New York, October 09, 2013 -- Moody's ABCP rating actions for the seven-day period ending October
7, 2013
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD OCTOBER
1, 2013 THROUGH OCTOBER 7, 2013:
Moody's has reviewed the following ABCP programs in conjunction
with the proposed amendments. The amendments, in and of themselves
and at this time, will not result in any rating impact on the respective
programs. For the mentioned programs, Moody's believes that
the amendments do not have an adverse effect on the credit quality of
the securities such that the Moody's ratings are impacted.
Moody's does not express an opinion as to whether the amendment could
have other, non-credit-related effects.
MOODY'S ASSIGNS PRIME-1 (SF) RATING TO TORONTO DOMINION-SPONSORED
BANNER TRUST ABCP PROGRAM
For further details, please see Moody's press release dated October
1, 2013
BARCLAYS' SHEFFIELD PURCHASES TWO SERIES OF NOTES FOR $290
MILLION IN FLEET LEASE RECEIVABLES
Sheffield Receivables Corp., a partially supported,
multiseller ABCP conduit administered by Barclays Bank Plc ("Barclays",
A2/C-/Prime-1) has added two series of notes totaling $290
million backed by automotive fleet lease receivables. One series
will have a tenor of 364 days and a commitment of $224.1
million. The second series will have a two year tenor and a commitment
of $65.9 million. Each series will be comprised of
three rated notes.
This transaction is fully supported by a liquidity facility provided by
Prime-1-rated Barclays. The liquidity facility is
sized to cover the principal and interest on the commercial paper issued
to finance the transaction.
Sheffield's program-level credit enhancement is required
to be increased by 10% of the facility limit. Sheffield
has approximately $5.56 billion of outstanding CP and its
program-level credit enhancement is $855 million.
NATIXIS' VERSAILLES ADDS ONE $35 MILLION CLO NOTES
Versailles Assets, LLC ("Versailles Assets"), a partially
supported, multiseller ABCP conduit sponsored and administered by
NATIXIS NEW YORK BRANCH ("NATIXIS," rated A2/Prime-1),
has added one highly-rated $35 million CLO notes to its
portfolio.
Versailles Assets will finance this note by issuing Prime-1-rated
ABCP to Versailles Commercial Paper, LLC. Versailles Commercial
Paper, in turn, will issue Prime-1-rated ABCP
to investors in the capital market to purchase the Versailles Assets ABCP.
The liquidity support is at the Versailles Assets level, and covers
any timing mismatch, or liquidity risk, between the underlying
notes and the ABCP issued to Versailles Commercial Paper. The program-level
credit enhancement is at the Versailles Commercial Paper level.
The transaction is a $35 million interest in Aaa-rated Class
A-R note. The transactions is supported by a liquidity facility
provided by NATIXIS. The liquidity facilities fully support the
ABCP.
Due to the high credit quality of the notes, Versailles Commercial
Paper is not required to provide incremental program-level credit
enhancement. Versailles has $4.8 billion in purchase
commitments, with $3 billion in ABCP outstanding and $276.97
million in program-level credit enhancement.
SCOTIABANK'S BAY STREET, BMO CAPITAL MARKETS' CANADIAN MASTER TRUST,
AND CIBC'S SAFE TRUST AMEND INTEREST IN EXISTING AUTO DEALER FLOORPLAN
FACILITY
Bay Street Funding Trust ("Bay Street"), Canadian Master Trust ("CMT")
and SAFE Trust ("SAFE"), have agreed to certain amendments to their
respective transactions in an existing auto dealer floorplan facility.
Each conduit holds a separate unrated note (the VFNs) issued out of a
master trust and has a commitment amount of $200 million.
The VFNs are secured by a revolving pool of dealer floorplan loans originated
by a Canadian auto finance company. The transaction remains structured
as a two-year revolving facility, although the termination
date of the respective revolving periods varies as between the trusts.
Bay Street is a partially supported, multiseller Canadian ABCP program
administered by Scotia Capital Inc., a wholly owned-subsidiary
of Scotia Bank (Aa2/Prime-1/B-). Canadian Master
Trust ("CMT") is a partially supported, multiseller ABCP conduit
administered by BMO Nesbitt Burns Inc., a subsidiary of Bank
of Montreal (Aa3/Prime-1/C+). SAFE is a partially supported,
multiseller Canadian ABCP program administered by Canadian Imperial Bank
of Commerce ("CIBC," rated Aa3/Prime-1/C+).
The amendments include changes to certain of the concentration limits,
modifying the credit enhancement structure and other minor amendments
to the indenture supplement and note purchase agreements. This
transaction has been in Bay Street's portfolio since 2011,
and in CMT and SAFE's portfolios since 2012. The transaction has
performed well since inception.
Transaction-specific credit enhancement is comprised of a cash
reserve account sized at 1% of funded amount and overcollateralization
(with a minimum O/C of 30.7% of funded amount). The
reported 3-month average principal payment rate is 49.73%.
The transaction remains partially supported by liquidity facilities provided
by Prime-1 rated banks. Bay Street has transaction-specific
liquidity facility provided by Prime-1-rated Scotiabank.
CMT has a single program-level liquidity facility that is provided
by Prime-1 rated Bank of Montreal. SAFE has a single program-level
liquidity facility that is provided by Prime-1 rated CIBC.
Bay Street currently has C$2.33 billion of purchase commitments
and C$1.7 billion of Canadian ABCP outstanding.
CMT currently has C$1.89 billion of purchase commitments
and C$1.35 billion of Canadian ABCP outstanding.
SAFE has C$1.5 billion of purchase commitments and C$1.25
billion in outstanding Series 1996-1 Senior Short Term Notes.
TORONTO DOMINION-SPONSORED ZEUS, MERIT AND PRIME ACQUIRE
AN INTEREST IN AN AUTO LEASE FACILITY
Zeus Receivables Trust ("Zeus"), Merit Trust ("Merit"),
and Prime Trust ("Prime"), three partially supported,
multiseller Canadian ABCP programs sponsored by Toronto Dominion Bank
("TD," Aa1/Prime-1/B) and administered by TD Securities Inc.,
have added a C$503 million amortizing facility backed by auto leases
originated by an investment grade rated Canadian automotive manufacturer.
Transaction-specific credit enhancement is in the form of 15.3%
overcollateralization, a 1% cash account and excess spread.
The transaction is partially supported by a program-level liquidity
facility provided by Prime-1 rated TD and sized to cover 100%
of outstanding ABCP issued by Zeus, Merit and Prime. The
three programs do not have any program-level credit enhancement.
Zeus has C$3.065 billion in outstanding ABCP; Merit
has C$3.034 billion in outstanding ABCP and Prime has C$3.22
billion in outstanding ABCP.
TORONTO DOMINION-SPONSORED BANNER TRUST ACQUIRES AN INTEREST IN
FIVE ASSET POOLS BACKED BY RESIDENTIAL MORTGAGES AND TRADE RECEIVABLES
Banner Trust ("Banner"), a partially supported,
multiseller Canadian ABCP program sponsored by Toronto Dominion Bank ("TD,"
Aa1/Prime-1/B) and administered by TD Securities Inc.,
has acquired an interest in five asset pools totaling $1 billion.
The five asset pools are part of existing co-purchase facilities
with Banner's three sister ABCP conduits, Merit Trust,
Prime Trust and Zeus Trust. The assets consist of four pools of
primarily insured residential mortgages and one pool of trade receivables.
The residential mortgages are fully supported by program-level
liquidity provided by Prime-1 rated TD and sized to cover 100%
of outstanding ABCP issued by Banner.
The trade receivables facility is partially supported by a program-level
liquidity facility provided by Prime-1 rated TD and sized to cover
100% of outstanding ABCP issued by Banner. Transaction-specific
credit enhancement is in the form of dynamic overcollateralization equal
to a minimum of 13% of the funded amount of the asset pool.
Similar to Banner's sister ABCP programs, there is no program-level
credit enhancement. Prior to this acquisition Banner had no outstanding
ABCP.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD
OCTOBER 1, 2013 THROUGH OCTOBER 7, 2013:
MOODY'S WITHDRAWS THE PRIME-1 (SF) RATING OF ABCP ISSUED
BY HSBC'S BRYANT PARK FUNDING LLC
For further details, please see Moody's press release dated
October 1, 2013.
The principal methodology used in these ratings was "Moody's Approach
to Rating Asset-Backed Commercial Paper" published in May 2012.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
Moody's monitors and analyzes ABCP programs on an ongoing basis.
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 www.moodys.com.
Valerie F. Oliveri
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Everett Rutan
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's ABCP rating actions ending October 7, 2013