 billion to
$13 billion. The increase is being put in place for future
growth. Each transaction in Charta has its own separate liquidity
facility, as well as access to a conduit-level $150
million committed liquidity facility. The only circumstance under
which liquidity will not fund is the insolvency of Charta. Charta
currently has just over $2 billion in ABCP outstanding.
CITIBANK'S CXC LLC MEDIUM TERM NOTES RATED Aaa
CXC LLC, Citibank's post- review, fully supported multiseller
conduit which owns transactions which are 100% insured by Aaa-rated
surety providers is now authorized to issue medium term notes (MTNs).
The MTNs are rated Aaa. Unlike CXC's ABCP, which is fully
supported by 100% liquidity, the MTNs have a liquidity backup
line of $250 million, representing one half of the program's
$500 million general liquidity facility. Because of this
restriction, the maximum amount of MTNs that can mature in any thirty-day
period is limited to $250 million. In the event MTNs cannot
be rolled over or financed by the issuance of ABCP, the repayment
of the MTNs would be covered by asset collections or the sale of asset
pools (which all benefit from a Aaa surety bond). CNAI, as
program administrator, has detailed administrative procedures governing
the sale of the assets backing the Aaa-rated MTNs to third parties.
Any shortfall in the price of the assets sold to repay maturing MTNs is
covered under a derivative contract issued by Citibank NA. Simultaneous
with this transaction, CXC also converted itself to a Delaware-based
LLC. CXC has just over $13 billion of ABCP outstanding and
is now authorized to issue up to $3 billion of MTN's.
WEST LB'S COMPASS ADDS $150 MILLION CREDIT CARD TRANSACTION
Compass Securitization LLC, a partially supported multiseller ABCP
conduit sponsored by Westdeutsche Landesbank Girozentrale (WestLB),
purchased a floating rate asset-backed note backed by credit card
receivables. Compass purchased an unrated $150 million Class
B note from the master trust of a seasoned credit card issuer.
The purchase is supported by credit enhancement of the Class C piece of
about 25.81% and a funded 0.5% reserve account.
In addition, Compass increased its program wide credit enhancement
by 5%. Compass is authorized to issue up to approximately
$12 billion of ABCP.
JPM CHASE'S DELAWARE FUNDING CORP. ENTERS $650 MILLION AUTO
Delaware Funding Corp., a JPM Chase-sponsored,
partially supported, multiseller conduit, entered into a $650
million revolving auto loan facility that will fund a portfolio of installment
sale contracts related to the sale of new and used vehicles. The
loans will be made to a subsidiary of a foreign, investment-grade
automobile manufacturer that owns the installment sale contracts.
Credit enhancement for the transaction will be 8%, while
the conduit will add incremental program credit enhancement of 10%
of the amount of this deal. DFC currently has a program limit of
$17.5 billion, with about $9.63 billion
of commercial paper outstanding.
GECC'S EDISON INCREASES MAXIMUM ISSUANCE TO $44.38 BILLION
In addition to the synthetic lease facility co-purchased with Black
Forest described above Edison added two new facilities and increased an
existing facility, to achieve a total authorized amount of $44.38
billion. It is the largest single ABCP program in the market.
The first addition is a $500 million revolving trade receivables
facility generated by a highly-rated industrial products manufacturer.
The transaction is supported by a liquidity facility provided by Prime-1-rated
GECC. Investors benefit from transaction-specific credit
enhancement, in the form of both dynamic overcollateralization,
which fluctuates based on the receivables' performance, as well
as seller recourse. Program level credit enhancement was increased
by 7% of outstandings.
The second addition is a $1 billion equipment lease facility backed
by office, medical and telecommunication equipment. The originator,
a division of a highly-rated company, manages finance programs
and originates loans and leases to end-users for vendors of various
equipment categories. Three amortizing pools were added to the
facility, totaling $591 million. The first was a $437
million pool of office equipment leases, backed primarily by copiers
and faxes. The second was a $95 million facility,
backed primarily by medical equipment and the third was a $59 million
facility backed primarily by telecommunication equipment. Transaction-specific
credit enhancement, in the form of a demand note provided by GECC,
equals 15% of the initial loan amount and is fungible across all
pools. This amount will remain fixed throughout the life of the
deal in order to cover any tail-end risk.. As additional
credit enhancement, GECC provides a letter of credit to Edison equal
to 7% of outstandings, with a floor of 1.5%.
Edison also added six pools to an existing equipment and real estate loan
facility. The six new pools, totaling approximately $2.5
billion, consist of equipment leases, franchise finance for
equipment and real estate, small business loans and aircraft loans.
With the addition of these pools, the facility limit increased from
$6.5 billion to $8.5 billion. The current
outstanding amount of the facility is now approximately $8.3
billion. The combination of the pool-specific and program-level
credit enhancement for the new pools equals 17% of the initial
loan amount. With the additional portfolios, the pool-specific
credit enhancement, a demand note issued by GECC, is 10.21%
of outstanding loans, or $861 million. Program-level
credit enhancement, sized at 7% of the outstanding loans,
is in the form of a letter of credit (LOC). The LOC will freeze
at 1.5% of the initial amount to mitigate any tail end risk.
Edison is now authorized to issue $44.380 billion of ABCP.
BMO NESBITT BURNS' FAIRWAY ADDS $104 MILLION DEAL BACKED BY HEALTHCARE
Fairway Finance Corp., a partially supported, multiseller
conduit sponsored and administered by BMO Nesbitt Burns, entered
into a facility to fund $104 million of notes issued by a speculative-grade-rated
healthcare finance company. Proceeds from the notes will fund the
revolving purchases of healthcare loan receivables from middle-market
healthcare companies. The notes consist of a Class A and a Class
B. Approximately $94 million in these Class A Notes are
wrapped by Aaa-rated XL Financial Assurance, whose financial
guaranty insurance policy guarantees scheduled payments of the principal
and interest on the Class A Notes. In the unlikely event of a default
by XL, liquidity for the Class A Notes, which is provided
by BMO, will fund for non-defaulted assets. About
$8 million in Class B Notes is fully supported by a liquidity facility
provided by Prime-1- rated BMO. Fairway is authorized
to issue up to approximately $12 billion of ABCP.
BNP PARIBAS' ELIOPEE LTD PURCHASES JPY 56 BILLION OF JAPANESE STRUCTURED
Eliopee Limited, a partially supported, multiseller
ABCP conduit sponsored by BNP Paribas, has invested in JPY 56 billion
(Euro 490 million equivalent) of the senior tranche of a Japanese asset-backed
transaction. Eliopee issues Billets de Tresorerie
(French ABCP). The transaction is fully supported by a JPY 57.12
billion liquidity facility provided by BNP Paribas ( Aa3/Prime-1).
There is no currency risk associated with this asset addition, since
Eliopee will be issuing yen-denominated Billets de Tresorerie
against this asset. Eliopee is now authorized to issue up to Euro
877 million and JPY 57.12 billion of ABCP.
COMMERZBANK'S FOUR WINDS FUNDING INCREASES ITS PROGRAM AUTHORIZED AMOUNT
TO $10 BILLION AND PURCHASES $80 MILLION INTEREST IN CLO
Four Winds Funding Corp., a partially supported, multiseller
ABCP program sponsored by Commerzbank AG, increased its authorized
issuance amount from $7.5 billion to $10 billion.
Also, Four Winds purchased an $80 million interest in a senior
note of a CLO. The senior note is rated Aaa by Moody's.
Four Winds is authorized to issue up to $10 billion of ABCP.
GENERAL FUNDING LIMITED INCREASES EXISTING ASSET BY $80 MILLION
General Funding Limited, a multiseller, partially supported
conduit which can issue U.S. dollar-denominated Euro
commercial paper and Euro-denominated Billets de Tresorerie,
increased an existing asset by Euro 80 million.
Moody's confirmation of the Prime-1 rating assigned to General
Funding Limited is primarily based upon the full support for the Billets
de Tresorerie (French ABCP) provided by the Prime-1 rated
banks Bayerische Landesbank Girozentrale, Caja Madrid, Credit
Industriel et Commerciel and Rabobank. Support in the form of asset-specific
purchase and sale agreements absorbs all liquidity and credit risk associated
with the underlying assets. General may syndicate the liquidity
facility with other Prime-1-rated banks, subject to
Moody's ratings confirmation. General Funding is now authorized
to issue up to Euro 825 million of ABCP.
BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING PURCHASES $150 MILLION
FLOATING RATE SENIOR NOTE FROM NEW CREDIT ARBITRAGE PROGRAM
Giro Balanced Funding Corp., Bayerische Landesbank's (BLB)
partially supported, multiseller conduit, added a $150
million floating rate senior note to its portfolio. The note,
which is rated Aaa by Moody's, was issued to fund a newly established,
Prime-1-rated synthetic credit arbitrage program.
The senior note is supported by a junior note that represents 0.5%
of the total funding. Giro Balanced Funding is now authorized to
issue approximately $7.5 billion of ABCP.
BAYERISCHE LANDESBANK'S GIRO MULTI-FUNDING ADDS $120.44
MILLION AIRCRAFT LOAN, AND INCREASES FACILITY LIMIT TO $124.01
MILLION IN ANOTHER, EXISTING AIRCRAFT LOAN TRANSACTION
Giro Multi-Funding Corp. (GMFC), Bayerische Landesbank's
(BLB) partially supported, multiseller conduit, has purchased
a $120.44 million interest in an aircraft financing loan
to a European-based airline. The loan will finance the purchase
of three airplanes. The transaction will be fully supported through
liquidity provided by BLB.
GMFC also increased the facility limit in an existing aircraft financing
loan provided to an unrated airline. This approximately $85
million increase in the loan amount will be used to purchase additional
aircraft. The transaction continues to be fully supported by BLB
liquidity. To date, Giro Multi-Funding has $2.8
billion in outstanding ABCP, with program-wide credit enhancement
at $396 million.
ABN AMRO'S GRAND FUNDING II ADDS EURO 262.5 MILLION SUBORDINATE
CLASS OF CLO TRANSACTION
Grand Funding Corp. II, ABN Amro's Prime-2-
rated, multiseller ABCP conduit, added an investment in a
Euro 262.5 million A1-rated Class C Note. The Class
C Note is a subordinate class in a Euro 12.5 billion synthetic
CLO transaction issued by a global P-1/Aa2-rated commercial
Grand II purchased U.S. dollar-denominated loan notes
from a bankruptcy-remote trust ("Trust"), thus funding the
Trust's purchase of the entire Class C Note on the closing date of the
CLO transaction. The principal amount of loan notes purchased by
Grand II is equal to the dollar equivalent of the Euro 262.5 million
Class C Notes on the closing date of the CLO transaction.
A liquidity facility provided by Prime-1-rated ABN Amro
partially supports the loan notes issued by the Trust to Grand II.
A total return swap, between the Trust and ABN Amro as swap counterparty,
covers the Trust's principal and interest obligations on the loan notes
as well as its operating expenses.
Prior to this transaction, Grand II's portfolio was comprised of
investments in two subordinate classes of a CLO transaction. In
December 2001, Grand II's investment in an approximately $310
million Baa1-rated subordinate class of a synthetic CLO transaction
was paid in full. Grand II is currently authorized to issue up
to $630 million in ABCP.
BLB'S INDIGO FUNDING REPAYS SERIE CRYSTAL AND INCREASES SERIE COGEVOLT
TO EURO 871 MILLION
Indigo Funding, Bayerische Landesbank's (BLB), Paris Branch
serialized, partially supported ABCP conduit has repaid in full
all of its outstanding Serie Crystal ABCP. The last repayment date
was November 20, 2001, and the series was terminated on December
3rd. Subsequently, Moody's withdrew its Prime-1 rating.
Meanwhile, Indigo Funding's Serie Cogevolt was increased to Euro
871 million (plus interest) from its previous amount of Euro 577 million.
The ABCP of Serie Cogevolt is fully supported by a liquidity facility
provided by BLB, Paris Branch (Aaa/Prime-1).
BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $87.5 MILLION
REVOLVING TRADE RECEIVABLES TRANSACTION
Liberty Street Funding Corp., Bank of Nova Scotia's partially
supported, multiseller ABCP conduit, added a $87.5
million trade receivables facility. The seller is a manufacturer
of heating, ventilation and air conditioning systems. Liquidity
provided by Prime-1-rated Bank of Nova Scotia fully supports
CREDIT LYONNAIS' LMA PURCHASES NEW ASSETS
LMA S.A., the multiseller, fully supported ABCP
program sponsored by Credit Lyonnais, has added a pool to
the program for a maximum amount of Euro 275 million. An existing
pool was increased and amended. Both asset pools consist of Fonds
Communs de Creances senior units (French ABS). Full liquidity
and credit support is provided through liquidity asset purchase commitments
that ensure that LMA will have sufficient funds to pay maturing French
The support providers for the LMA program are Bayerische Hypo-Und
Vereinsbank (Aa3/Prime-1), Caisse Nationale des Caisses d'Epargne
et de Prevoyance (Aa2/ Prime-1), Commerzbank (Aa3/ Prime-1),
Credit Commercial de France (Aa2/Prime-1), Credit
Industriel et Commercial (A2/ Prime-1), KBC Bank N.V.
(Aa3/ Prime-1), Natexis Banques Populaires (Aa3/Prime-1),
and Rabobank (Aaa/ Prime-1). LMA is currently authorized
to issue Euro 1425 million plus $230 million of ABCP.
SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING UNWRAPS $100 MILLION
INTEREST IN $300 MILLION CO-PURCHASE OF REVOLVING DEALER
FLOORPLAN PURCHASE FACILITY
Manhattan Asset Funding Company LLC (Manhattan), a partially supported,
multiseller conduit sponsored by Sumitomo Mitsui Banking Corporation.
(SMBC) unwrapped its $100 million interest in a club revolving
dealer floorplan receivables purchase facility. The other co-purchasers
in this deal are Bank of Tokyo-Mitsubishi's Victory Receivables
Corp. and Parthenon Receivables Funding LLC.
The facility finances the dealer floorplan receivables of a variety of
equipment, including recreational marine products, motorcycles,
all-terrain vehicles and recreational vehicles, generated
by an unrated financing company. This deal is now partially supported
by a minimum of 12% deal-specific credit enhancement that
will adjust dynamically depending upon asset performance. Also,
10% incremental program-level credit enhancement is provided.
Manhattan is now authorized to issue up to $5 billion of ABCP.
PNC BANK'S MARKET STREET ADDS $50 MILLION CONSUMER CREDIT RECEIVABLES
PNC Bank's Market Street Funding Corp. (Market Street), a
partially supported, multiseller conduit, added a $50
million three-year revolving consumer credit receivables purchase
facility. The receivables are generated from credit sales of an
unrated apparel and home products company. Pool-level credit
enhancement is provided in the form of overcollateralization equal to
a minimum of 32% of the eligible receivables. 10%
incremental program-level credit enhancement is also provided.
Market Street is authorized to issue up to $6.7 billion
of ABCP. Currently, Market Street has about $4.9
billion in outstanding ABCP, with $642.7 million in
program-level credit enhancement.
ING-BARINGS' MONT BLANC IS RESTRUCTURED
Mont Blanc Capital Corp., ING-Barings' partially supported,
multiseller conduit, was restructured. Three major changes
were made. All nine assets formerly in ING's Monte Rosa ABCP program,
representing close to $6 billion in authorized amounts, have
been assigned to Mont Blanc. The floor level of program credit
enhancement was increased to $300 million from $150 million.
Also, a framework to add Euro and floating rate ABCP was incorporated,
subject to rating agency review. All liquidity agreements pertaining
to the assigned assets were also assigned to benefit Mont Blanc..
Unlike Monte Rosa, Mont Blanc's ABCP investors are secured creditors.
Monte Rosa's rating will now be withdrawn as a result of the asset transfers.
Mont Blanc is authorized to issue up to $8.4 billion of
CHASE'S PARCO ADDS $250 MILLION TRADE RECEIVABLES TRANSACTION
Park Avenue Receivables Corp. (PARCO), a partially supported,
multiseller conduit sponsored and administered by The Chase Manhattan
Bank, purchased an interest in a $250 million securitization
backed by trade receivables from a non-investment-grade-rated
supplier of automotive components and systems. The transaction
is supported by dynamic reserves with a floor of 15%, as
well as liquidity provided by Prime-1 rated Chase Manhattan Bank.
ABCP investors in PARCO benefit from program- level credit enhancement
equal to 10% of purchase commitments. The program enhancement
in PARCO also has a $300 million floor. PARCO is now authorized
to issue up to approximately $16 billion of ABCP.
BARCLAYS' SHEFFIELD ADDS $200 MILLION TRADE RECEIVABLES DEAL
Sheffield Receivables Corp., Barclays Bank Plc's partially
supported, multiseller conduit, has entered into a commitment
to purchase up to $200 million of the trade receivables originated
by an unrated electronics distributor. The transaction is supported
by a minimum of 8% deal-specific credit enhancement and
10% program enhancement. The calculation of the pool-specific
overcollateralization is dynamic, depending upon asset performance.
Sheffield may now issue up to $19.2 billion of ABCP.
CIBC'S SPARC ADDS $50.6 MILLION OF WRAPPED CDO NOTES
Special Purpose Accounts Receivable Corp. (SPARC), a partially
supported, multiseller conduit sponsored by Canadian Imperial Bank
of Commerce (CIBC), has added $50.6 million of the
Class A-3 notes in a CDO. The notes are wrapped by a Aaa-rated
monoline. Liquidity provided by Prime-1-rated CIBC
will advance against the monoline guaranty policy, due to the potential
timing mismatch in payments under the policy by the monoline guarantor.
Since the deal is fully supported, no incremental program credit
enhancement will be added.
BNP PARIBAS' STARBIRD FUNDING CORP. INCREASES PROGRAM LIMIT TO
Starbird Funding Corp., the partially supported, multiseller
ABCP conduit sponsored by BNP Paribas (Aa3/Prime-1/B), increased
its program limit from $2 billion to $5 billion.
The conduit is also a credit arbitrage ABCP program. Starbird issues
ABCP to invest in asset-backed securities initially rated Baa3
or higher, and to purchase or finance trade, term and other
receivables. The increase in program limit was made in anticipation
of future deal flow. Starbird currently has $1.16
billion in total commitments.
BNP PARIBAS' THESEE ADDS TRADE RECEIVABLES POOL
Thesee Limited, a partially supported, multiseller ABCP conduit
sponsored by BNP Paribas, has invested in Euro 150 million of trade
receivables originated by an European chemical corporate. Thesee
issues Billets de Tresorerie (French ABCP). The transaction
is fully supported by a liquidity facility provided by BNP Paribas (Aa3/Prime-1).
Thesee is now authorized to issue up to Euro 1.422 billion of ABCP.
ROYAL BANK OF CANADA'S THUNDER BAY FUNDING INC. UNWRAPS $75
MILLION INTEREST IN REVOLVING TRADE RECEIVABLES PURCHASE FACILITY
Thunder Bay Funding Inc. (Thunder Bay), Royal Bank of Canada's
partially supported, multiseller ABCP program, unwrapped its
$75 million interest in a revolving trade receivables purchase
facility. The facility finances the trade receivables of an investment-grade
truck leasing and transportation logistics provider company and its subsidiaries.
Now that it has been unwrapped, the deal is partially supported
by a minimum of 6.5% deal-specific credit enhancement
that will adjust dynamically depending upon asset performance.
Also, incremental program-level credit enhancement of 10%
of purchased receivables is provided. Thunder Bay is authorized
to issue up to $3.6 billion of ABCP. Currently,
Thunder Bay has about $ 2.6 billion in outstanding ABCP,
with $1.1 billion in program-level credit enhancement.
ABN AMRO'S TULIP EURO FUNDING CORP. ADDS EURO 1.25 BILLION
PORTFOLIO OF TELECOM RECEIVABLES
Tulip Euro Funding Corp., the fully supported, multiseller
ABCP conduit administered by ABN AMRO Bank N.V. (ABN AMRO),
has added a facility of Euro 1.25 billion to finance receivables
originated by a German telecommunications company. This transaction
was funded by Tulip's Euro funding vehicle. (Tulip program also
has another issuer: Tulip Funding Corp., which issues
U.S. dollar-denominated ABCP and ECP (European commercial
Tulip's ABCP is fully supported through both liquidity, for 90%,
and a standby letter of credit, for 10%. The letter
of credit is provided by Prime-1-rated ABN AMRO.
The letter of credit serves as both liquidity and credit enhancement.
Tulip is now authorized to issue approximately $8.4 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.
Structured Finance Group
Moody's Investors Service
Letitia J. Hanson
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service