New York, January 19, 2011 -- Moody's ABCP rating actions for the fourteen-day period ended January
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD JANUARY 4, 2011 THROUGH JANUARY 17,
HSBC'S REGENCY AND CREDIT AGRICOLE CIB'S LMA CO-PURCHASE EUR 260
MILLION TRADE RECEIVABLE TRANSACTION
Regency Markets No. 1 LLC ("Regency") and LMA SA/LMA Americas LLC
("LMA") have joined to purchase FCT units from a French SPV and backed
by trade receivables up to a maximum amount of Euro 260 million.
Each conduit has a commitment of Euro 130 million. Regency is a
partially supported, multiseller ABCP conduit sponsored by HSBC
Bank plc (Aa2/Prime-1/C+). LMA is a fully supported,
multiseller ABCP conduit sponsored by Credit Agricole CIB (Credit Agricole
Corporate and Investment Bank, rated Aa3/Prime-1/D).
The transaction is a Euro 260 million securitisation of trade receivables
originated by a French company operating in the food industry.
The portfolio is subject to a high level of contractual dilutions and
contains obligor concentrations, with the largest obligor accounting
for more than 20% on average and the top 15 representing half of
the pool. Transaction-specific credit enhancement is in
the form of overcollateralisation and includes a dynamic default reserve
with a floor linked to concentration levels, a dilution reserve,
a yield and expenses reserve and a back-up servicer reserve.
The transaction has several portfolio performance triggers and a breach
in those triggers results in a wind down of the securitisation.
In Regency, the transaction is partially supported through a liquidity
facility provided by HSBC France (Aa3/Prime-1/C). The liquidity
facility advances against non-defaulted receivables and covers
all traditional seller risks, including dilutions. In addition,
it allows CP investors to benefit from all of the reserves mentioned above.
With this transaction, Regency's programme-level credit enhancement
increased by 5% of its purchase commitment. Regency has
USD 256 million in programme-level credit enhancement and is authorised
to issue up to USD 8.6 billion of ABCP.
In LMA, the transaction is fully supported by a liquidity facility
provided by Credit Agricole CIB. LMA is authorised to issue up
to Euro 10.5 billion of ABCP.
THREE ABCP CONDUITS CO-PURCHASE IN $800 MILLION SENIOR SECURED
REVOLVING CREDIT FACILITY
Atlantic Asset Securitization LLC ("Atlantic"), Market Street Funding
LLC ("Market Street"), and Cancara Asset Securitisation Limited
("Cancara"), have joined as new purchasers to an $800 million
co-purchased revolving credit facility. Atlantic,
a partially supported, multiseller ABCP program administered by
Credit Agricole Corporate and Investment Bank (Aa3/Prime-1/D),
New York Branch, has a $100 million commitment. Market
Street, a partially supported, multiseller ABCP conduit sponsored
by PNC Bank, N.A. (A2/Prime-1/C+),
has a $100 million commitment. Cancara, a partially
supported, hybrid ABCP administered by Lloyds TSB Bank Plc (Aa3/Prime-1
/C-), has a Euro 80 million commitment. This facility
is backed by a first priority perfected security interest in uncalled
Market Street's interest is fully support by a liquidity facility
provided by PNC Bank. Atlantic and Cancara interests are partially
supported through liquidity facilities provided by Prime-1-rated
Credit Agricole and Lloyds TSB Bank Plc, respectively. In
both Atlantic and Cancara, the transaction benefits from various
structural protections, which protect investors from deterioration
in asset performance.
With this transaction, Atlantic's program-level credit
enhancement increased by 10% of commitments. Atlantic has
$8.7 billion in purchase commitments. Market Street's
program-level credit enhancement increased by 10% of its
purchase commitments for this transaction. Market Street has $6
billion in purchase commitments and $600 million in program-level
credit enhancement. Cancara's program-level credit
enhancement increased by 5% of its purchase commitments for this
transaction. Cancara has $12.9 billion in purchase
commitments and $1,100 million in program-level credit
HELABA'S OPUSALPHA ADDS TWO TRADE RECEIVABLE TRANSACTIONS TOTALING
EUR 300 MILLION
Opusalpha Funding Limited ("Opusalpha"), a partially
supported, hybrid ABCP programme sponsored by Landesbank Hessen-Thueringen
("Helaba", Aa2/P-1/C-) has added two fully
supported trade receivables transactions to its portfolio.
The first transaction is a EUR 150 million interest into a large trade
receivables transaction for a European company in the metals and mining
industry. The second transaction is a EUR 150 million interest
in a trade receivable transaction for a German company in the automotive
industry. Both transactions are fully supported through liquidity
facilities provided by Helaba, Irish Branch and sized at 102%
coverage of the purchase commitment.
With the addition of new transactions, Opusalpha's program-level
credit enhancement was not increased and remains at EUR 49 million.
Opusalpha is authorized to issue up to Euro 1.8 billion of ABCP.
DEUTSCHE BANK'S RHEIN-MAIN CONVERTS EXISTING ASSET POOL TO FULL
Rhein-Main Securitisation Limited ("Rhein-Main"),
a partially supported, multiseller ABCP conduit sponsored by Deutsche
Bank AG (Aa3/Prime-1/C+), has converted the liquidity
structure for an existing asset pool to full support. The liquidity
facility is provided by Prime-1-rated Deutsche Bank.
The total purchase limit of the transaction is EUR 207 million.
Rhein-Main is authorised to issue up to EUR 2.8 billion
of ABCP and its program-level credit enhancements remains at EUR
DEUTSCHE BANKS' RHEINGOLD CONVERTS TWO EXISTING ASSET POOLS TO FULL SUPPORT
Rheingold Securitisation Limited ("Rheingold"), a partially supported,
multiseller ABCP conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/C+),
has converted the liquidity structure for two existing asset pools to
full support. The liquidity facilities are provided by Prime-1-rated
Deutsche Bank. The total purchase limit of the converted transactions
is EUR 326.3 million.
Rheingold is authorised to issue up to EUR 3.6 billion of ABCP
and its program-level credit enhancements remains at EUR 425 million.
COMMERZBANK'S SILVER TOWER ADDS 10 TRANSACTIONS TRANSFERED FROM
KAISERPLATZ AND ONE NEW TRADE RECEVIABLE TRANSACTION
Silver Tower Funding Limited and Silver Tower US Funding, LLC (together,
"Silver Tower"), a partially supported, multiseller ABCP programme
sponsored by Commerzbank (Aa3/Prime-1/C-), has added
11 transactions to its portfolio, 10 of which are transferred from
Kaiserplatz Funding Ltd, another Prime-1 (sf) rated program
sponsored by Commerzbank.
As a result of the acquisition of Dresdner Bank AG by Commerzbank AG in
2009, all the existing transactions financed by Kaiserplatz ABCP
conduit program were transferred to Silver Tower between the 10th and
the 13th January 2011. Hence, Silver Tower's purchase
commitments increased by Euro 774 million and USD 28 million.
For these transactions, Silver Tower makes advances under a commissioning
agreement to the respective purchasing company. The purchasing
company uses the proceeds to purchase (or in one case fund) the assets.
The assets are mostly Euro-denominated trade receivables originated
by companies operating in various industries.
Nine transactions are fully supported by a liquidity facility provided
by Commerzbank AG. The tenth transaction is partially supported
by a liquidity facility also provided by Commerzbank AG. This transaction
benefits from transaction-specific credit enhancement of 6.25%
in the form of overcollateralization.
In addition, Silver Tower has added a Euro 30 million transaction
that funds the purchase of trade receivables originated in different countries.
The transaction is fully supported by a liquidity facility provided by
All these transactions benefit from an immediate put to liquidity upon
the occurrence of certain termination events, which is a standard
feature for the Silver Tower program.
With these 11 transactions, Silver Tower's maximum purchased
amount increased to Euro 4.4 billion. Silver Tower does
not have any program-level credit enhancement.
NATIXIS' VERSAILLES ADDS $133.8 MILLION CLO NOTE
Versailles Assets, LLC ("Versailles Assets"), a partially
supported, multiseller ABCP conduit sponsored and administered by
NATIXIS Financial Products ("NATIXIS," rated Aa3/Prime-1),
has added a highly-rated $133.8 million CLO note
to its portfolio.
Versailles Assets will finance this note by issuing Prime-1-rated
ABCP to Versailles Commercial Paper, LLC. Versailles Commercial
Paper, in turn, will issue Prime-1-rated ABCP
to investors in the capital market to purchase the Versailles Assets ABCP.
The liquidity support is at the Versailles Assets level, and covers
any timing mismatch, or liquidity risk, between the underlying
notes and the ABCP issued to Versailles Commercial Paper. The program-level
credit enhancement is at the Versailles Commercial Paper level.
The transaction is a $133.8 million interest in an Aaa-rated
Class A-R note. The transaction is collateralized primarily
by loans to small and medium enterprise ("SME") obligors, with at
least 80% invested in senior secured first lien loans, while
the remainder of the underlying pool may be invested in second lien loans,
unsecured loans and subordinated loans, or participation interests
in such loans. The underlying portfolio is100% ramped as
of the closing date, without giving consideration to draws that
can be made under the Class A-R Loans.
The transaction is supported by a liquidity facility provided by NATIXIS.
The liquidity facilities fully support the ABCP so long as there is no
missed payment of principal and interest by the legal final maturity date
of the related rated note. Given the high credit quality of the
notes purchased, this liquidity structure is consistent with the
Prime-1 rating of the conduit.
Due to the high credit quality of the notes, Versailles Commercial
Paper is not required to provide incremental program-level credit
enhancement. Versailles has $3.8 billion in purchase
commitments, with $2.7 billion in ABCP outstanding
and $257 million in program-level credit enhancement.
THE FOLLOWING PROGRAM WAS DOWNGRADED DURING THE PERIOD JANUARY 4,
2011 THROUGH JANUARY 17, 2011:
SECURITISED INSTANTLY REPACKAGED PERPETUALS LIMITED (SIRP) ABCP DOWNGRADED
TO PRIME-2 (SF)
For further details, please see Moody's press release dated January
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.
Structured Finance Group
Moody's Investors Service
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's ABCP rating actions ending January 17, 2011
250 Greenwich Street
New York, NY 10007