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23 Feb 2011
New York, February 23, 2011 -- Moody's ABCP rating actions for the seven-day period ended February
21, 2011
MOODY'S PUBLISHES US ABCP MARKET YEAR IN REVIEW
The credit outlook for asset-backed commercial paper (ABCP) in
the US in 2011 is stable, says Moody's Investors Service in its
"US ABCP: 2011 Outlook and 2010 Review" special report. The
outlook is based on two key factors supporting ABCP conduits, bank
credit strength and asset quality. Although the credit outlook
for banks remains negative, banks' asset credit quality has
been improving. The US economy continues to strengthen, albeit
slowly, improving the quality of consumer and corporate assets funded
in ABCP conduits.
The important US ABCP market issues lie outside of credit. The
ABCP market has been pressured by a series of regulatory changes beginning
with the implementation of the Basel II accords and followed by changes
in accounting rules and most recently the consequences of Dodd-Frank.
Implementation of these regulations is incomplete. But the overall
impact has been to reduce the return on bank capital generated by ABCP
conduits, and in consequence the attractiveness of using an ABCP
conduit as compared to funding assets on balance sheet.
The driving factors of the US ABCP market will be the economy, the
regulatory issues, and any new applications that might arise.
The special report, "US ABCP: 2011 Outlook and 2010 Review,"
is available on Moodys.com.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD FEBRUARY 15, 2011 THROUGH FEBRUARY 21,
2011:
SOCIETE GENERALE'S ANTALIS ADDS EUR 122 MILLION TRADE RECEIVABLE TRANSACTION
Antalis S.A./Antalis US Funding Corp. (together,
"Antalis"), a partially supported, multiseller programme sponsored
by Société Générale ("SocGen", rated
Aa2/Prime-1/C+), has financed the purchase of senior
units issued by an existing French SPV (FCC) for an amount up to EUR 122
million.
The transaction is an existing EUR 500 million co-purchase between
BNP Paribas' Eliopee Ltd and HSBC's Regency. At the
same time that Antalis entered as co-purchaser, BNP Paribas'
Matchpoint purchased the senior units previously held by Eliopee.
Antalis, Regency and Matchpoint hold 25%, 25%
and 50% of the senior units, respectively. The transaction
is fully supported in Matchpoint and remains partially supported in Regency.
The FCC units are backed by trade receivables originated by French,
UK and Australian subsidiaries of a non-investment-grade
rated company in the retail business of electricity supplies. The
securitized pool is extremely granular with more than 80,000 obligors.
Transaction-specific credit enhancement is based on a dynamic formula
driven by historical default and dilution performance, with a minimum
level of 13%. The transaction includes several termination
events based on pool performance triggers or related to the originator's
financial conditions. A termination event results in an early amortization
of the transaction and a replacement of the servicer by a back-up
servicer, a feature designated at the transaction's closing.
In Antalis, the transaction is partially supported by a liquidity
facility provided by SocGen. The liquidity facility funds for non-defaulted
assets.
With this transaction, Antalis' programme-level credit enhancement
increased by 6% of the purchase limit. Antalis has approximately
Euro 286 million in programme-level credit enhancement and is authorized
to issue approximately Euro 4.7 billion of ABCP.
HSBC'S BRYANT PARK CONVERTS EXISTING TRADE RECEIVABLE TRANSACTION TO FULL
LIQUIDITY SUPPORT AND ADDS NEW TRADE RECEIVALBE TRANSACTION
Bryant Park Funding LLC ("Bryant Park"), a partially supported,
multiseller ABCP conduit administered by HSBC Securities (USA) Inc.,
has amended its liquidity structure for an existing $400 million
trade receivables facility. The liquidity facility now fully supports
the transaction.
Bryant Park also added a $90 million interest in a $600
million facility backed by a revolving pool of trade receivables originated
by an electronics company. The new trade receivable transaction
is also fully supported by liquidity provided by HSBC Bank Plc.
The liquidity facility is sized at 102% of the commitment limit.
Bryant Park's program-level credit enhancement was not increased
given the full support provided by liquidity. Bryant Park has approximately
$2.8 billion in outstanding ABCP and $305 million
in program-level credit enhancement.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
FEBRUARY 15, 2011 THROUGH FEBRUARY 21, 2011:
RATING OF DAKOTA CP NOTES ISSUED BY CITIBANK CREDIT CARD ISSUANCE TRUST
WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the short-term notes issued by DAKOTA CP Notes of
the Citibank Credit Card Issuance Trust, a partially supported,
single-seller ABCP program administered by Citibank (South Dakota),
N.A. (A1/Prime-1/D+). As of December
31, 2010, all outstanding ABCP had been repaid in full.
Moody's policies regarding the withdrawal of ratings are described in
"Moody's Guidelines for the Withdrawal of Ratings".
The principal methodology used in rating and monitoring the above-referenced
ABCP programs is described in "The Fundamentals of Asset-Backed
Commercial Paper" (published in February 2003). Other methodologies
and factors that may have been considered in the process of rating this
transaction can also be found in the Ratings Methodologies sub-directory
on Moody's website.
Moody's monitors and analyzes ABCP programs on an ongoing basis.
The rating actions apply to the CP issued by the ABCP programs and not
the individual transaction in the programs' portfolio. 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 Moody's website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
New York
Wanda Lee
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's ABCP rating actions ending February 21, 2011
No Related Data.
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