New York, June 23, 2010 -- 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 15, 2010 THROUGH JUNE 21, 2010:
JPMORGAN'S JUPITER AND FALCON AMEND PROGRAMS
Jupiter Securitization Company LLC ("Jupiter"), a partially supported,
multiseller ABCP program administered by JPMorgan Chase Bank ("JPMorgan,"
rated Aa1/Prime-1/B), has amended its program such that CP
investors are now secured parties. In the unlikely event that Jupiter
becomes the subject of bankruptcy proceedings, ABCP investors benefit
from a security interest in the underlying assets funded by Jupiter.
Falcon Asset Securitization Company LLC ("Falcon"),
another partially supported, multiseller ABCP program administered
by JPMorgan, has also amended its program. Falcon may enter
into inter-conduit loans with other JPMorgan-sponsored conduits,
such as Chariot Funding LLC and Jupiter Securitization Company LLC.
The loans that Falcon extends to the other JPMorgan conduits are secured
by assets related to those loans. The loans are payable on demand
and bear interest sufficient to cover Falcon's cost of funds. Likewise,
Falcon may receive loans from other JPMorgan conduits. Moody's
has reviewed the form of loan agreement that will be used for each loan.
Investors in Falcon's ABCP are now secured parties. In the
unlikely event that Falcon becomes the subject of bankruptcy proceedings,
ABCP investors benefit from a security interest in the underlying assets
funded by Falcon.
Jupiter has $12 billion in total purchase commitments, $8.4
billion in outstanding ABCP, and $679 million in program-level
credit enhancement. The conduit has an authorized program size
of $30 billion.
Falcon has $8.8 billion in total purchase commitments,
$5.01 billion in outstanding ABCP, and its program-level
credit enhancement remains at $500 million. The conduit
has an authorized program size of $23 billion.
DEUTSCHE BANKS' RHEINGOLD CONVERTS NINE EXISTING ASSET POOLS TO FULL SUPPORT
Rheingold Securitisation Limited ("Rheingold"), a partially supported,
multiseller ABCP conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/C+),
has converted nine existing asset pools to be fully supported by liquidity.
The liquidity facilities are provided by Prime-1-rated Deutsche
Bank. The total purchase limit of the converted transactions is
EUR 740 million.
Rheingold is authorised to issue up to EUR 4.1 billion of ABCP
and its program-level credit enhancements remains at EUR 425 million.
DEUTSCHE BANK'S RHEIN-MAIN CONVERTS TWO EXISTING ASSET POOLS TO
Rhein-Main Securitisation Limited ("Rhein-Main"),
a partially supported, multiseller ABCP conduit sponsored by Deutsche
Bank AG (Aa3/Prime-1/C+) has converted two existing asset
pools to be fully supported by liquidity. The liquidity facilities
are provided by Prime-1-rated Deutsche Bank. The
total purchase limit of the converted transactions is EUR 330 million.
Rhein-Main is authorised to issue up to EUR 2.8 billion
of ABCP and its program-level credit enhancements remains at EUR
CIBC'S SAFE TRUST ADDS C$100 MILLION TRADE RECEIVABLE FACILITY
SAFE Trust ("SAFE"), a partially supported, multiseller Canadian
ABCP program administered by Canadian Imperial Bank of Commerce ("CIBC,"
rated Aa2/Prime-1/B-), has added a C$100 million
trade receivable facility to its portfolio. The receivables are
originated by a Ba3-rated manufacturer in the building materials
industry and denominated in various currencies (CAD, USD,
GBP, and EUR). SAFE is responsible for arranging hedges for
non-Canadian denominated receivables to mitigate foreign-exchange
risk. A Baa2-rated corporation provides a performance guarantee
for the servicing operations of the seller.
Transaction-specific credit enhancement is based on a dynamic formula
that responds to changes in both defaults and dilution, and has
averaged 19% with a floor of 15%. Furthermore,
receivables originated outside of Canada and the U.S. benefit
from credit insurance provided by either Export Development Canada ("EDC,"
rated Aaa) or Atradius Credit Insurance NV (unrated). This transaction
is partially supported by a liquidity facility provided by Prime-1-rated
CIBC. The liquidity facility does not fund for defaulted receivables,
but does cover dilution and deemed collections. SAFE has a single
program-level liquidity facility that is used to support its notes.
With this transaction, SAFE has C$1.2 billion in aggregate
purchase commitments and C$1.2 billion in outstanding Series
1996-1 Senior Short Term Notes.
STRAIGHT-A FUNDING ADDS FOUR FUNDING NOTE ISSUERS TOTALING $1.991
BILLION IN AUTHORIZED AMOUNT
Straight-A Funding, LLC ("Straight-A"), a fully
supported, multiseller asset-backed commercial paper (ABCP)
conduit, has added four Funding Note Issuer (FNI), increasing
its authorized amount by a total of $1.991 billion of commercial
paper. Three FNIs are public instrumentalities organized under
state law. The fourth FNI is a special purpose vehicle sponsored
by a non-profit corporation organized under state law. Straight-A
has a program size of $60 billion and may purchase assets from
25 FNIs with a total authorized issuance of $47 billion.
Straight-A is intended to help implement the mandate to the Department
of Education under H.R. 5715, "Ensuring Continued
Access to Student Loans Act." The program funds student loans originated
and guaranteed through the Federal Family Education Loan Program (FFELP)
by issuing Student Loan Short Term Notes (SLSTNs). The SLSTNs are
fully supported through a liquidity facility provided by the Federal Financing
Bank, a government corporation under the general supervision and
direction of the Secretary of Treasury. The program may issue Series-1
and Series-2 notes which rank equal in payment priority and can
have expected maturities up to 90 days. Reflecting the terms of
the liquidity facility, the legal final maturity date for the Series-1
and Series-2 notes will be three and seven business days after
the date of their expected maturity, respectively. Moody's
Prime-1 rating of the SLSTNs applies to the legal final maturity
of those notes, which is three business days after the expected
maturity for the Series-1 SLSTNs and seven business days after
the expected maturity of the Series-2 SLSTNs.
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
Structured Finance Group
Moody's Investors Service
Moody's ABCP rating actions ending June 21, 2010