New York, February 02, 2011 -- Moody's ABCP rating actions for the fourteen-day period ended January
31, 2011
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD JANUARY 18, 2011 THROUGH JANUARY 31,
2011:
TD'S MERIT INCREASES INTEREST IN EXISTING TRANSACTION
Merit Trust ("Merit"), a partially supported,
multiseller ABCP program sponsored by Toronto Dominion Bank ("TD,"
Aaa/Prime-1/B+), has increased its commitment in an
existing revolving auto loan facility from C$600 million to C$625
million. The receivables are originated by an investment-grade-rated
European auto manufacturer.
The transaction-specific credit enhancement, which is in
the form of overcollateralization and a cash reserve, remains unchanged
and sized at 5.69% of the pool balance. The transaction
remains partially supported by a program-level liquidity facility
provided by Prime-1 rated TD. The liquidity facility will
not fund for defaulted receivables.
Merit does not have any program-level credit enhancement.
Merit has C$1.9 billion in outstanding ABCP.
FORTIS BANK'S SCALDIS AMENDS EXISTING AUTO LOAN FACILITY
Scaldis Capital Limited, Scaldis Capital (Ireland) Limited and Scaldis
Capital LLC (together, "Scaldis"), a partially supported,
hybrid ABCP programme sponsored by Fortis Bank S.A./N.V.
(A1/Prime-1/C-), has amended an existing Euro 500
million Italian auto loan facility. The transaction is partially
supported by a liquidity facility provided by Prime-1 rated Fortis
Bank. The liquidity facility is sized at 102% of the maximum
principal amount of the transaction.
The amendments extend the revolving period by one year and change the
nature of the transaction-specific credit enhancement, which
is now a combination of junior notes, cash reserve and excess spread
whereas previously it was provided by cash and excess spread. Despite
the change to credit enhancement, its size remains constant at 26.7%
(excluding excess spread). The cash reserve increases if the percentage
of auto loans with residual value in the pool exceeds a certain threshold.
With this transaction, Scaldis is authorized to issue USD 10.05
billion of ABCP and has USD 1.04 billion in programme-level
credit enhancement.
THE FOLLOWING PROGRAM WAS DOWNGRADED DURING THE PERIOD JANUARY 18,
2011 THROUGH JANUARY 31, 2011:
AIG FINANCIAL PRODUCTS' CURZON FUNDING LTD/CURZON FUNDING LLC ABCP
DOWNGRADE TO PRIME-2 (SF)
For further details, please see Moody's press release dated January
18, 2011.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE WITHDRAWN DURING THE PERIOD
JANUARY 18, 2011 THROUGH JANUARY 31, 2011:
CARE TRUST RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the ABCP issued by CARE Trust, a partially supported,
multiseller ABCP program sponsored by Bank of Montreal ("BMO," rated
Aa2 on review for possible downgrade/Prime-1/B- on review
for possible downgrade) and administered by BMO Nesbitt Burns Inc.,
a subsidiary of BMO. As of January 18, 2011, all outstanding
ABCP had been repaid in full.
KAISERPLATZ FUNDING LIMITED RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the ABCP issued by Kaiserplatz Funding Limited, a
partially supported multiseller ABCP programme sponsored and administered
by Commerzbank AG (Aa3/Prime-1/C-). As of 13 January
2011, all outstanding ABCP had been repaid in full.
PURE TRUST RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the ABCP issued by PURE Trust, a partially supported,
multiseller ABCP program sponsored and administered by Royal Bank of Canada
(Aa1/Prime-1/B). As of January 31, 2011, all
outstanding ABCP had been repaid in full.
STARS TRUST RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the ABCP issued by STARS Trust, a partially supported,
multiseller ABCP program sponsored by Bank of Montreal ("BMO," rated
Aa2 on review for possible downgrade/Prime-1/B- on review
for possible downgrade) and administered by BMO Nesbitt Burns Inc.,
a subsidiary of BMO. As of January 28, 2011, 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).
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 January 31, 2011