New York, May 04, 2011 -- Moody's ABCP rating actions for the seven-day period ended May
2, 2011
MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 (SF) DURING THE
PERIOD APRIL 26, 2011 THROUGH MAY 2, 2011:
MOODY'S ASSIGNS PRIME-1 (SF) RATING TO HUDSON CASTLE'S FINANCIAL
INSTITUTIONS FUNDING LLC ABCP PROGRAM
For further details, please see Moody's press release dated
May 2, 2011.
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD APRIL 26, 2011 THROUGH MAY 2, 2011:
SYNDICATE OF ABCP CONDUITS PURCHASES INTEREST IN $15 BILLION AUTO
SECURITIZATION
A syndicate of banks has participated in a $15 billion auto securitization
established for a non-investment-grade-rated financial
services firm in the automotive industry. The assets in the securitization
are originated by three different asset originators. The $15
billion securitization is bifurcated into one $7.5 billion
facility and a second $7.5 billion facility (with a $3
billion sub-limit for Canadian collateral). Each facility
contains auto loans, auto leases (or lease-like products
in the Canadian sub-facility), and dealer floorplans.
Each participating conduit or conduit bank has taken a proportionate share
in the securitization, both in total and in the various sub-portions.
50% of the total securitization, and of each $7.5
billion sub-portion, is structured as a 364-day revolver,
while the remaining 50% is a 2-year commitment.
The conduits will purchase various unrated VFNs issued by three different
SPVs. Each VFN benefits from its own transaction-specific
credit enhancement. The credit support for the VFNs supported by
auto loans is comprised of overcollateralization and a required minimum
excess spread. The credit support for the VFNs supported by auto
leases is comprised of overcollateralization, additional discount
for the residual amount and a required minimum excess spread. The
credit support for the VFNs supported by dealer floorplans is comprised
of overcollateralization including a 0.50% cash reserve
and excess spread.
The liquidity facility for each participating conduit is sized at either
100% of its commitment plus all CP interest or 102% of its
commitment. This transaction is fully supported by all of the participating
conduits.
The following Prime-1 (sf) rated ABCP conduits participated in
the securitization:
JPMorgan's Chariot Funding LLC, Falcon Asset Securitization
Company LLC, and Jupiter Securitization Company LLC have combined
purchase commitments totaling $1.2 billion.
Citibank's CAFCO Funding, LLC, Charta,
LLC, CIESCO Funding, LLC, CRC Funding, LLC,
have combined purchase commitments totaling $1.2 billion.
Barclays Bank's Sheffield Receivables Corp. has acquired
a $1.1 billion commitment.
The Royal Bank of Scotland plc's Amsterdam Funding Corp.,
Windmill Funding Corp., and Thames Asset Global Securitization
No.1 Inc. (TAGS) have combined purchase commitments of $1.1
billion.
BNP Paribas' Starbird Funding Corp. and Matchpoint
Finance plc have a combined commitment of $1.1 billion.
Credit Agricole CIB's Atlantic Asset Securitization LLC has
an $800 million commitment.
Credit Suisse's Alpine Securitization Corp. has an $800
million commitment.
Royal Bank of Canada's Old Line Funding, LLC, Thunder
Bay Funding, LLC, and Plaza Trust have combined commitments
of $800 million.
Lloyds' Cancara Asset Securitisation Limited has a $550
million commitment.
PNC Bank's Market Street Funding LLC has a $550 million
commitment.
Société Générale's Barton Capital
LLC has a $500 million commitment.
Bank of Montreal's Fairway Finance Company, LLC has
a $450 million commitment.
Bank of Nova Scotia's Liberty Street Funding LLC has a $200
million commitment.
UniCredit Bank's Arabella Finance Limited/Arabella Finance
LLC has a $200 million commitment.
Other non-conduit lenders provided the remaining commitments.
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.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
New York
Wanda Lee
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's ABCP rating actions ending May 2, 2011