New York, September 26, 2013 -- Moody's ABCP rating actions for the seven-day period ending September
23, 2013
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD SEPTMEBER
17, 2013 THROUGH SEPTEMBER 23, 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.
CREDIT AGRICOLE'S ATLANTIC ACQUIRES A $50MM TRADE RECEIVABLES
FACILITY
Atlantic Asset Securitization, LLC ("Atlantic"),
a partially supported, multiseller ABCP program sponsored and administered
by Credit Agricole Corporate and Investment Bank, New York Branch
("CA-CIB," A2/Prime-1), has acquired a $50
million facility backed by trade receivables originated by a non-investment
grade-rated building materials company.
Transaction-specific credit enhancement is sized at the greater
of a (a) dynamic reserve and (b) floor reserve. The dynamic reserve
responds to changes in both historical defaults and dilution. The
floor reserve is comprised of a minimum dilution reserve and a concentration
reserve. The minimum dilution reserve is a based upon historical
dilutions. The concentration reserve is based upon the obligors'
concentration in the pool. This transaction is partially supported
by a liquidity facility provided by Prime-1-rated CA-CIB.
With this transaction, Atlantic increased its program-level
credit enhancement by 10% of commitments with respect to this transaction.
Atlantic has about $8.63 billion in purchase commitments,
with $5.55 billion in ABCP outstanding and $798 million
in program-level credit enhancement.
HSBC'S REGENCY CONVERTS AN EXISTING TRANSACTION TO FULL SUPPORT
Regency Assets Ltd/Regency Markets No.1 LLC ("Regency"),
a partially supported, multiseller conduit sponsored by HSBC Bank
Plc ("HSBC", Aa3/Prime-1/C), has converted an existing
partially supported auto loans transaction to full support. The
transaction is sized at $500m and consists of auto loans originated
by a US automotive finance company.
The transaction is fully-supported through a liquidity facility
provided by HSBC, sized at 102% of the purchase limit.
Full support is achieved via a liability based borrowing base which funds
for the face amount of CP issued.
Regency has approval to issue ABCP up to transaction limits which aggregate
to USD14 billion and has USD207 million in programme-level credit
enhancement.
RBC'S PLAZA TRUST AMENDS INTEREST IN TRADE RECEIVABLES FACILITY
Plaza Trust ("Plaza"), a partially supported, multiseller
Canadian ABCP program sponsored and administered by Royal Bank of Canada
("RBC," rated Aa3/Prime-1/C+), has amended its
interest in a trade receivables facility.
The material amendments include the following --
1) Reduce the program limit from C$110MM to C$55MM
2) Adjust the portfolio-based trigger levels
3) Reduce USD receivables from $25MM to $5MM.
Transaction-specific credit enhancement is in the form of dynamic
overcollateralization. The dynamic reserve responds to changes
in both historical defaults and dilution.
The transaction is partially supported by a transaction-level liquidity
facility provided by Prime-1-rated RBC and sized to cover
102% of outstanding ABCP issued by Plaza.
Plaza has C$2.68 billion of purchase commitments; its
program-level credit enhancement was C$238 million but only
C$178 million can be drawn.
SCOTIA BANK'S BAY STREET AND KING STREET AMEND RESIDENTIAL MORTGAGES
FACILITY
Bay Street Funding Trust ("Bay Street") & King Street Funding Trust
("King Street"), partially supported, multiseller
ABCP programs administered by Scotia Bank, have amended a C$500
million residential mortgage facility by upsizing the facility to C$750
million. In addition, there was a minor non-credit
related amendments to the facility. The underlying collateral consists
of 100% insured mortgages originated by an unrated Canadian mortgage
originator.
Bay Street and King Street do not have any program wide credit enhancement.
Bay Street currently has C$2.33 billion of purchase commitments
and C$1.7 billion of Canadian ABCP outstandings.
King Street currently has C$1.6 billion of purchase commitments
and C$1.3 billion of Canadian ABCP outstandings.
SCALDIS's ABCP RATING UNAFFECTED BY PROGRAMME AMENDMENTS
For further details, please see Moody's press release dated September
20, 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 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
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 September 23, 2013