New York, January 09, 2004 -- MOODY'S IMPROVES ACCESS TO ABCP RESEARCH
On January 7, Moody's Investors Service rolled out an important
improvement to the ABCP homepage on Moodys.com. Among other
improvements, all of the research associated with a conduit can
now be accessed through an alphabetical list of program names.
"Research" on the ABCP home page now includes a new topic called "Market
Reviews and Performance Overviews." This topic includes a page
which lists all of the Moody's-rated ABCP programs with market
reviews and performance overviews in alphabetical order. In addition,
a drop-down menu allows the user to restrict the list of programs
to specific types, including multiseller, single-seller,
hybrids, SIVs, as well as loan-backed and securities
The new page also has links to related ABCP research, including
the ABCP program index and all of the ABCP Market Snapshots, Special
Comments and quarterly Market Reviews for the past six months.
If you have any questions or comments, please contact David Little
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT
PRIME-1 DURING THE PERIOD DECEMBER 19, 2003 THROUGH JANUARY
MOODY'S AFFIRMS RATINGS OF CIBC-SPONSORED CONDUITS
Moody's has affirmed the Prime-1 rating of Special Purpose Accounts
Receivable Corp. (SPARC), Asset Securitization Capital Company,
LLC (ASCC), Superior Funding Capital Coroporation (Superior),
Great Lakes Funding Capital Corporation (Great Lakes), Asset-Backed
Securitisation Corp. Ltd. and ABSC Capital Corporation,
Inc. (together "ABSC"), all partially supported, multiseller
conduits sponsored by Canadian Imperial Bank of Commerce (CIBC,
On December 22, 2003, CIBC agreed to settle with US and Canadian
regulators with respect to its involvement with Enron Corp. As
part of the settlement, CIBC has agreed not to administer or sponsor
receivable conduits in the United States, United Kingdom or Australia
for three years beginning in December 2003. The agreement does
permit existing conduits to be wound down or sold in an orderly fashion
in the normal course of business.
The ratings of both conduits are affirmed for the following reasons:
the settlement terms do not affect the underlying transactions funded
by the conduits, so their credit quality remains unchanged;
the settlement permits CIBC to continue providing the same level of operational,
credit and liquidity support as before, under the terms of CIBC's
various agreements with the conduits; CIBC's corporate ratings remain
unchanged at Aa3 senior unsecured, Prime-1 short-term
and B- bank financial strength; and the program credit enhancement
provided for the conduits remains unchanged.
Moody's will continue to monitor the performance of these conduits and
the relevant support parties, as we monitor the performance of all
conduits that carry a Moody's rating.
MULTICONDUIT MORTGAGE WAREHOUSING FACILITY AMENDED
An $8.116 billion dollar warehouse facility that has been
syndicated to a number of ABCP conduits has been amended.
The originator of the mortgages is an unrated residential mortgage finance
company whose parent is rated A3, but who does not offer any support
to the transaction. The warehouse facility is used to finance two
lines of the company's business.
The first line involves short-term lending to mortgage bankers.
The advances to the mortgage bankers are secured by recently originated
mortgage loans. As before, eligibility requirements limit
the concentration of financially weaker borrowers in the loan pool.
Second, collateral eligibility requirements maintain the overall
credit quality of the second line of defense against loss, the underlying
mortgage collateral. Third, a percentage of the collateral
must be subject to guaranteed purchase agreements from third parties.
These protections are augmented by the credit enhancement in the transaction.
Liquidity banks fund against the receivables to the extent that they are
less than 60 days past due.
The company's second line of business is the securitization of mortgage
loans it purchases directly from loan originators or in the whole-loan
market. The company uses the warehouse finance facility to fund
the mortgages prior to an MBS securitization. The warehouse finance
line is used to finance a variety of residential mortgage products.
Credit enhancement supporting the mortgage finance pool takes two forms.
Here again, enhancement for this part of transaction was formerly
a single number applicable to all assets based on concentration limits
or buckets of certain types of assets that were permitted. Now
the enhancement is assessed against each individual asset type in the
amounts necessary to achieve Prime-1 ratings. In addition,
since after the restructuring of the transaction the liquidity facilities
are no longer absorbing market value risk, market value haircuts
have been assessed against the collateral to protect investors' interests.
Liquidity banks fund against the mortgages to the extent that they are
less than 60 days past due.
The conduit participants include Barclays plc's Sheffield Receivables
Corp. ($1.241 billion), Societe Generale's
Asset One Securitization, LLC (not rated by Moody's) and Barton
Capital Corp. ($1.5 billion); ABN AMRO N.V.'s
Amsterdam Funding Corp. and Windmill Funding Corp, ($700
million); Bank One, N.A.'s PREFCO ($375
million); West LB AG's Compass US Acquisition, LLC and Paradigm
Funding LLC ($1.1 billion); CIBC's Asset Securitization
Capital Company, LLC ($500 million); Royal Bank of Canada's
Old Line Funding Corp. ($800 million), Bank of America's
Receivables Capital Company, LLC ($1.050 billion);
Citicorp North America, Inc.'s CRC Funding, LLC and
CHARTA, LLC ($350 million), and BNP Paribas' Starbird
Funding Corp.) ($500 million).
ASCC AND SPARC CONVERT TO LIMITED LIABILITY COMPANIES
Moody's has confirmed the Prime-1 rating of Asset Securitization
Cooperative Corp., now Asset Securitization Capital Company,
LLC, and Special Purpose Account Receivables Corp.,
now SPARC, LLC, after taking into account their conversion
to Delaware LLCs. The conduits' bankruptcy remoteness is unaffected.
HSBC'S BRYANT PARK AND DEUTSCHE BANK'S TAHOE FUNDING ADD CLASS A AND CLASS
B VARIABLE FUNDING CERTIFICATES FROM CREDIT CARD MASTER TRUST
Bryant Park Funding LLC ("Bryant Park"), HSBC's (Aa3/Prime-1/B-)
multiseller ABCP conduit and Tahoe Funding Corp ("Tahoe"), Deutsche
Bank's (Aa3/Prime-1/B-) ABCP conduit, purchased an
A2-rated $182,291,667 Class A Certificate and
a Baa2-rated $17,798,333 Class B Certificate
that is part of a $1 billion series issued out of a master trust.
The collateral in the trust is backed by a pool of credit card receivables
originated by a B2-rated financial company that was recently acquired
by a financial institution.
Credit enhancement for the Class A Certificates is provided by subordinated
Class B Certificates and Class C Certificates, which offer first-loss
protection and must always equal at least 12.5% of the invested
amount. The Class B Certificate is supported by subordination from
the Class C Certificate in an amount equal to 4% of the invested
amount. It also benefits from a funded dynamic spread account,
which is sized at 1% of the invested amount initially. It
will fluctuate if excess spread deteriorates.
Liquidity facilities are provided by Prime-1-rated HSBC
and Deutsche Bank for each of their respective investments. For
each conduit's investment in the Class A Certificate, the liquidity
facility funds against good assets. The liquidity facility includes
structural protections for the Class B Certificate that limit the time
ABCP investors are exposed to losses.
Program-wide credit enhancement for each of Bryant Park and Tahoe
was increased by 8% of purchase commitments for the Class A and
Class B Certificates. In Moody's opinion, the additional
program enhancement will bring the Class A Certificate up to a level consistent
with Prime-1. The Class B Certificate is relying on the
program enhancement as well as structural protections to achieve a level
consistent with Prime-1.
SOCIETE GENERALE'S ANTALIS ADDS TWO RECEIVABLE POOLS AND AMENDS TWO EXISTING
In Paris, Moody's has confirmed the Prime-1 rating of Antalis
SA, the multiseller, partially supported ABCP program sponsored
by Societe Generale (Aa3/Prime-1/B).
This rating action follows two pool additions and amendments to two existing
The first pool addition is a GBP 160 million transaction backed by trade
receivables originated by a UK-based industrial company.
Pool-specific credit enhancement is based on a dynamic formula,
subject to a floor of 8%. The second portfolio finances
insurance premiums of French subsidiaries of a large European insurance
company for a maximum purchase limit of EUR 175 million. The obligors
are multi-sector French corporate entities, but the pool
includes some larger exposure to bank obligors, including Societe
Generale. The pool-specific credit enhancement
is sized as a percentage of receivable balances that are added on a quarterly
basis. Minimum credit enhancement is 6%. Concentration
limits have been also included, but they do not apply to Societe
Generale as obligor. Both transactions rely on pool-specific
liquidity facilities provided by Societe Generale
(Aa3/Prime-1), sized at 102.5% of commitments.
They fund against non-defaulted assets. In addition,
Antalis' program-wide credit enhancement has been increased by
8% of those deals' purchase limits.
In addition, an existing transaction has been renewed and amended
to incorporate a new seller. This relates to a pool of trade receivables
originated by an Italian dairy products company. The size of the
deal has been slightly increased by EUR 30 million to EUR 90 million.
In addition, two existing deals involving a single pool of French
trade receivables in the electronic sector with the same seller have been
restructured to create a single deal. There has been no change
in the pool performance as a whole. The deal benefits from a loss
reserve subject to a floor of 8%. A liquidity facility provided
by Societe Generale still funds for non-defaulted
assets. As in all Antalis programs, performance triggers
act as cease-issuance triggers.
Antalis is now authorized to issue up to EUR 5.06 billion of ABCP.
SOCIETE GENERALE'S BARTON PURCHASES $100 MILLION VARIABLE FUNDING
Societe Generale's (Aa3/Prime-1/B) Barton Capital Corp.
has purchased a $100 million variable funding note (VFN) backed
by credit card receivables. It is explicitly rated Aaa, due
to a financial guaranty policy from FSA. A liquidity provided by
Societe Generale funds the face amount of ABCP unless an insurer default
has occurred. If an insurer default occurs, then the liquidity
facility will fund against an asset balance concept that will subtract
from Barton's investment any chargeoffs to the series. Barton is
now authorized to issue up to $12.7 billion of ABCP.
JPMORGAN-ADMINISTERED ABCP CONDUIT CONVERTS TO LIMITED LIABILITY
COMPANY AND ISSUES PREFERRED EQUITY INTERESTS
Delaware Funding Corp., JPMorgan Chase Bank's (Aa3/Prime-1)
partially supported, multiseller ABCP conduit, has converted
to a limited liability company and from now on will be known as Delaware
Funding Company, LLC ("DFC"). It has also amended its program
to allow for the issuance of preferred equity interests (units).
The preferred units are fully subordinated to any ABCP issued by DFC.
Interest and principal may be paid on the preferred units only if there
are funds in excess of amounts needed to repay ABCP. The investors
in the preferred units have agreed to the normal limitations on recourse
and bankruptcy claim rights that are found in ABCP conduit documentation.
FLEETBOSTON'S EAGLEFUNDING ENTERS INTO $200 MILLION FUNDING AGREEMENT
EagleFunding Capital Corporation, a partially supported, multiseller
ABCP conduit sponsored by FleetBoston (A1/Prime-1), entered
into a $200 million funding agreement to finance an A3-rated
insurance company. The funding agreement is collateralized by a
diverse, U.S. dollar-denominated fixed income
portfolio. A liquidity facility provided by Prime-1-rated
Fleet National Bank effectively fully supports the funding agreement facility.
Program-level credit enhancement for EagleFunding was increased
by 5% of the purchase commitment. With the addition of the
transaction, EagleFunding is authorized to issue up to $4.4
billion in ABCP.
EIFFEL FUNDING AMENDS PROGRAM TO ISSUE SUBORDINATED NOTES AND ADDS SEVERAL
Eiffel Funding, LLC, CDC Financial Products, Inc.'s
(Aaa/Prime-1) partially supported, multiseller conduit,
has amended its program to allow for the issuance of subordinated notes
in the amount up to $2.5 million. The notes are fully
subordinated to any ABCP issued by Eiffel. Interest and principal
may be paid on the notes only if there are funds in excess of amounts
needed to repay ABCP. The subordinated note holders have agreed
to the normal limitations on recourse and bankruptcy claim rights that
are found in ABCP conduit documentation.
Eiffel has also added five new asset interests from two separate facilities
and amended an existing subscription loan facility. Two of the
new interests are unrated classes of variable funding notes totaling $350
million that are part of the same series issued out of a master trust.
The collateral backing the notes consists of consumer loans originated
and serviced by an A1/Prime-1-rated finance company.
The loan pool includes closed-end and revolving loans that are
either personal unsecured loans or personal homeowner loans. The
first note, totaling $297 million, is the most senior
note of the series and is supported by subordination equal to 52.4%.
Moody's reviewed this note and has determined that it is consistent with
a Prime-1 rating. The second note, totaling $52.5
million, is supported by subordination equal to 44%.
In order for this note to be consistent with a Prime-1 rating,
investors are relying on both program-wide credit enhancement and
structural protections that reduce credit risk. Program-wide
credit enhancement will increase by 10% of outstandings for each
The remaining three asset interests added are a Aaa-rated Class
A-1 note that is fixed at an amount equal to $50 million,
a Aaa-rated Class A-2 revolving note for up to $75
million and a Aa3-rated variable funding note for $50 million.
Each note is part of a CDO structure secured primarily by senior secured
loans and some distressed assets. Program-wide credit enhancement
will not be increased for the Class A-1 and Class A-2 notes
due to the high credit quality of the notes. However, the
amount of program enhancement will increase by 10% of outstandings
against the variable funding note.
Lastly, there was an amendment to an existing subscription loan
facility to permit Eiffel to make loans in Euro, Sterling or US$.
ABCP would still be issued in either the US or Euro market. A hedge
is in place to convert ABCP proceeds into the appropriate currency of
the loan. Prior to the amendment loans were denominated solely
in U.S. dollars. Since liquidity facilities protect
investors against all currency risk, this change to the facility
will not increase risk to the ABCP investor.
HUDSON CASTLE'S FENWAY FUNIDNG PURCHASES $230 MILLION CLO
Moody's has affirmed the Prime-1 rating of Fenway Funding LLC,
Hudson Castle's fully supported multi-seller conduit issuing Secured
Liquidity Notes ("SLNs"), upon its commitment to purchase up to
$230 million of a collateralized note obligation. The conduit
is administered by Deutsche Bank Trust Company Americas (A1/Prime-1/C).
The SLNs have an expected maturity date of up to 90 days, and a
legal final maturity date of 390 days. The maturity of the SLNs
can be extended on the expected maturity date if funds are insufficient
to repay the notes. A liquidity facility provided by Prime-1-rated
General Electric Capital Services, Inc. fully supports the
facility at legal final maturity. Unlike conventional ABCP transactions,
the liquidity provider will know by 300 days in advance, or on the
expected maturity date, that it will be required to fund up to its
commitment on the legal final maturity of the extended SLNs. Fenway
has no program credit enhancement. Fenway is authorized to issue
up to $5 billion in SLNs.
DEUTSCHE BANK'S GEMINI PURCHASES ABCP FROM SISTER CONDUITS SEDONA FUNDING
CORP. AND TAHOE FUNDING CORP. TOTALING $1.83
BILLION AND Aaa-RATED STUDENT LOAN-BACKED BOND AMOUNTING
TO $100 MILLION
During the period from December 12 to 20, 2003, Deutsche Bank's
Gemini Securitization Corp. (Aa3/Prime-1/B-) purchased
a total of $1.83 billion of ABCP from sister conduits.
The ABCP is backed by several asset interests. These assets include
two unrated variable funding certificates amounting to $200 million.
The certificates are issued by a trust backed by prime-quality
credit card receivables. Subordination for the senior certificate
is 12.5%, while for the senior subordinated certificate
it is 6.5%. Subordination takes the form of a junior
variable funding certificate and a funded spread account.
Another purchase was a $500 million residential mortgage facility
to a mortgage financing company. The facility is fully supported
by a liquidity facility provided by Deutsche Bank.
Other assets include $80 million of Aaa-rated senior secured
floating rate notes issued by a newly established trust, where the
underlying assets are collateralized debt obligations and $300
million of Class A certificates issued by a master trust and backed by
consumer loans. The latter purchase was made with full liquidity
support provided by Deutsche Bank.
Also, four notes aggregating $500 million were issued by
a warehouse facility backed by federally guaranteed student loans.
The notes were explicitly rated Aaa and A2. Pool credit enhancement
for the Class A note consists of the subordinated Class B note,
which is 5%. Both classes also benefit from a funded reserve
account of 0.5% and a capitalized interest account based
on the percentage of unsubsidized Stafford loans. As the loans
are federally guaranteed, 98% of the repayment of the principal
and interest of the loans will be guaranteed by the federal government.
Finally, an incremental increase of $250 million was made
to senior and subordinate warehouse notes issued by a student loan backed
warehouse facility through March 1, 2004.
Subsequently, Gemini's co-purchase share increased to a total
of $570 million. After March 1, its co-purchase
share will drop back to $350 million.
Gemini also directly purchased a $100 million Aaa-rated
private student loan-backed bond issued by a new indenture.
The bond carries a financial guaranty insurance policy from Ambac,
a Aaa-rated monoline insurer.
As of December 31, 2003, the total commitment for Gemini was
at $9.5 billion with $5.1 billion of ABCP
outstanding. Of those amounts, Sedona has $3.1
billion in total commitments with $1.6 billion in outstandings,
and Tahoe has $2.6 billion in commitments and $1.5
billion in outstandings. Gemini program credit enhancement is $575
million, with a floor of $250 million.
BLB'S GIRO MULTI-FUNDING AND BANK OF NOVA SCOTIA'S LIBERTY STREET
ADD $300 MILLION CREDIT CARD DEAL
Giro Multi-Funding Corp (GMFC), a partially supported,
multiseller conduit sponsored and administered by Bayerische Landesbank,
New York Branch (Aaa/Prime-1/D+), and The Bank of Nova
Scotia's (Aa3/Prime-1/B) Liberty Street Funding Corp. (Liberty
Street), another partially supported, multiseller conduit,
have purchased $100 million and $200 million, respectively,
of credit card participation certificates issued by a private, unrated
master trust. The certificates are backed by credit card receivables
originated by a major bank that is rated investment-grade by Moody's.
This transaction is partially supported; the subordination level
for the Participation Certificates is 6%, and takes the form
of a letter of credit provided by a Prime-1-rated bank.
The deal is structured so that upon the occurrence of any early amortization
event, GMFC will cease issuing ABCP and fund the transaction through
a liquidity facility provided by Prime-1-rated BLB.
GMFC, which owns two other transactions backed by consumer loans,
is now authorized to issue up to $3.6 billion of ABCP.
Liberty is authorized to issue approximately $6 billion of ABCP.
STANFIELD'S MICA ADDS SECOND GLOBAL SWAP FACILITY.
Mica Funding LLC, a partially supported, multiseller ABCP
conduit sponsored by Stanfield Global Strategies (unrated), added
its second global swap facility. The facility permits the purchase
of up to $2 billion of securities. This facility is fully
supported by a total return swap provided by a major United States bank
that is rated Aa3/Prime-1.
With the addition of this transaction, Mica is currently authorized
to issue approximately $7 billion of ABCP. It has no program-level
credit enhancement, because all but two transactions are fully supported
by liquidity facilities.
WESTLB'S PARADIGM FUNDING ADDS SIX INTERESTS TOTALING $260.71
Paradigm Funding LLC (Paradigm), a partially supported, multiseller
conduit, has acquired three unrated credit card-backed investments,
an interest in an unrated secured note backed by credit card receivables
and an A1-rated and A2-rated credit-card backed investment
from Montauk Funding Corp. Both conduits are administered by WestLB
AG (Aa1/Prime-1/E, bank long-term deposit rating on
review for possible downgrade).
Two unrated credit card investments, for $37.5 million
and $48.53 million, are supported by 2.58%
deal-specific enhancement provided through the liquidity facility
as well as 10% incremental program-level credit enhancement.
The third unrated credit card transaction, a $37.55
million investment, benefits from 6.0% deal-specific
enhancement provided through the liquidity facility and 10% incremental
program-level credit enhancement. In these three transactions,
the risk to ABCP investors is minimized through a short ABCP tenor and
very strong ABCP cease issuance events and other structural provisions.
The $44.94 million interest in a secured note trust transaction
backed by credit-card receivables is supported by a financial guaranty
insurance policy from Aaa-rated XL Capital Assurance Inc.
(XL Capital) and is fully supported by the liquidity facility, as
long as XL Capital is not rated below Caa3 by Moody's or is insolvent.
Paradigm also acquired a $32.18 million interest in an A1-rated
credit card-backed investment that benefits from 6% subordination,
2.5% deal-specific enhancement as well as 10%
incremental program-level credit enhancement. Finally,
it acquired $60 million in an A2-rated credit card-backed
investment that benefits from 7.5% subordination,
2.5% deal-specific enhancement provided through the
liquidity facility, and 10% incremental program-level
Paradigm has about $7.54 billion in outstanding ABCP,
with nearly $711.71 million in program-level credit
enhancement. Paradigm is now authorized to issue about $9.06
billion of ABCP.
ROSY BLUE AMENDS PROGRAM DOCUMENTS TO ALLOW ISSUANCE OF EURO-DENOMINATED
Rosy Blue International SA (Rosy Blue), a fully supported,
single-seller conduit administered by JPMorgan Chase (Aa3/Prime-1/B),
has amended its program documents to allow for the issuance of Euro-denominated
ABCP Notes ("Euro CP"). The program is a revolving facility backed
by trade receivables generated by four wholly owned subsidiaries of Rosy
Blue Finance SA. The US-denominated Euro ABCP Notes are
fully supported by liquidity provided by KBC Bank NV (Aa3/Prime-1/B).
Liquidity for the Euro CP consists of spot and forward swap transactions
provided by Prime-1-rated KBC Bank, as swap counterparty.
These arrangements fully support the Euro CP Notes. The spot and
forward swap transactions settle on the related issuance and maturity
dates, respectively, of the Euro CP. The exchange rate
for these swap transactions is set on the spot settlement date,
which is the date the Euro CP is issued, and ensures that there
will be sufficient funds paid by the swap counterparty on the forward
settlement date to pay maturing Euro CP in full.
Rosy Blue is authorized to issue up to $150 million of ABCP.
SEVEN HILLS FUNDING CORP. AMENDS PROGRAM AND REMOVES INTEREST RATE
Seven Hills Funding Corp. a partially supported, single-seller
ABCP program sponsored by Federated Department Stores Inc. (Baa1/Prime-2)
recently amended its program and removed an interest rate swap in its
liquidity agreements. Upon Moody's review of the documents and
the structure of the conduit's program, it was determined that the
removal of the interest rate swap would not result in an increase or a
change in the risk to ABCP investors. The only asset in the conduit
is a Aa1-rated Class A certificate issued out of the Prime Credit
Card Master Trust. As of November 30, 2003, the conduit
had no outstanding ABCP.
DRESDNER BANK'S SILVER TOWER FUNDING LIMITED ADDS EUR 150 MILLION TRADE
Silver Tower Funding Limited, a Prime-1-rated,
multiseller, partially supported ABCP conduit sponsored by Dresdner
Bank AG (A1/Prime-1/C-), has added a EUR 150 million
facility to its portfolio.
In the transaction, Silver Tower Funding makes advances under a
commissioning agreement to a purchasing company, Master Finance
Inc., which finances trade receivables originated within
the computer hardware and software sector on a revolving basis.
The debtors of the underlying portfolio reside in various European countries.
Obligor concentration is mitigated through commercial credit insurance,
which covers the largest of the obligors.
Pool-specific credit enhancement is provided in the form of a 1.5%
purchase discount; a cash reserve that is the greater of (i) 1.5%
of actual purchase amount and (ii) EUR 1.2 million; and a
subordinated loan of 10% of the actual purchase amount.
The transaction benefits from default and delinquency triggers.
Such trigger events result in the termination of receivable purchases
and the cessation of ABCP issuance followed by a put to the liquidity
facility. Dresdner Bank AG (Prime-1/A1/C-) provides
a liquidity faciilty which funds for non-defaulted receivables.
With this addition, Silver Tower Funding is now authorized to issue
ABCP up to approximately EUR 15 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
MOODY'S ABCP RATING ACTIONS FOR THE TWENTY-ONE DAY PERIOD ENDED JANUARY 8, 2004
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service