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03 Dec 2001
MOODY'S ASSIGNS RATINGS OF Aa2 TO ABC SECURITIES ISSUED BY AMBAC-LINKED DUTCH HARBOR FINANCE SUB-TRUSTS I, II, III AND IV
Approximately $400.0 Million of Debt Securities Affected.
New York, December 03, 2001 -- Moody's Investors Service has assigned Aa2 ratings to Asset Backed Capital
Commitment Securities (ABC Securities) issued by Dutch Harbor Finance
Sub-Trusts I, II, III and IV (the Sub-Trusts).
Each Sub-Trust is issuing $100 million in perpetual ABC
securities, representing four separate series of the newly created
Delaware business trust, Dutch Harbor Finance Master Trust.
The Master Trust and Sub-Trusts were created for the primary purpose
of issuing ABC securities, investing the proceeds in high quality
commercial paper and providing Ambac Assurance Corporation (Ambac Assurance)
with a put option for selling to the Sub-Trusts the perpetual preferred
stock of Ambac Assurance. The Aa2 ratings are, therefore,
based on the high quality of commercial paper investments held by the
Sub-Trusts, coupled with the investment quality of Ambac
Assurance's preferred stock given its option to sell such stock to the
Sub-Trusts at its sole discretion at any time.
According to Moody's, the Aa2 ratings on the Sub-Trusts are
supported by eligible asset guidelines stating that, prior to Ambac
Assurance exercising its put, each Sub-Trust will invest
solely in P-1 rated commercial paper maturing no later than the
auction date for the next succeeding distribution period (typically 28
days). Furthermore, for a Sub-Trust to invest in the
commercial paper of any single issuer (i.e., non-asset-backed
commercial paper), the issuer's long-term senior unsecured
rating must be rated A1 or higher by Moody's. If Ambac Assurance
chooses to exercise its put option, the Sub-Trust will use
the portion of the proceeds attributable to principal received upon maturity
of its then current eligible assets, net of expenses, and
then transfer such proceeds to Ambac Assurance in exchange for the Ambac
preferred stock. The Sub-Trust will then distribute the
Ambac preferred stock to the holders of the ABC Securities and liquidate.
Consequently, the rating of the ABC securities is a reflection of
both the eligible asset guidelines of the Sub-Trusts prior to any
conversion by Ambac Assurance, as well as the rating of Ambac Assurance's
perpetual preferred stock should the put be exercised. Any preferred
stock issued by Ambac Assurance would be non-cumulative unless
Ambac Assurance pays dividends on its common stock, during which
time the dividends on its preferred stock would be cumulative.
Moody's provisional rating assessment of Ambac Assurance's preferred stock
should such stock be issued is Aa2, based on the limited risk characteristics
of the company's core business, its strong capital base, solid
underwriting and surveillance efforts, and profitable financial
results. Moody's also noted Ambac's well-diversified and
high-quality insured portfolio, which totaled approximately
$297 billion in net par outstanding as of June 30, 2001.
If the put were exercised, the preferred stock holdings of Ambac
Assurance would give investors the rights of an equity investor in Ambac
Assurance. Such rights are subordinate to insurance claims,
as well as to the general unsecured creditors of Ambac Assurance.
The Dutch Harbor Finance Master Trust is a newly organized Delaware business
trust sponsored by Merrill Lynch. The Master Trust has organized
four separate Sub-Trusts, Dutch Harbor Finance Sub-Trust
I, II, III and IV, with each Sub-Trust issuing
one series of ABC Securities. Each Sub-Trust is solely responsible
for its obligations, and has been established for the purpose of
issuing a series of ABC Securities, investing the proceeds in a
portfolio of high quality commercial paper, entering into a put
agreement with Ambac Assurance, and purchasing at the option of
Ambac Assurance the perpetual preferred stock of Ambac Assurance.
The trusts were created as a vehicle for providing capital support to
Ambac Assurance by allowing it to obtain immediate access to new capital
at its sole discretion at any time through the exercise of the put options.
Ambac Assurance Corporation is a financial guaranty insurance operating
company headquartered in New York City. The company provides credit
enhancement to transactions originated by U.S. municipalities,
U.S. asset-backed securitizations and international
asset-backed, local government and infrastructure transactions.
Ambac Assurance is the principal operating subsidiary of Ambac Financial
Group, Inc., a publicly-held holding company
which owns 100% of the common stock of Ambac Assurance.
Through other subsidiaries, Ambac Financial Group also offers various
complementary services, such as municipal investment agreements,
interest rate swaps, and investment management. Moody's maintains
a Aaa insurance financial strength rating on Ambac Assurance Corporation
and a Aa2 senior unsecured debt rating on Ambac Financial Group,
Financial Institutions Group
Moody's Investors Service
Senior Vice President
Financial Institutions Group
Moody's Investors Service
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.
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