New York, April 30, 2013 -- Moody's ABCP rating actions for the seven-day period ending April
29, 2013
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD APRIL
23, 2013 THROUGH APRIL 29, 2013:
Moody's has reviewed the following ABCP programs in conjunction
with the proposed amendments. The amendments, in and of themselves
and at this time, will not result in any rating impact on the respective
programs. For the mentioned programs, Moody's believes that
the amendments do not have an adverse effect on the credit quality of
the securities such that the Moody's ratings are impacted.
Moody's does not express an opinion as to whether the amendment could
have other, non-credit-related effects.
BANK OF NOVA SCOTIA'S KING STREET ADDS C$301 MILLION AUTO
LOAN SECURITIZATION
King Street Funding Trust ("King Street"), a partially
supported, multiseller Canadian ABCP program administered by Scotia
Capital Inc., a wholly owned-subsidiary of The Bank
of Nova Scotia (Aa2/Prime-1/B-), has added an amortizing
auto loan securitization to its portfolio. King Street holds an
unrated single-class note issued out of a master trust.
The auto loans are originated by an investment-grade rated auto
finance company.
Transaction-specific credit enhancement is comprised of non-declining
overcollateralization (sized at 5.0% of the discounted adjusted
pool), a fully funded cash reserve account (sized at 1.0%
of the initial pool), and minimum excess spread. This transaction
is partially supported by a liquidity facility provided by The Bank of
Nova Scotia.
King Street does not have any program-level credit enhancement.
King Street currently has C$1.56 billion of purchase commitments
and C$1.4 billion of Canadian ABCP outstanding.
BARCLAYS' SHEFFIELD ADDS $325 MILLION INTEREST IN AUTO DEALER FLOORPLAN
FACILITY
Sheffield Receivables Corporation ("Sheffield"), a partially supported,
multiseller ABCP conduit sponsored by Barclays Bank PLC ("Barclays,"
A2/Prime-1/C-), has acquired a $325 million
interest in an unrated variable funding note backed by automotive dealer
floorplan receivables.
This transaction is fully supported by a liquidity facility provided by
Prime-1-rated Barclays. The liquidity facility is
sized to cover the principal and interest on the commercial paper issued
to finance the transaction.
Sheffield's program-level credit enhancement is required to be
increased to at least 10% of the authorized amount for all asset
interests (excluding highly rated assets and fully guaranteed assets).
As of March 27, 2013, Sheffield had approximately $5.43
billion of outstanding CP and $7.47 billion of purchase
limits. Its program-level credit enhancement was approximately
$660 million.
BNP PARIBAS FORTIS' SCALDIS PURCHASES EUR 250 MILLION SENIOR NOTES
BACKED BY BELGIAN CONSUMER LOANS
Scaldis Capital Limited, Scaldis Capital (Ireland) Limited and Scaldis
Capital LLC (together, "Scaldis"), a partially supported,
hybrid ABCP programme sponsored by BNP Paribas Fortis (A2/Prime-1/C-),
has purchased senior notes for an amount of up to EUR 250 million.
In this transaction, Scaldis issues ABCP in order to purchase senior
notes backed by consumer loans originated in Belgium and Luxembourg.
This transaction is fully supported by a liquidity facility provided by
Prime-1-rated BNP Paribas Fortis. The liquidity facility
funds for the principal and interest of outstanding ABCP.
Scaldis is authorized to issue up to approximately USD 4.5 billion
of ABCP and has USD 120 million in program-level credit enhancement.
CIBC'S SAFE TRUST AMENDS EXISTING TRADE RECEIVABLE FACILITY
SAFE Trust ("SAFE"), a partially supported, multiseller Canadian
ABCP program administered by Canadian Imperial Bank of Commerce ("CIBC,"
rated Aa3/Prime-1/C+), has amended its interest in an
existing C$100 million trade receivable facility. The receivables
are originated by a Ba3-rated manufacturer in the building materials
industry and denominated in various currencies (CAD, USD,
GBP, and EUR). SAFE is responsible for arranging hedges for
non-Canadian denominated receivables to mitigate foreign-exchange
risk between the ABCP and foreign currency-denominated receivables.
A Baa2-rated corporation continues to provide a performance guarantee
for the servicing operations of the seller.
The amendments include: (i) changing the currency of the conduit
funding to US$-denominated CP from C$-denominated
CP; (ii) increasing the facility program limit to US$100 million
from US$85 million (equivalent to initial C$100 million
limit); and (iii) reducing the credit enhancement floor to 12%
from 15%. This transaction has been in SAFE's portfolio
since 2010 and has performed well.
Transaction-specific credit enhancement is sized at a minimum of
12% and continues to be based on a dynamic formula that responds
to changes in both defaults and dilution. This transaction continues
to be partially supported by a liquidity facility provided by Prime-1
rated CIBC. The liquidity facility does not fund for defaulted
receivables, but does cover dilution and deemed collections.
SAFE has a single program-level liquidity facility that is used
to support its notes.
As of February 2013, SAFE had C$1.5 billion in aggregate
purchase commitments and C$1.17 billion in outstanding Series
1996-1 Senior Short Term Notes.
HSBC'S REGENCY ADDS NEW TRADE RECEIVABLES TRANSACTION
Regency Assets Ltd/Regency Markets No.1 LLC ("Regency"),
a partially supported, multiseller conduit sponsored by HSBC Bank
Plc ("HSBC", Aa3/Prime-1/C) has entered into a EUR 150 million
equivalent securitisation of trade receivables originated by the European
subsidiaries of a Dutch company operating in the chemical industry.
HSBC provides a fully supported liquidity facility, which is sized
at 102% of Regency's commitment. The full liquidity
support is achieved via a liability based borrowing base which funds for
the face amount of CP issued.
Regency has approval to issue ABCP up to transaction limits which aggregate
to USD 12.2 billion and has USD 146 million in programme-level
credit enhancement.
The principal methodology used in these ratings was "Moody's Approach
to Rating Asset-Backed Commercial Paper" published in May 2012.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Moody's monitors and analyzes ABCP programs on an ongoing basis.
A detailed description of each program is published in the ABCP Program
Review. Some ABCP programs have monthly updated performance information,
which is published in the Performance Overviews. All publications
are available on www.moodys.com.
Wanda Lee
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Everett Rutan
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's ABCP rating actions ending April 29, 2013