New York, January 05, 2010 -- Moody's ABCP rating actions for the fourteen-day period ended January
MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE PERIOD
DECEMBER 22, 2009 THROUGH JANUARY 4, 2010:
MOODY'S ASSIGNS PRIME-1 RATING TO ROYAL PARK INVESTMENTS FUNDING
CORP. ABCP PROGRAMME
In London, Moody's has assigned a definitive rating of Prime-1
to the asset backed commercial paper ("ABCP") issued by Royal Park Investments
Funding Corporation ("RPIFC"). RPIFC is a fully owned subsidiary
of Royal Park Investments SA/NV ("RPI"), an entity incorporated
in Belgium and owned by Fortis Holding (44.70%), the
Kingdom of Belgium (43.50%) and BNP Paribas (11.80%).
RPI, an operative company with own employees, has acquired
a portfolio of securities and established an ABCP programme in order to
partly fund the portfolio. The ABCP programme will be managed by
RPI as administrator. For conducting its operations, RPI
will be supported by Fortis Bank SA/NV ("Fortis Bank," rated A1/Prime-1/C-)
and RPI will make use of certain Fortis Bank systems and resources.
RPIFC has a maximum programme amount of US$6 billion.
All ABCP issued under the RPI/RPIFC programme are fully supported in principal
and interest by a guarantee, which is provided by the Kingdom of
Belgium. Under the guarantee, the Kingdom of Belgium unconditionally
and irrevocably guarantees all payments on principal and interest of the
registered notes issued by RPI to RPIFC and thereby covers all ABCP issued
by RPIFC. The maximum amount of principal covered is US$5,846,102,073.45;
interest is covered separately. Claims under the guarantee constitute
a primary obligation of the Kingdom of Belgium and do not require the
investor to first enforce its rights against RPIFC or RPI.
The Prime-1 rating of RPIFC's ABCP is based principally on the
following: (i) the guarantee provided by Prime-1-rated
Kingdom of Belgium, covering the principal and yield of ABCP issued
and also addressing the timeliness of payment; (ii) the structure
and organisation of the RPIFC programme, both of which are designed
to ensure full and timely repayment of investors in ABCP; and (iii)
the experience and rating of Bank of New York Mellon as the issuing and
paying agent, account bank and collateral agent.
For further details, please see Moody's press release dated
December 16, 2009.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD DECEMBER 22, 2009 THROUGH JANUARY 4, 2010:
SOCIETE GENERALE'S ANTALIS, HSBC'S REGENCY AND BTMU'S
ALBION PURCHASE INTEREST IN GBP 397.5 MILLION AUTO LOAN AND LEASE
Antalis S.A./Antalis US Funding Corp. (together,
"Antalis"), Regency Markets No. 1 LLC ("Regency"),
and Albion Capital Corporation ("Albion"), have financed
an auto loan and lease transaction with total purchase limit of GBP 397.5
million. Antalis, a partially supported, multiseller
programme sponsored by Société Générale ("SocGen",
rated Aa2/Prime-1/C+), has a GBP 125 million interest.
Regency, a partially supported, multiseller ABCP conduit administered
by HSBC Bank plc (Aa2/Prime-1/C+) has a GBP 187.5 million
interest. The remaining GBP 85 million interest is financed with
Albion, a fully supported, multiseller, post-review
ABCP conduit sponsored by The Bank of Tokyo-Mitsubishi UFJ,
Limited ("BTMU," rate Aa2/Prime-1/C).
In this transaction, the conduits lend CP/loan proceeds to purchase
notes backed by auto loans and leases originated in the UK by a financing
company of a European auto manufacturer. Transaction-specific
dynamic credit enhancement is in form of subordination and a reserve fund,
initially totalling approximately 32%. In Antalis,
this transaction is partially supported through a liquidity facility provided
by Prime-1-rated SocGen. SocGen's liquidity
facility funds for non-defaulted assets. Furthermore,
the transaction benefits from various structural protections such as cease
issuance triggers tested on the monthly basis and CP tenor limitation.
In Regency and Albion, the transaction is fully supported by a liquidity
facility provided by the respective conduit sponsor. This means
that CP investors are not exposed to any credit risk on the underlying
With this transaction, Antalis' programme-level credit enhancement
increased by 6% of the total purchase limit. Antalis has
approximately Euro 262.53 million in programme-level credit
enhancement and is authorized to issue approximately Euro 4.48
billion of ABCP. Regency and Albion have not increased their programme-level
credit enhancement with this transaction. Regency is authorized
to issue approximately EUR 5.8 billion of ABCP. Albion is
authorized to issue approximately EUR 1.4 billion of ABCP.
HSBC's BRYANT PARK AMENDS EXISTING TRADE RECEIVABLE FACILITY
Bryant Park Funding ("Bryant Park"), a partially supported,
multiseller ABCP conduit sponsored by HSBC Bank USA, N.A.
("HSBC," rated Aa3/Prime-1/C), has amended
an existing $250 million trade receivables transaction.
The receivables are originated by a Ba3-rated manufacturer of branded
apparel. This transaction is co-purchased between Bryant
Park and PNC's Market Street, each with a $125 million
commitment. The amendments adjust obligor concentrations and increase
the floor dilution reserve, generally benefitting the conduit.
Transaction-specific credit enhancement is in the form overcollateralization,
subject to a minimum of 38% of eligible receivables, and
based on a dynamic formula that responds to changes in both defaults and
dilution. The transaction is partially supported by a liquidity
facility provided by Prime-1-rated HSBC.
With this transaction, Bryant Park's program-level credit
enhancement increased by 8% of outstanding ABCP issued to finance
this transaction. Bryant Park is authorized to issue up to $4.711
billion of ABCP and has $200 million in program-level credit
BARCLAYS' SALISBURY ADDS $350 MILLION CREDIT CARD TRANSACTION
Salisbury Receivables Company, LLC ("Salisbury"), a partially
supported, multiseller ABCP conduit sponsored and administered by
Barclays Bank PLC ("Barclays," rated Aa3/Prime-1/C),
has added an $350 million unrated Class A note backed by private-label
credit card receivables to its portfolio. Transaction-specific
credit enhancement consists of 20.25% subordination (of
the pool balance) and 7% overcollateralization. The transaction
is partially supported by a liquidity facility provided by Prime-1-rated
With this transaction, Salisbury's program-level credit enhancement
increased by 10% of outstanding ABCP issued to finance the note.
Salisbury is authorized to issue approximately $4 billion of ABCP
and has $300 million in program-level credit enhancement.
The principal methodology used in rating and monitoring the above-referenced
ABCP programs is described in "The Fundamentals of Asset-Backed
Commercial Paper" (February 2003), which is available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the rating process can also be found in the Rating 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.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's ABCP rating actions ending January 4, 2010
Structured Finance Group
Moody's Investors Service