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18 Jun 2008
Moody's ABCP rating actions ending June 16, 2008
New York, June 18, 2008 -- Moody's ABCP rating actions for the seven-day period ended June
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD JUNE 10, 2008 THROUGH JUNE 16, 2008:
SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTERESTS
IN AUTO FACILITY WITH AN INITIAL COMMITMENT OF $1 BILLION
A syndicate of banks has participated in a newly established facility
with an initial commitment of $1 billion. This facility
was established for a non-investment-grade-rated
financial services company in the automotive industry. This facility
is structured to purchase securities backed by auto loans, auto
leases and dealer floorplan receivables. All of the securities
to be purchased will be rated Aaa by Moody's.
Two conduits fully support their ABCP issued to fund this facility.
The liquidity facility for each of the other participating conduit is
sized at 102% of its respective commitment, and funds for
securities that have positive credit enhancement.
The following Prime-1-rated ABCP conduits participated in
The Bank of Nova Scotia's Liberty Street Funding Corp. has
a $35.088 million interest and increased its program-level
credit enhancement by 10% of the purchase limit for the transaction.
BNP Paribas' Starbird Funding Corp. has a $50.125
million commitment with an additional 8% in program-level
credit enhancement as a percentage of its commitment amount.
Calyon's Atlantic Asset Securitization LLC has a $20.050
million interest and increased its program-level credit enhancement
by 10% of its commitment.
Credit Suisse's Alpine Securitization Corp. has a
$50.125 million commitment.
Deutsche Bank's Nantucket Funding Corp. LLC has a
$55.138 million interest in the facility and provides 8%
in program-level credit enhancement for the transaction.
JPMorgan's Park Avenue Receivables Company LLC has a $100.251
million commitment. PARCO's commitment is fully supported
by a liquidity facility provided by Prime-1-rated JPMorgan.
NordLB's Hannover Funding Corp. has a $7.519
million commitment. Program-level credit enhancement was
increased by 10% of its commitment. Hannover's commitment
is fully supported by a liquidity facility provided by Prime-1-rated
Societe Generale's Barton Capital LLC has a $47.619
million commitment in the facility.
WestLB AG's Paradigm Funding LLC has a $15.038 million
interest and increased its program-level credit enhancement by
10% of the purchase limit.
Other non-conduit lenders provided the balance of the transaction
CITIBANK'S DAKOTA CP NOTES PROGRAM AMENDS STRUCTURE
Citibank Dakota CP Notes Program, a single-seller,
short-term credit card notes ("CP Notes") program sponsored
by Citibank, N.A. (Aa1/Prime-1/B), has
amended its structure to include a liquidity note purchase facility sized
to cover the face amount of CP Notes issued from the Citibank Credit Card
Issuance Trust (CCCIT).
The liquidity note purchase facility will be provided by Citibank (South
Dakota), N.A. (Aa1/Prime-1/ B). Under
the restructured program, CP Notes that are not paid on their expected
maturity date will be purchased on that date by the liquidity note purchase
facility provided certain conditions are met. As with the previous
partial liquidity facility, the primary condition to funding is
that some portion of the credit support remains. Credit support
is provided by Class C notes of the CCCIT, in the amount of 6.95%
of the aggregate principal balance of the outstanding CP Notes.
The Prime-1 rating assigned to the CP Notes issued by the Citibank
Dakota CP Notes Program is based on, among other factors,
the following: (i) the quality and expected performance of the credit
card receivables purchased by CCCIT, (ii) credit enhancement in
the form of 6.95% subordination provided by the Class C
notes issued by CCCIT, (iii) liquidity provided by Citibank (South
Dakota), N.A. which will ensure the payment of face
CP on the expected maturity date so long as there is subordination available
to the CP Notes, (iv) structural protections to limit investors'
risk exposure, including a requirement to cease issuing CP Notes
or to terminate the facility if certain events occur, (v) the resources,
capability and credit strength of Citibank (South Dakota), N.A.
to service the credit card portfolio and perform administrative duties,
and (vi) structural protections to preserve the bankruptcy remoteness
of the program and investors' first priority perfected security interest
in the collateral.
For further details, please see Moody's press release dated
June 11, 2008.
BARCLAYS BANK'S SALISBURY ACQUIRES FIVE TRANSACTIONS TOTALING $2.327
Salisbury Receivables Company, LLC ("Salisbury"), a partially
supported, multiseller ABCP conduit sponsored and administered by
Barclays Bank PLC ("Barclays," rated Aa1/Prime-1/B),
has added five transactions totaling $2.327 billion to its
portfolio. All five transactions were transferred from Sheffield
Receivables Corporation, another ABCP conduit sponsored and administered
The first transaction is a $220 million interest in an $874
million Class A note issued out of a credit card master trust.
The collateral consists of Visa and Mastercard credit cards serviced by
an investment-grade-rated U.S. bank.
Transaction-specific credit enhancement is in the form of subordination
equal to 27%. This transaction is partially supported by
a liquidity facility provided by Prime-1-rated Barclays.
The liquidity facility is sized to cover the commitment amount plus all
interest on the CP. Liquidity will also be available to purchase
additional assets if ABCP cannot be issued to fund additional investments
in the Class A note. Due to the high credit quality of the assets,
there will be no increase in program-level credit enhancement for
Salisbury also added a $100 million interest in a $1 billion
co-purchase facility among several ABCP conduits. The variable
funding note ("VFN") is backed by automotive fleet leases
originated by an investment-grade-rated company.
Transaction-specific credit enhancement is in the form of overcollateralization
and a reserve account totaling 5.26%. This transaction
is partially supported by a liquidity facility provided by Barclays.
The liquidity facility is sized to cover the maximum purchase commitment
for Salisbury under the VFN plus interest accrued on the ABCP issued to
finance the VFN. Program-level credit enhancement was increased
by 10% of outstanding ABCP.
Salisbury acquired two FFELP student loan transactions totaling $666
million. Since both facilities consist of FFELP student loans,
defaulted loans are 97% guaranteed by the U.S. Department
of Education. The first transaction is a revolving student loan
warehouse facility consisting of a $213.4 million interest
in a Aaa-rated Class A note and a $6.6 million interest
in a A2-rated Class B note. This transaction is a co-purchase
facility among several ABCP conduits. Program-level credit
enhancement was increased by 10% of outstanding ABCP with respect
to the Class B note. There was no increase for the Class A note
due to the high credit quality of the note.
The other student loan transaction is a $446 million amortizing
facility backed by FFELP consolidation student loans originated by a subsidiary
of an investment-grade-rated finance company. Transaction-specific
credit enhancement is in the form of overcollateralization equal to a
minimum of 10% plus a non-declining reserve account.
Program-level credit enhancement was increased by 3% of
outstanding ABCP (the unguaranteed portion of the loans).
For both student loan facilities, liquidity partially supports the
transaction and is available to purchase non-defaulted receivables.
A defaulted receivable includes loans that have become more than 270 days
delinquent and are not guaranteed by the U.S. Department
of Education. Therefore, the guaranteed portion of the loans
is fully supported by liquidity.
In addition, Salisbury acquired a $1.341 billion amortizing
facility backed by prime auto loans originated and serviced by a subsidiary
of a Aa3-rated bank. The transaction benefits from strict
eligibility criteria to ensure that receivables are of a high credit quality.
Transaction-specific credit enhancement is in the form of a reserve
account and overcollateralization equal to a maximum of 1% of the
initial loan amount. This transaction is partially supported by
a liquidity facility provided by Barclays. The liquidity facility
is equal to the transaction's facility limit plus interest.
Program-level credit enhancement was increased by 10% of
Salisbury has $2.327 billion in purchase commitments with
$300 million in program-level credit enhancement.
For a more detailed description of these ABCP programs, see Moody's
Senior Vice President
Structured Finance Group
Moody's Investors Service
Structured Finance Group
Moody's Investors Service
No Related Data.
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