New York, April 30, 2015 -- Moody's ABCP rating activities for the seven day period ending April 27,
2015
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD APRIL
21, 2015 THROUGH APRIL 27, 2015:
Moody's has reviewed the following ABCP programs in conjunction
with the proposed additions and amendments, as applicable.
At this time the additions and amendments, in and of themselves,
will not result in any rating impact on their respective program.
Moody's does not believe they will 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 additions and amendments
could have other, non-credit-related effects.
SYNDICATE OF ABCP CONDUITS AMEND INTEREST IN AN AUTO SECURITIZATION
Amendments were made to an existing auto securitization facility established
for a non-investment-grade-rated financial services
firm in the automotive industry. The facility was increased by
$1 billion to $12.5 billion, and consists of
two separate SPVs: a $4.5 billion facility and an
$8.0 billion facility. Each SPV issues unrated variable
funding notes (VFNs). The underlying collateral include auto loans,
auto leases and auto dealer floorplan receivables originated by two different
asset originators. Participating conduits and banks have a pro-rata
share in the VFNs issued by each SPV. The VFNs benefit from their
own transaction-specific credit enhancement. Liquidity fully
supports all assets funded through the conduits.
The following ABCP conduits participate in the securitization:
JPMorgan's Chariot Funding LLC and Jupiter Securitization Company LLC
have combined commitments totaling $1.225 billion.
Citibank's CAFCO, LLC, CHARTA, LLC, CIESCO,
LLC, and CRC Funding, LLC, have combined purchase commitments
of $1.225 billion.
Barclays Bank PLC's Salisbury Receivables Company, LLC has a $1.1
billion commitment.
Credit Agricole CIB's Atlantic Asset Securitization, LLC has
an $900 million commitment.
Royal Bank of Canada's Old Line Funding, LLC and Thunder Bay Funding,
LLC have combined commitments of $900 million.
Scotiabank's Liberty Street Funding, LLC has a $775 million
commitment.
Société Générale's Barton Capital,
LLC has a $775 million commitment.
Lloyds' Cancara Asset Securitisation Limited has a $725 million
commitment.
Bank of Montreal's Fairway Finance Company, LLC has a $350
million commitment.
The remaining commitments are from non-conduit purchasers or non-Moody's
rated conduits.
SOCIETE GENERALE'S BARTON RENEWS INTEREST IN EXISTING SYNDICATED AUTO
SECURITIZATION
Barton Capital, LLC ("Barton"), a partially supported,
multiseller ABCP program sponsored and administered by Societe Generale
("SG," rated A2/Prime-1), has renewed its $200
million interest in an existing $3.0 billion syndicated
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. The participating
conduits hold two Aaa (sf)-rated variable funding notes (VFNs),
one collateralized by retail installment contracts and the related vehicles
(auto loans); and the other collateralized by retail auto lease contracts
and the related leased vehicles (auto leases).
The VFN collateralized by auto loans 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 auto
leases benefits from transaction-specific credit enhancement in
the form of overcollateralization (with a floor of 20% of the securitization
value of the residual amount), a 0.50% reserve account,
and excess spread (minimum of 2.50%).
The transaction remains partially supported by a liquidity facility provided
by Prime-1 SG.
Barton has $6.3 billion of purchase commitments and its
program-level credit enhancement remains at the $500 million
floor.
NEW RENTAL CAR TERM ISSUANCE HAS NO IMPACT TO BMO, RBC AND SCOTIABANK'S
ABCP PROGRAMS
Canadian Master Trust ("CMT"), Plaza Trust ("Plaza"),
and Bay Street Funding Trust ("BSFT" together with CMT and Plaza,
the "Conduits"), are three partially supported,
multiseller Canadian ABCP programs sponsored and administered, respectively,
by BMO Nesbitt Burns Inc., a subsidiary of Bank of Montreal
("BMO" rated Aa3/Prime-1), Royal Bank of Canada
("RBC," rated Aa3/Prime-1), and Scotiabank (rated Aa2/Prime-1).
The Conduits fund an existing unrated CAD450 million variable funding
note (VFN) backed by a fleet of rental cars for a non-investment
grade rental car company ("Conduit Transaction"). Each
Conduit has a CAD150 million interest in the VFN.
The VFN issuer has completed a new term note issuance. The new
issuance does not impact the rating of the ABCP issued by each Conduit
to fund its obligations under the Conduit Transaction.
The Conduit Transaction remains partially supported by a liquidity facility
provided by Prime-1 BMO, RBC, and Scotiabank in support
of their respective Conduit.
Plaza's program-level credit enhancement is required to be increased
by 10% of aggregate investments. Plaza has approximately
CAD1.97 billion of outstandings and its program-level credit
enhancement is approximately CAD200 million.
CMT has approximately CAD1.47 billion of outstandings and purchase
limits of CAD2.3 billion.
BSFT has approximately CAD1.4 billion of outstandings and purchase
limits of CAD2.2 billion.
CIBC'S SOUND TRUST AMENDS INTEREST IN EXISTING EQUIPMENT LOAN AND LEASE
FACILITY
SOUND Trust ("SOUND"), a partially supported, multiseller
Canadian ABCP program sponsored and administered by Canadian Imperial
Bank of Commerce ("CIBC," rated Aa3/Prime-1), has amended
its interest in an existing CAD250 million equipment loan and lease securitization.
The collateral is comprised of leases and loans originated by a non-investment
grade rated leasing company. The securitization is structured as
a two-year revolving facility and has been in SOUND's portfolio
since March 2013. SOUND is an uncommitted purchaser and its commitment
is in the form of an unrated note issued out of an existing trust.
The amendments include extending the revolving facility's expiration
date to March 2017 and amending SOUND's commitment to include a
one-time increase to CAD400 million. The transaction-specific
credit enhancement remains unchanged and is comprised of a 2% cash
account, overcollateralization sized at 7.25% of the
highest pool balance, and minimum excess spread of 4.25%.
This transaction remains partially supported by a liquidity facility provided
by Prime-1 CIBC.
SOUND has CAD2.5 billion in aggregate purchase commitments and
CAD1.5 billion in outstanding Series 1998-1 Senior Short
Term Notes.
RBC'S PLAZA TRUST AMENDS TWO FACILITIES BACKED BY CREDIT CARD RECEIVABLES
AND TRADE RECEIVABLES
Plaza Trust ("Plaza"), a partially supported, multiseller
ABCP program sponsored and administered by Royal Bank of Canada ("RBC,"
rated Aa3/Prime-1), has amended an existing CAD500 million
commitment in a credit card receivables facility for an unrated financial
institution company and an existing CAD110 million trade receivables facility.
For the credit card receivables facility, an amendment was made
to remove certain accounts pursuant to the transaction's documents.
Transaction-specific credit enhancement is comprised of a 9%
letter of credit and excess spread.
For the trade receivables facility, the deal was renewed and the
commitment date was extended. Additionally, minor amendments
were made that were credit neutral. Transaction-specific
credit enhancement is in the form of dynamic overcollateralization sized
based on historical defaults.
Each transaction remains partially supported by a liquidity facility provided
by Prime-1 RBC.
Plaza's program-level credit enhancement is required to be increased
by 10% of aggregate investments. Plaza has approximately
CAD1.97 billion of outstandings and its program-level credit
enhancement is approximately CAD200 million.
The principal methodology used in these ratings was "Moody's Approach
to Rating Asset-Backed Commercial Paper" published in March 2015.
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 updated performance information,
which is published quarterly in the Performance Overviews. All
publications are available on www.moodys.com.
This publication does not announce a credit rating action. For
any credit ratings referenced in this publication, please see the
ratings tab on the issuer/entity page on www.moodys.com
for the most updated credit rating action information and rating history.
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
Lisa B Singman
VP - Senior Credit Officer
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 activities ending April 27, 2015