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27 Jul 2011
New York, July 27, 2011 -- Moody's ABCP rating actions for the seven-day period ended July
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD JULY 19, 2011 THROUGH JULY 25, 2011:
SOCIETE GENERALE'S ANTALIS PURCHASES INTEREST IN EUR 300 MILLION AUTO
Antalis S.A./Antalis U.S. Funding Corp.
(together, "Antalis"), a partially supported, multiseller
programme sponsored by Société Générale ("SocGen",
Aa2 rating on review for possible downgrade/Prime-1/C+ on
review for possible downgrade), has financed an auto loan transaction
with a total purchase limit of EUR 300 million.
In this transaction, Antalis uses the proceeds of the commercial
paper to purchase Aaa (sf)-rated notes backed by auto loans originated
in France. The seller is a subsidiary of an investment-grade
rated financing company of a European auto manufacturer.
Transaction-specific credit enhancement is in form of subordination
and a reserve fund, initially totaling approximately 9.95%.
The transaction has several early amortisation events including one linked
to the performance of the pool. An early amortisation event results
in a cease issuance in ABCP. The commercial paper tenor is limited
to 270 days. This transaction is partially supported by a liquidity
facility provided by Prime-1-rated SocGen. The liquidity
facility funds for non-defaulted assets, ABCP interest,
and covers all seller risks.
With this transaction, Antalis' programme-level credit enhancement
increased by 6% of the purchase limit. Antalis has approximately
EUR 285 million in programme-level credit enhancement and is authorized
to issue approximately EUR 4.88 billion of ABCP.
SCOTIA'S BAY STREET ADDS C$200 MILLION RESIDENTIAL MORTGAGE
Bay Street Funding Trust ("Bay Street"), a partially supported,
multiseller Canadian ABCP program administered by Scotia Capital Inc.,
a wholly-owned subsidiary of The Bank of Nova Scotia (Aa1/Prime-1/B),
has added a C$200 million revolving mortgage facility to its portfolio.
The underlying collateral consists of insured and conventional mortgages
originated by an unrated company.
Transaction-specific credit enhancement is comprised of overcollateralization
and cash reserve account. The overcollateralization varies depending
on the pool mix. The transaction is partially supported by a transaction-specific
liquidity facility provided by Prime-1-rated Bank of Nova
Scotia. The liquidity facility will not fund for defaulted receivables.
Bay Street does not have any program-level credit enhancement.
Bay Street currently has C$1.05 billion of purchase commitments
and C$661.8 million of Canadian ABCP outstanding and $81
million of US ABCP outstanding.
LLOYD'S CANCARA ADDS USD 100 MILLION TRANSACTION
Cancara Asset Securitisation Limited/Cancara Asset Securitization LLC
("Cancara"), a partially supported, hybrid ABCP
conduit administered by Lloyds TSB Bank plc (Aa3 rating on review for
possible downgrade/Prime-1/C-), has added an USD 100
million transaction to its portfolio. The transaction is backed
by US partner loans for a global professional financial services firm.
The transaction is fully supported by a liquidity facility provided by
Lloyds TSB Bank plc. The liquidity facility is sized at USD 102
million and covers the face amount of outstanding commercial paper.
This transaction addition represents 1.5% of Cancara's
Cancara has USD 9 billion in outstanding ABCP and Cancara's program
wide credit enhancement is USD 1.11 billion.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS AFFIRMED AT PRIME-1
(SF) PLACED UNDER REVIEW DURING THE PERIOD JULY 19, 2011 THROUGH
JULY 25, 2011:
BAYERISCHE LANDESBANK'S GIRO LION AMENDS PROGRAMME
Giro Lion Funding Limited ("Giro Lion"), partially supported,
multiseller ABCP programme sponsored by Bayerische Landesbank (A1 rating
on review for possible downgrade/Prime-1 rating on review for possible
downgrade/D-), has made amendments to its programme documents
facilitating the termination of its programme-level letter of credit.
Giro Lion contains four transactions which are fully supported by liquidity
facilities provided by Bayerische Landesbank. The programme-level
letter of credit is not needed to fully support these transactions.
Giro Lion retains an issuer letter of credit, which is sized to
cover senior costs of Giro Lion. Additionally the programme limit
has been reduced to EUR 1.0 billion.
Giro Lion currently has EUR 453 million of purchase commitments and EUR
257 million of ABCP outstanding.
THE FOLLOWING PROGRAM WAS PLACED UNDER REVIEW FOR POSSIBLE DOWNGRADE DURING
THE PERIOD JULY 19, 2011 THROUGH JULY 25, 2011:
STRAIGHT-A FUNDING, LLC'S PRIME-1 (SF) RATING
ON REVIEW FOR POSSIBLE DOWNGRADE
For further details, please see Moody's press release dated July
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
JULY 19, 2011 THROUGH JULY 25, 2011:
THESEE LIMITED RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
(sf) rating of the ABCP issued by Thesee Limited, a partially supported,
multiseller ABCP programme sponsored and administered by BNP Paribas (Aa2
rating on review for possible downgrade/Prime-1/B- on review
for possible downgrade). As of 20 July 2011, all outstanding
ABCP were repaid in full. Moody's policies regarding the withdrawal
of ratings are described in "Moody's Guidelines for the Withdrawal of
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.
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
Senior Vice President
Structured Finance Group
Moody's Investors Service, Inc.
Moody's Investors Service, Inc.
Moody's ABCP rating actions ending July 25, 2011
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