New York, June 09, 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 1, 2010 THROUGH JUNE 7, 2010:
SYNDICATE OF PRIME-1-RATED ABCP CONDUITS PURCHASES INTEREST
IN $1 BILLION VEHICLE FLEET LEASING SECURITIZATION
A syndicate of banks has participated in a newly established $1
billion one-year revolving securitization established for a financial
services firm in the fleet leasing business. The transaction is
financed by eight ABCP conduits, each with a $100 million
commitment. The remaining $200 million is funded elsewhere.
The securitization issues two series of notes: a Aa1-rated
Class A note and A2-rated Class B note. The conduits purchased
the Aa1-rated Class A notes, which are backed by a pool of
vehicle fleet leases and receivables.
The Class A notes benefits from an A2-rated $32.9
million subordinate note as well as an additional $40 million of
overcollateralization and a $25 million reserve fund. Interest
rate caps are in place to mitigate any funding cost risks associated to
the fixed-rate leases. The transaction also has provisions
that increase the credit enhancement if certain charge-off,
loss or delinquency triggers are breached. This transaction is
issued out of a master trust structure and refunds a maturing transaction
that was initiated in 2006.
The liquidity facility for each participating conduit is sized at 100%
(plus all CP interest) or 102% of its respective commitment.
The following Prime-1-rated ABCP conduits participated in
the facility, each with a $100 million commitment:
JPMorgan's Falcon Asset Securitization Company LLC
Deutsche Bank's Gemini Securitization Corp.,
Bank of Nova Scotia's Liberty Street Funding LLC
Barclays Capital's Salisbury Receivables Company, LLC
Citibank's CRC Funding, LLC
Royal Bank of Canada's Thunder Bay Funding, LLC
Royal Bank of Scotland's Windmill Funding Corp.
Wells Fargo's Variable Funding Capital Company LLC
Other non-conduit lenders provided the remaining commitments.
SOCIETE GENERALE'S BARTON AMENDS INTEREST IN EXISTING CREDIT CARD TRANSATION
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program administered by Société Générale
("SG," rated Aa2/Prime-1/C+), has amended its
interest in an existing credit card transaction. Barton currently
finances the Class A note, which is issued out of a master trust
and backed by a portfolio of credit card receivables originated by an
investment grade-rated financial institution. The amendments
to the existing transaction include: (i) an increase in commitment
to the Class A note, (ii) an advance rate to 85%, (iii)
the replacement of subordinated notes with overcollateralization,
and (iv) minor pricing amendments.
Transaction-specific credit enhancement is sized at 15%
and in the form of overcollateralization. In addition, the
Class A notes benefit from excess spread, which was at 9.8%
(3-month average) as of March 2010. The transaction continues
to be partially supported by a liquidity facility provided by Prime-1-rated
SG. The liquidity facility will not fund for defaulted assets,
which are charged-off receivables related to the Class A note.
The transaction has been in Barton's portfolio since 2009 and has
performed as expected.
Barton continues to post program-level credit enhancement for this
transaction. Barton has $9.1 billion of purchase
commitments and its program-level credit enhancement remains at
the $1 billion floor.
BMO'S CANADIAN MASTER TRUST AND SCOTIA'S KING STREET CO-PURCHASE
C$100 MILLION TRANSACTION BACKED BY DEALER FLOORPLAN RECEIVABLES
Canadian Master Trust ("CMT") and King Street Funding Trust ("King Street")
have joined to finance a C$100 million variable funding note backed
by a co-ownership interest in a pool of dealer floorplan receivables.
CMT is a partially supported, multiseller Canadian ABCP program
administered by BMO Nesbitt Burns Inc., a subsidiary of Bank
of Montreal (Aa2/Prime-1/B-). King Street is 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).
Transaction-specific credit enhancement is provided by overcollateralization
of 50.73% and a 1% cash reserve. The transaction
is partially supported by liquidity facilities provided by Bank of Montreal
(for CMT) and The Bank of Nova Scotia (for King Street).
Neither CMT nor King Street has program-level credit enhancement.
CMT has C$809 million in outstanding Series A notes. King
Street has outstanding ABCP of C$444 million and US$5 million.
JPMORGAN'S CHARIOT AMENDS PROGRAM
Chariot Funding LLC ("Chariot"), a partially supported,
multiseller ABCP program administered by JPMorgan Chase Bank ("JPMorgan,"
rated Aa1/Prime-1/B), has amended its program to allow for
inter-conduit loans with other JPMorgan-sponsored conduits,
such as Falcon Asset Securitization Company LLC and Jupiter Securitization
Company LLC. The loans that Chariot extends to the other JPMorgan
conduits are secured by assets of those conduits. The loans are
payable on demand and bear interest sufficient to cover Chariot's cost
of funds. Chariot has the ability to received loans from other
JPMorgan conduits. Moody's has reviewed the form of loan
agreement that will be used for each loan.
Chariot is comprised of two co-issuing entities: Chariot
Funding Limited, which is incorporated in Jersey and Chariot Funding
LLC, which is incorporated in Delaware. As of March 31,
2010, Chariot had $7.7 billion in total purchase commitments,
$5.4 billion in outstanding ABCP, and its program-level
credit enhancement remains at $500 million. The conduit
has an authorized program size of $30 billion.
STRAIGHT-A FUNDING ADDS THREE FUNDING NOTE ISSUERS TOTALING $727
MILLION IN AUTHORIZED AMOUNT
Straight-A Funding, LLC ("Straight-A"), a fully
supported, multiseller asset-backed commercial paper (ABCP)
conduit, has added three Funding Note Issuer (FNI), increasing
its authorized amount by a total of $727 million of commercial
paper. Two FNIs are public instrumentalities organized under state
law. The third is a non-profit corporation organized under
state law. Straight-A has a program size of $60 billion
and may purchase assets from 21 FNIs with a total authorized issuance
of $45 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 RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
JUNE 1, 2010 THROUGH JUNE 7, 2010:
TULIP FUNDING CORP./TULIP EURO FUNDING CORP. RATING WITHDRAWN
Moody's has withdrawn the Prime-1 rating of the ABCP issued by
Tulip Funding Corporation/Tulip Euro Funding Corporation (together,
"Tulip"), a multiseller ABCP programme sponsored by Royal Bank of
Scotland plc ("RBS," rated Aa3/Prime-1/C-).
The rating has been withdrawn for business reasons. The withdrawal
of the rating was requested by the issuer following the merger of Tulip
with Thames Asset Global Securitization No.1 Inc ("TAGS"),
a multiseller ABCP programme also sponsored by RBS. The merger
took effect on 4 May 2010. Tulip will not issue any further ABCP
under its programme. 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" (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 7, 2010