Moody's ABCP rating actions ending March 3, 2008
New York, March 06, 2008 -- MOODY'S PUBLISHES U.S. AND CANADIAN ABCP YEAR IN REVIEW
Moody's has published its annual U.S. ABCP year in
review report entitled, "2007 Review and 2008 Outlook:
U.S. Asset-Backed Commercial Paper."
This report provides commentary on the events that characterized the U.S.
ABCP market in 2007 as well as an outlook for 2008. Moody's
has also published its first ever Canadian year in review report following
its rating of several Canadian ABCP programs. This report is entitled,
"Canadian ABCP: 2007 Year in Review and Overview," and provides
an overview of the Canadian ABCP market in 2007. Both reports can
be found with Moody's other ABCP special reports at www.moodys.com.
MOODY'S PUBLISHES ABCP AND FINANCIAL GUARANTORS SPECIAL COMMENT
Moody's has published a special comment report on ABCP and financial
guarantors. The report discusses the role of financial guarantors
in the ABCP market as well as the potential impact of recent rating actions.
The report is entitled, "ABCP and Financial Guarantors,"
and can be found at www.moodys.com.
MOODY'S PUBLISHES 1Q08 ABCP PROGRAM INDEX
Moody's has published its ABCP Program Index with information through
December 31, 2007. This report is published quarterly and
is available at www.moodys.com.
Moody's ABCP rating actions for the seven-day period ended March
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD FEBRUARY 26, 2008 THROUGH MARCH 3, 2008:
BNP PARIBAS' ELIOPEE RENEWS AND AMENDS EXISTING TRANSACTION
Eliopee Limited ("Eliopee"), a partially supported, multiseller
ABCP conduit sponsored by BNP Paribas (Aa1/Prime-1/B), has
renewed and amended an existing transaction in its portfolio. The
facility was renewed for another five years and the purchase limit was
reduced to Euro 70 million from Euro 88 million.
This transaction consists of Euro 70 million of notes issued by a bankruptcy-remote
Dutch SPV and is backed by trade and contract receivables originated by
a French company in the textiles business. The underlying contract
and trade receivables are originated in various countries worldwide.
The underlying notes were previously privately rated by Moody's.
The structure included cease issuance triggers linked to the private rating
of the notes and an ABCP tenor limitation. Following the amendments
to the structure, the renewed underlying notes are no longer rated
and the cease issuance triggers have been removed.
Transaction-specific credit enhancement in the form of overcollateralisation
and a cash reserve is calculated separately for the contract receivables
and for the invoice receivables. Both calculations are based on
a dynamic formula subject to a floor amount. This transaction includes
obligor concentration limits, both on an individual basis and on
a cumulative basis. Commingling and true sale risks are strongly
mitigated by the structural features of the transaction.
In addition, the transaction has several termination events,
including pool performance triggers and events tied to the originator.
These triggers on the originator would result in an early amortization
of the facility and a replacement of the servicer by the back-up
servicer, who was designated at the transaction's initial closing.
Despite these structural mitigants, the performance of the transaction
remains linked to a certain degree to the credit quality of the originator
due to its need to perform the contract receivables in various countries.
This transaction is partially supported by a liquidity facility provided
by Prime-1-rated BNP Paribas. The liquidity facility
funds for non-defaulted and non-diluted assets.
Eliopee is authorized to issue up to approximately Euro 2.5 billion
of ABCP and has Euro 99 million in programme-level credit enhancement.
JPMORGAN CHASE'S JUPITER AMENDS PROGRAM ENHANCEMENT STRUCTURE
Jupiter Securitization Company LLC ("Jupiter"), a partially supported,
multiseller ABCP program sponsored by JPMorgan Chase Bank ("JPM,"
rated Aaa/Prime-1/B+), has amended its program-level
credit enhancement structure and increased the floor to $500 million.
The amendment went into effect at the end of December 2007.
Jupiter's program-level credit enhancement is provided by
the combination of a letter of credit issued by JPM and a surety bond
provided by Aaa-rated Ambac. If drawn, the JPM letter
of credit would be repaid on a fully subordinate basis. The surety
bond is drawn only after the letter of credit is exhausted and funds only
for the shortfalls between the amounts of funds that liquidity banks are
obligated to pay under the transaction-specific liquidity facilities
and the amount of the respective investment under the associated receivable
facilities. The program enhancement floor of $375 million
has been increased to $500 million.
Jupiter currently has $18.3 billion in total purchase commitments,
$14.7 billion in outstanding ABCP, and $1.45
billion in program-level credit enhancement. The conduit
has a program size of $30 billion.
PNC BANK'S MARKET STREET ADDS $250 MILLION STUDENT LOAN FACILITY
Market Street Funding LLC ("Market Street"), a partially supported,
multiseller ABCP conduit sponsored by PNC Bank (Aa3/Prime-1/B),
has added a $250 million student loan facility to its portfolio.
The transaction is part of an existing $500 million student loan
warehouse facility established to finance FFELP loans. The FFELP
loans are currently 97% guaranteed by the federal government.
Transaction-specific credit enhancement is in the form of advance
rates, which vary depending on the type of FFELP loans. In
addition, the transaction benefits from a cash reserve account sized
at 0.25%. This transaction is partially supported
by a liquidity facility provided by Prime-1-rated PNC Bank.
With this transaction, Market Street increased its program-level
credit enhancement by 10% of its commitment. Market Street
has about $8.4 billion in total purchase commitments and
$723.6 million in program-level credit enhancement.
THE FOLLOWING ABCP PROGRAM WAS DOWNGRADED DURING THE PERIOD FEBRUARY 26,
2008 THROUGH MARCH 3, 2008:
THORNBURG MORTGAGE INC.'S THORNBURG MORTGAGE CAPITAL RESOURCES
Moody's has downgraded the secured liquidity notes ("SLNs") and extended
notes ("ENs") issued by Thornburg Mortgage Capital Resources LLC ("TMCR")
to Not Prime from Prime-1 on review for possible downgrade.
SLNs are a form of extendible asset-backed commercial paper (ABCP)
and are called ENs after extension. TMCR is a single-seller,
mortgage loan warehouse facility sponsored by Thornburg Mortgage,
Inc. (rated Caa2, with negative outlook).
Thornburg Mortgage Inc. has recently indicated that market volatility
has increased and that the company has not been able to meet margin calls
on its portfolio. Under these market conditions, Moody's
believes the current prices at which TMCR assets are marked may not reflect
the prices available in the market and therefore current haircuts may
TMCR had $300 million of SLNs outstanding with an expected maturity
of March 3, 2008, down from a total of $8.4
billion as of July 31, 2007. These remaining $300
million of SLNs have been extended to a legal final maturity of April
14, 2008. As of February 29, 2008, all assets
were rated Aaa and the program had overcollateralization of approximately
6.8%, which was consistent with the requirements of
the program based on the current asset mix.
For further details please see Moody's press release dated March
For a more detailed description of these ABCP programs, see Moody's
Senior Vice President
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service