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Global Credit Research - 12 Oct 2010
New York, October 12, 2010 -- Moody's ABCP rating actions for the seven-day period ended October
THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1
(SF) DURING THE PERIOD OCTOBER 5, 2010 THROUGH OCTOBER 11,
SYNDICATE OF ABCP CONDUITS PURCHASES INTERESTS IN $3.5 BILLION
A syndicate of banks has participated in a newly established auto facility
totaling $3.5 billion. The facility is an amortizing
auto loan facility established for a non-investment-grade-rated
financial services firm in the automotive industry.
The note issued by the facility is unrated, but benefits from transaction-specific
credit enhancement in the form of 7.5% initial overcollateralization
with a target overcollateralization level of 13.2%,
0.5% required cash reserve account, and a required
minimum excess spread of 5%. The transaction has a 5%
overcollateralization floor of the initial pool balance.
The liquidity facility for each participating conduit is sized to cover
100% of outstanding ABCP (including interest on ABCP through maturity).
The liquidity facilities typically fund for non-defaulted assets
and estimated recoveries.
The following ABCP conduits participated in the facilities:
Citibank's CRC Funding, LLC, CIESCO Funding,
LLC, CHARTA, LLC, and CAFCO Funding, LLC have
combined purchase commitments totaling $1.5 billion.
Each participating conduit increased its program-level enhancement
by either 8% of the outstanding asset balance or 10% of
the outstanding asset balance.
Barclays Bank's Sheffield Receivables Corp. and Salisbury
Receivables Company, LLC have acquired a combined commitment of
$1.0 billion. Program-level credit enhancement
increased by 10% of the authorized commitment for Sheffield and
10% of outstanding ABCP for Salisbury.
Deutsche Bank's Gemini Securitization Corp., LLC has
acquired a $1.0 billion interest and increased its program-level
credit enhancement by 8% of outstanding ABCP issued with respect
to its commitment. Gemini's commitment is fully supported
NATIXIS MAGENTA FUNDING ISSUES SUBORDINATED NOTES TO FUND FIRST LOSS RESERVE
MAnaGed and ENhanced Tap (MAGENTA) Funding S.T. ("Magenta
Funding"), a fully supported, multiseller ABCP conduit sponsored
by Natixis (Aa3/Prime-1/D+), has issued subordinated
notes in an initial amount of EUR 2 million to a third party investor.
The proceeds of the subordinated notes will be held in a loss reserve,
which can be drawn to reimburse Magenta Funding liquidity providers for
transaction losses in excess of transaction-specific credit enhancement.
Magenta Funding's ABCP remains fully supported by liquidity facilities,
which are currently provided by Natixis, and will not benefit from
the loss reserve. The interest and principal on the subordinated
notes are fully subordinated to Magenta Funding's senior creditors,
including ABCP holders, and may only be paid if there are funds
in excess of amounts needed to repay senior creditors. The repayment
of principal at maturity will be limited to the amount available on the
loss reserve account.
Magenta is authorized to issue up to EUR 990.42 million of ABCP.
ING'S MONT BLANC ADDS EUR 120 MILLION TRADE RECEIVABLE TRANSACTION
Mont Blanc Capital Corp. ("Mont Blanc"), a partially supported,
multiseller ABCP conduit sponsored by ING Bank NV (Aa3/Prime-1/C+),
has added a EUR 120 million trade receivable securitization to its portfolio.
The receivables are originated by French subsidiaries of a company operating
in production and distribution of cement and related building materials.
Transaction-specific credit enhancement is in the form of overcollateralisation.
Investors also benefit from various termination events such as pool performance
triggers and the financial condition of the originator. The transaction
is partially supported through a Euro-denominated liquidity facility
provided by ING Bank NV, Dublin Branch. The liquidity facility
covers non-defaulted assets, traditional seller risks as
well as CP yield and senior expenses. Loss, dilution and
yield reserves are fully fungible for the benefit of CP holders.
Mont Blanc's program-level credit enhancement is dynamically sized
at the higher of 10% of the CP outstanding or USD 300 million.
With the addition of this transaction, Mont Blanc is authorized
to issue up to USD 5.5 billion.
CIBC'S SOUND TRUST ADDS C$85 MILLION TRADE RECEIVABLE FACILITY
SOUND Trust ("SOUND"), a partially supported, multiseller
Canadian ABCP program administered by Canadian Imperial Bank of Commerce
("CIBC," rated Aa2/Prime-1/B-), has added a
C$85 million trade receivable facility to its portfolio.
The receivables are originated by a large Canadian utility company.
The obligors are diversified and consist of residential, commercial,
and industrial customers. This is a revolving facility, so
new receivables are added on a regular basis.
Transaction-specific credit enhancement is sized at a minimum of
13% and is based on a dynamic formula that responds to changes
in both defaults and dilution. 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. SOUND has a single
program-level liquidity facility that is used to support its notes.
With this transaction, SOUND has C$1.14 billion in
aggregate purchase commitments and C$1.1 billion in outstanding
Series 1998-1 Senior Short Term Notes.
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.
Structured Finance Group
Moody's Investors Service
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's Investors Service
Moody's ABCP rating actions ending October 11, 2010
250 Greenwich Street
New York, NY 10007
No Related Data.
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