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Global Credit Research - 12 May 2010
New York, May 12, 2010 -- Moody's ABCP rating actions for the seven-day period ended May
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
DURING THE PERIOD MAY 4, 2010 THROUGH MAY 10, 2010:
BMO'S CARE TRUST AND SCOTIA'S KING STREET CO-PURCHASE
C$150 MILLION TRANSACTION BACKED BY RENTAL CAR FLEET RECEIVABLES
CARE Trust ("CARE") and King Street Funding ("King Street")
have joined to finance a C$150 million variable funding note backed
by rental car fleet receivables. CARE 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 a dynamic calculation
based on the vehicle composition in the portfolio. The form of
credit support is a combination of a letter of credit sized to cover at
least 10% of outstanding notes and overcollateralization sized
at a minimum of 3% of total assets. The letter of credit
is provided by a Prime-1- rated financial institution.
Based on the current portfolio composition, the transaction-specific
credit enhancement is approximately 31% of outstanding notes.
This transaction is partially supported by liquidity facilities provided
by Bank of Montreal (for CARE) and Bank of Nova Scotia (for King Street).
Neither CARE nor King Street has program-level credit enhancement.
CARE has C$644.67 million in outstanding Series A notes.
King Street has outstanding ABCP of C$421.7 million and
JPMORGAN'S PARCO AND JUPITER AMEND PROGRAM
Park Avenue Receivables Company, LLC ("PARCO") and Jupiter
Securitization Company LLC ("Jupiter"), two partially supported,
multiseller ABCP programs administered by JPMorgan Chase Bank (Aa1/Prime-1/B),
have amended their programs to allow for inter-conduit loans.
During the month of May, Jupiter will begin funding PARCO assets
through inter-conduit loans, while the volume of PARCO ABCP
will gradually reduce to zero. This arrangement accommodates the
planned merger of PARCO and JS Siloed Trust (Jupiter's purchasing
SPV) into Jupiter. The merger will occur on May 28, 2010
and Jupiter will become the surviving business entity from the merger.
The loans that Jupiter extends to PARCO are secured by the assets of PARCO
and will be used to repay maturing PARCO ABCP. Any ABCP issued
by PARCO will mature prior to the merger effective date. The loans
from Jupiter are payable on demand and bear interest equal to Jupiter's
cost of funds. The liquidity facilities related to the assets in
the PARCO portfolio will continue to exist and function as they currently
do. There should be no disruption in the liquidity coverage as
a result of the merger.
As of Feb 28, 2010, PARCO had $7.5 billion in
total purchase commitments, $4.2 billion in outstanding
ABCP, and $500 billion in program-level credit enhancement.
The conduit has an authorized program size of $25 billion.
As of Feb 28, 2010, Jupiter had $7.1 billion
in total purchase commitments, $5.5 billion in outstanding
ABCP, and $500 million in program-level credit enhancement.
The conduit's authorized program will remain at $30 billion.
ROYAL BANK OF SCOTLAND'S TAGS AND TULIP MERGE
In London, Moody's has affirmed the Prime-1 rating of Thames
Asset Global Securitization No.1 Inc ("TAGS") and the
Prime-1 rating of Tulip Funding Corp./Tulip Euro Funding
Corp. (together, "Tulip") following the merger
of the two programmes. TAGS and Tulip are both partially supported,
multiseller ABCP programmes sponsored by The Royal Bank of Scotland plc
("RBS," rated Aa3/Prime-1/C-).
May 4, 2010 is the effective date of the merger. Beginning
on the merger effective date, Tulip will cease issuing rated ABCP
to investors to fund assets purchased by its asset purchase company,
TAPCO. Following a one month transitional period, all of
Tulip's outstanding CP will be redeemed and Moody's Prime-1 rating
assigned to Tulip's ABCP will be withdrawn. By the end of
the transitional period, all existing Tulip assets purchased by
TAPCO, will be funded via commercial paper issued by TAGS.
The Tulip programme structure is comprised of three separate entities:
Tulip Funding Corporation ('TFC"), a special purpose,
bankruptcy remote Delaware corporation that issues USCP; Tulip Euro
Funding Corporation ('TEFCO"), a special purpose,
bankruptcy-remote Jersey corporation that issues ECP and Tulip
Asset Purchase Corporation B.V. ('TAPCO"),
a special purpose, bankruptcy-remote Dutch company established
to purchase or finance receivables. TAGS is a Delaware incorporated
special purpose vehicle established to fund assets through the issuance
of USCP or ECP. TAGS is permitted to purchase assets either directly
or through an intermediary purchasing vehicle.
Under the terms of the merger, TAPCO will be refinanced via the
TAGS rather than through TFC/TEFCO. This means that all existing
transactions currently funded through Tulip will become part of the TAGS'
portfolio. The liquidity facilities for each of the former Tulip
asset transactions will continue to be provided by RBS at the TAPCO level.
There are no changes to the underlying transaction structures other than
minor drafting changes to accommodate the new funding arrangement.
The programme-level credit support will be at the TAGS level and
includes all of Tulip's assets. TAGS' programme-level
credit enhancement remains sized at 5% of the amount of outstanding
ABCP issued for each asset pool (including fully supported transactions).
The merger programme is expected to have USD 11.5 billion in outstanding
ABCP and USD 575 million in programme-level credit enhancement
when the May transitional period concludes.
For further details, please see Moody's press release dated
May 4, 2010.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS CONFIRMED AT PRIME-1
DURING THE PERIOD MAY 4, 2010 THROUGH MAY 10, 2010:
HSH NORDBANK'S POSEIDON FUNDING LTD/POSEIDON FUNDING CORP. RATING
Moody's has confirmed the Prime-1 rating of the asset-backed
commercial paper notes (ABCP) issued by Poseidon Funding Limited/Poseidon
Funding Corporation ("Poseidon"). Poseidon is a hybrid conduit
sponsored and administered by HSH Nordbank AG (A3/Prime-1/E+).
This rating action follows Moody's December 21, 2009 rating
action to place on review for possible downgrade the Prime-1 rating
of HSH Nordbank AG. HSH Nordbank AG provides, among other
functions, liquidity support and programme-level credit support
to Poseidon. Moody's rating rationale for Poseidon's ABCP
is primarily based on the short term rating of HSH Nordbank as support
provider to Poseidon. On May 4, 2010 Moody's concluded its
review of HSH Nordbank AG and confirmed the bank's short-term
rating of Prime-1. As a result, Moody's has confirmed
the Prime-1 rating of Poseidon's ABCP.
As of May 4, 2010 Poseidon had EUR 130.7 million of ABCP
outstanding. For further details, please see Moody's
press release dated May 5, 2010.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
MAY 4, 2010 THROUGH MAY 10, 2010:
SYNTHESIS FUNDING LIMITED RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1.za
rating of the ABCP issued by Synthesis Funding Limited ("Synthesis"),
a partially supported, hybrid ABCP program administered by Nedbank
Limited (Aa2.za/P-1.za). The rating has been
withdrawn for business reasons. All current and future issuance
under the program will not be rated by Moody's going forward. Moody's
policies regarding the withdrawal of ratings are described in "Moody's
Guidelines for the Withdrawal of Ratings".
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
Moody's ABCP rating actions ending May 10, 2010
Structured Finance Group
Moody's Investors Service
No Related Data.
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