New York, June 03, 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 25, 2010 THROUGH MAY 31, 2010:
SYNDICATE OF PRIME-1-RATED ABCP CONDUITS AMENDS INTEREST
IN AUTO SECURITIZATION TOTALING $4.25 BILLION
A syndicate of banks has renewed its participation in a $4.25
billion auto securitization established for an investment grade-rated
automotive manufacturer. The securitization is comprised of a revolving
auto loan facility and a revolving auto lease facility (subject to a $2.5
billion sub-limit). The participating conduits have financed
two Aaa-rated VFNs, one collateralized by retail installment
contracts and the related vehicles; and the other collateralized
by retail auto lease contracts and the related leased vehicles.
The VFN collateralized by retail installment contracts and the related
vehicles benefits from transaction-specific credit enhancement
in the form of overcollateralization (with a floor of 3.5%
of the highest principal balance since the last securitization take-out
date), a 0.50% reserve account, and excess spread.
The VFN collateralized by retail auto lease contracts and the related
leased vehicles benefits from transaction-specific credit enhancement
in the form of overcollateralization (with a floor of 25% of the
securitization value of the residual amount), a 0.50%
reserve account, and excess spread (minimum of 2.5%).
The liquidity facility for each participating conduit is sized at 100%
(plus CP interest) or 102% of the conduit's respective commitment.
All of the participating conduits have partially supported liquidity facilities.
The following Prime-1-rated ABCP conduits participated in
JPMorgan's Falcon Asset Securitization Company LLC and Jupiter
Securitization Company LLC (successor by merger with PARCO) have a combined
commitment totaling $1.15 billion.
Bank of America's Enterprise Funding Company LLC and Ranger
Funding Company LLC have a combined commitment totaling $1 billion.
The Royal Bank of Scotland plc's Amsterdam Funding Corp.
and Windmill Funding Corp. have a combined commitment totaling
Deutsche Bank's Gemini Securitization Corp., LLC has
$550 million commitment.
Société Générale's Barton Capital,
LLC has a $350 million commitment.
Citibank's CAFCO, LLC, Charta, LLC,
and CRC Funding, LLC have a combined commitment totaling $300
SOCIETE GENERALE'S BARTON ADDS $500 MILLION CREDIT CARD TRANSACTION
Barton Capital LLC ("Barton"), a partially supported, multiseller
ABCP program administered by Société Générale
("SG," rated Aa2/Prime-1/C+), has added a $500
million credit card transaction to its portfolio. The receivables
are originated by an investment grade-rated financial institution.
Transaction-specific credit enhancement is comprised of 24.5%
subordination and excess spread. This transaction is 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.
Barton was not required 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.
CIBC'S SAFE TRUST AND SOUND TRUST PURCHASE ABCP ISSUED BY SMART
SAFE Trust ("SAFE") and SOUND Trust ("SOUND"),
two partially supported, multiseller Canadian ABCP programs administered
by Canadian Imperial Bank of Commerce ("CIBC," rated Aa2/Prime-1/B-),
have each agreed, although not required, to purchase up to
C$500 million of Prime-1- rated senior short-term
notes issued by SMART Trust. SMART Trust ("SMART"),
another CIBC-administered multiseller Canadian ABCP program,
currently issues one series of notes, Series 1996-1 Senior
Short Term Notes, with C$350 million outstanding as of March
2010. The SMART Trust, Series 1996-1 notes has an
unlimited issuance amount and can be denominated in both Canadian and
Each of the three trusts is structured with a single program-liquidity
facility that is used to support the asset pools in the trust's
portfolio. The liquidity facilities continue to be in the form
of a loan agreement and are available to be drawn to redeem maturing notes
issued by the trusts. SMART will continue to maintain all of its
trust-related arrangements, such as its program-level
liquidity facility, administrative agent (also known as financial
services agent), indenture trustee, and note issuing and placement
agent. The subscribing conduit (either SAFE or SOUND) is not required
to match-fund its ABCP to the ABCP issued by SMART. While
the interest on the ABCP is entirely matched, the ABCP tenor may
differ. Since the program-level liquidity at subscribing
conduit level is appropriately sized to cover the exposure to Prime-1-rated
SMART ABCP, the ABCP tenor does not need to be matched.
As of March 31, 2010, SAFE had C$1.11 billion
in aggregate purchase commitments and C$1.11 billion in
outstanding Series 1996-1 Senior Short Term Notes.
As of March 31, 2010, SOUND had C$1.18 billion
in aggregate purchase commitments and C$1.13 billion in
outstanding Series 1998-1 Senior Short Term Notes.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
MAY 25, 2010 THROUGH MAY 31, 2010:
PARK AVENUE RECEIVABLES COMPANY, LLC RATING WITHDRAWN
At the issuer's request, Moody's has withdrawn the Prime-1
rating of the ABCP issued by Park Avenue Receivables Company, LLC
("PARCO"), a partially supported, multiseller ABCP program
administered by JPMorgan Chase Bank. On May 28, 2010,
PARCO and JS Siloed Trust merged with and into Jupiter Securitization
Company LLC. PARCO will not issue any further ABCP under its program.
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 31, 2010
Structured Finance Group
Moody's Investors Service