New York, January 08, 2014 -- Moody's ABCP rating actions for the twenty-one-day period
ending January 6, 2014
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD DECEMBER
17, 2013 THROUGH JANUARY 6, 2014:
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.
SYNDICATE OF ABCP CONDUITS AMEND EXISTING FUTURE FLOW SECURITIZATION FACILITY
A syndicate of banks has amended an existing future flow securitization
facility. The collateral consists of certain assets, including
future payment rights from the company's service business.
A new note, the Class C Note, is being issued for $1.5
billion. The Class A Note has amortized to $4 billion and
the Class B Note was repaid. Therefore the facility will consist
of a $4 billion Class A Note, with four $1 billion
installments made annually each December 20th, and a Class C Note
for $1.5 billion scheduled to be repaid in full by December
2018. This transaction is financed by six ABCP conduits and five
The liquidity facility for each participating conduit is sized at 100%
(plus all CP interest) or 102% of its respective commitment.
The following ABCP conduits participate in the facility:
• Credit Agricole's Atlantic Asset Securitization LLC has a
$331.6 million interest in the Class A Note and a $143.4
million in the Class C Note, and its program-level enhancement
increased by 10% of purchase limits.
• Barclays Capital's Sheffield Receivables Corp. has a $414.5
million interest in the Class A Note and a $60.5 million
in the Class C Note. Program-level credit enhancement is
required to be increased by 10% of this commitment level.
• Citibank's CAFCO, LLC and CIESCO, LLC have combined
commitments of $414.5 million in the Class A Note and a
combined commitment of $210 million in the Class C Note.
CIESCO and CAFCO's program-level credit enhancement increased by
8% of funded assets.
• The Bank of Nova Scotia's Liberty Street has a $373
million interest in the Class A Note and a $252.4 million
in the Class C Note, and its program-level credit enhancement
increased by 10% of this commitment level.
•Lloyds's Cancara Asset Securitisation Limited a $331.6
million interest in the Class A Note and a $143.4 million
in the Class C Note, and its participation in the transaction is
fully supported by a liquidity facility provided by Lloyds Bank and the
Bank of Scotland.
Five non-conduit lenders provide the remaining commitments.
BANK OF MONTREAL'S CANADIAN MASTER TRUST AND RIDGE TRUST ADD C$445
MILLION AUTO LOAN SECURITIZATION
Canadian Master Trust ("CMT") and Ridge Trust ("Ridge"),
partially supported, multiseller ABCP programs administered by BMO
Nesbitt Burns Inc. ("BMO NB"), a subsidiary of Bank of Montreal
(Aa3/Prime-1/C+) has added an amortizing auto loan securitization
to its portfolio. The conduits hold 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 5.01% of the discounted
adjusted pool), a fully funded cash reserve account (sized at 1.1%
of the discounted adjusted pool), and minimum excess spread.
This transaction is partially supported by a liquidity facility provided
by Bank of Montreal.
Ridge and CMT do not have any program-wide credit enhancement.
CMT currently has C$1.89 billion of purchase commitments
and C$1.2 billion of Canadian ABCP outstanding. Ridge
currently has C$1.9 billion of purchase commitments and
C$1.42 billion of Canadian ABCP outstanding.
THE BANK OF NOVA SCOTIA'S KING STREET ADDS C$270 MILLION
EQUIPMENT LEASE TRANSACTION
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
equipment lease securitization to its portfolio. The equipment
leases were originated by an experienced equipment finance company operating
Transaction-specific credit enhancement is comprised of 9%
overcollateralization, 2% non declining cash reserve and
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$1.9 billion of purchase commitments
and C$1.4 billion of Canadian ABCP outstanding.
JPMORGAN'S CHARIOT AND JUPITER AMEND PROGRAM
Chariot Funding LLC ("Chariot") and Jupiter Securitization Company LLC
("Jupiter"), both partially supported, multiseller ABCP programs
administered by JPMorgan Chase Bank ("JPMorgan," Aa3/Prime-1/C),
have amended their program.
The amendment is to add a new Security Agreement. The new Security
Agreement stipulates that if the liquidity bank, JPMorgan,
advances funds, then it will have a security interest in the collateral.
As of 10/31/13, Chariot has $15.7 billion in total
purchase commitments and $1.3 billion in program-level
credit enhancement. As of 10/31/13, Jupiter has $13.4
billion in total purchase commitments and $1.3 billion in
program-level credit enhancement.
RBC'S PLAZA TRUST ADDS $150 MILLION INTEREST IN AUTO FLEET
Plaza Trust ("Plaza"), a partially supported,
multiseller ABCP program sponsored and administered by Royal Bank of Canada
("RBC," rated Aa3/Prime-1/C+), has acquired a
$150 million interest in an unrated variable funding note backed
by automotive fleet leases.
Transaction-specific credit enhancement is in the form of overcollateralization
(41% of notes for program cars and at least 41% of notes
for non-program cars) and a 5.875% LC and Cash Collateral
The transaction is partially supported by a transaction-level liquidity
facility for each conduit. Liquidity is provided by Prime-1-rated
RBC and sized to cover 102% of outstanding ABCP issued by each
With this transaction, Plaza has C$2.96 billion of
purchase commitments; its program-level credit enhancement
was C$292.9 million but only C$238.6 million
can be drawn.
SOCIETE GENERALE'S ANTALIS PURCHASES EURO 43 MILLION SENIOR NOTES BENEFITING
OF Aaa GUARANTEE
Antalis S.A./Antalis U.S. Funding Corp.
(together, "Antalis"), a partially supported, multiseller
programme sponsored by Société Générale (A2/Prime-1/C-),
purchased senior notes issued by a Spanish SPV for an amount of up to
EUR43 million and entered into a guarantee agreement with a Aaa rated
supranational entity .
The transaction is a static cash securitisation of loans to Spanish small
and medium sized enterprises. The guarantor provides to Antalis
a first demand, unconditional and irrevocable guarantee for any
amount due and payable by the Spanish SPV.
The transaction is partially supported by a liquidity facility provided
by SocGen. The liquidity facility is in the form of an asset purchase
agreement that finances the senior notes' outstanding principal balance
and the asset-backed commercial papers' cost of funds interests
as long as the guarantor's rating is Caa2 or if it was at least Caa2 immediately
before Moody's withdraws the rating. ABCP can be issued as long
as the guarantor's rating is not withdrawn or it is at least equal to
Aa3. The maximum term of the ABCP is 270 days.
Investors are exposed to the risk that Moody's downgrades the guarantor's
rating to Caa3 from Aa3 within 270 days. Moody's assesses that
this situation is unlikely to take place due the status of the guarantor
and its current rating. As the structure solely relies on the guarantor's
rating independently of whether the guarantee agreement is in place,
our analysis does not rely on the existence of the guarantee agreement.
With this transaction, Antalis' s program-level credit enhancement
increased by 6% of the purchase limit to EUR 295.1 million.
Antalis is authorised to issue approximately EUR 5.04 billion of
SOCIETE GENERALE'S BARTON ADDS $250 MILLION AUTO TRANSACTION
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program administered by Societe Generale ("SG," A2/Prime-1/C-),
has added a $250 million revolving auto lease and loan facility
in its portfolio. The facility is established for an investment
grade rated auto manufacturer.
Transaction-specific credit enhancement continues to be comprised
of overcollateralization at 12% for auto loans and 20% for
auto leases and a 2.5% excess spread. This transaction
is partially supported by a liquidity facility provided by Prime-1-rated
Barton has $5 billion of purchase commitments and its program-level
credit enhancement remains at the $500 million floor.
TORONTO DOMINION'S BANNER TRUST INCREASES ITS INTEREST IN A POOL
BACKED BY RESIDENTIAL MORTGAGES
Banner Trust ("Banner"), a partially supported,
multiseller Canadian ABCP program sponsored by Toronto Dominion Bank ("TD,"
Aa1/Prime-1/B) and administered by TD Securities Inc.,
currently finances a $500 million interest in a $3.85
billion revolving facility backed by conventional and insured residential
mortgages loans. The facility, which is financed by several
Canadian ABCP conduits, including Banner's three sister conduits,
Merit Trust, Prime Trust and Zeus Trust, was increased to
$4.1 billion. Simultaneously with this increase Banner's
commitment was increased by $250 million to $750 million.
No other changes were made to the facility.
The transaction is fully supported by program-level liquidity provided
by Prime-1 rated TD and sized to cover 100% of outstanding
ABCP issued by Banner.
Banner has no program-level credit enhancement and its ABCP outstandings
is currently $1.497 billion.
TD'S ZEUS AMENDS INTEREST IN EXISTING FLEET LEASE TRANSACTION
Zeus Receivables Trust ("Zeus"), a partially supported, multiseller
ABCP program sponsored by Toronto Dominion Bank ("TD", rated Aa1/Prime-1/B),
has amended its interest in an existing fleet lease transaction.
Zeus currently finances approximately C$137 million of vehicle
fleet lease and sign lease receivables originated by an unrated Canadian
company. A new pool of vehicle fleet lease will be added for approximately
C$43.5 million. The characteristics of the new pool
are nearly identical to the existing. Transaction-specific
credit enhancement will remain the same and consists of overcollateralization,
an LOC and a cash reserve for 12.5% of the outstanding notes.
The transaction continues to be partially supported by a program-level
liquidity facility provided by Prime-1 rated TD. The liquidity
will not fund for defaulted receivables.
Zeus does not have any program-level credit enhancement.
Zeus has approximately C$2.65 billion in outstanding ABCP.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
DECEMBER 17, 2013 THROUGH JANUARY 6, 2013:
Moody's Withdraws the Prime-1 (sf) Rating of ABCP Issued by Straight-A
For further details, please see Moody's press release dated December
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.
Valerie F. Oliveri
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
Senior Vice President/Manager
Structured Finance Group
Moody's ABCP rating actions ending January 6, 2014
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007