New York, June 04, 2015 -- Moody's ABCP rating activities for the week ending May 29, 2015
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM MAY 25, 2015
THROUGH MAY 29, 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 the 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 AUTO LEASE SECURITIZATION
An existing revolving facility established for a non-investment-grade-rated
financial services firm in the automotive industry has amended its facility.
The facility, which issues unrated notes, is backed by a pool
of auto and commercial leases. The facility size was increased
$1.5 billion to $4.5 billion.
Transaction specific credit enhancement is in the form of overcollateralization
and excess spread. This transaction is fully supported by all of
the participating ABCP conduits.
The following ABCP conduits participate in the securitization:
• JPMorgan's Chariot Funding LLC is an existing purchaser with a
$450 million commitment. Chariot has $13.3
billion in total purchase commitments, $8.3 billion
in outstandings, and $1.0 billion in program-level
credit enhancement.
• Barclays Bank's Sheffield Receivables Company LLC is a new purchaser
with a $400 million commitment. Sheffield has $11.6
billion in purchase commitments, $8.8 billion in outstandings,
and $1.02 billion in program-level credit enhancement.
• BNP Paribas' Starbird Funding Corporation is an existing
purchaser with a $400 million commitment. Starbird has $5.4
billion in purchase commitments, $3.0 billion in outstandings,
and $430 million in program-level credit enhancement.
• Citibank's CAFCO, LLC, CHARTA, LLC, CIESCO,
LLC, and CRC Funding, LLC, are existing purchasers and
have combined purchase commitments of $400 million.
CHARTA has $9.9 billion in purchase commitments and $6.0
billion in outstandings, while CRC has $9.0 billion
in purchase commitments and $6.1 billion in outstandings.
CHARTA and CRC's program-level credit enhancement remain at 10%
of outstanding assets
CAFCO has $9.3 billion in purchase commitments and $6.1
billion in outstandings, while CIESCO has $9.1 billion
in purchase commitments and $6.1 billion in outstandings.
CAFCO and CIESCO's program-level credit enhancement remain at 8%
of outstanding assets.
• Credit Agricole CIB's Atlantic Asset Securitization, LLC
is an existing purchaser with a $400 million commitment.
Atlantic has $9.8 billion in purchase commitments,
$6.3 billion in outstandings, and no program-level
credit enhancement.
• Royal Bank of Canada's Old Line Funding, LLC is a new purchaser
with a $300 million commitment. Old Line Funding has $17.2
billion of purchase commitments and $11.7 billion in outstanding
ABCP. Its program-level credit enhancement is $1.6
billion with a $300 million floor.
• Societe Generale's Barton Capital LLC is a new purchaser with a
$300 million commitment. Barton has $6.3 billion
of purchase commitments, $4.3 billion of outstandings,
and its program-level credit enhancement remains at the $500
million floor.
The remaining commitments are from non-conduit purchasers or non-Moody's
rated conduits.
BARCLAYS' SHEFFIELD MERGES WITH SALISBURY
Sheffield Receivables Company LLC ("Sheffield"), a partially supported,
multiseller ABCP program sponsored and administered by Barclays Bank PLC
("Barclays"), has merged with its sister program Salisbury Receivables
Company LLC("Salisbury"). All the rights, duties
and obligations of Salisbury will be vested in Sheffield.
After the merger Sheffield's purchase limit was $11.6
billion and its outstanding ABCP was $8.8 billion.
Its program-level credit enhancement increased to $1.02
billion.
RENTAL CAR FACILITY AMENDED IN BMO'S RIDGE TRUST AND SCOTIABANK'S
KING STREET
Ridge Trust ("Ridge") and King Street Funding Trust ("King Street" together
with Ridge, the "Conduits"), are two partially supported,
multiseller Canadian ABCP programs sponsored by BMO Nesbitt Burns Inc.,
a subsidiary of Bank of Montreal ("BMO") and Scotiabank, respectively.
The Conduits fund an existing unrated note backed by a fleet of rental
cars for a non-investment grade rental car company. An amendment
was made to adjust a concentration limit applicable to investment grade
manufacturers.
The transaction remains partially supported by a liquidity facility provided
by Prime-1(cr)-rated BMO and Prime-1(cr) Scotiabank
in support of their respective Conduit.
Ridge Trust has approximately CAD1.7 billion of outstandings and
purchase limits of CAD2.5 billion.
King Street has approximately CAD1.3 billion of outstandings and
purchase limits of CAD1.7 billion.
CANTOR FITZGERALD'S ISF ADDS A $350 MILLION LIQUIDITY FACILITY
Institutional Secured Funding (Jersey) Limited ("ISF"), a fully
supported, multiseller ABCP program sponsored and administered by
Cantor Fitzgerald Investment Advisors, L.P.,
an affiliate of Cantor Fitzgerald & Co. ("Cantor Fitzgerald"),
has entered into a $350 million facility to finance equipment loan
and lease receivables for an unrated company.
Liquidity, provided by the unrated branch of a Prime-1(cr)
financial institution, is fully supported, funding for the
face amount of ABCP. The reference point used as the input for
this support provider is the CR Assessment. Although Moody's does
not assign a rating to the branch of the financial institution,
Moody's has concluded that the obligations of the branch are consistent
with the Prime-1 rating assigned to the short-term notes
issued by ISF.
ISF does not have program-wide credit enhancement.
NATIXIS' VERSAILLES ADDS A Aaa(sf) CLO NOTE
Versailles Assets, LLC ("Versailles Assets"), a partially
supported, multiseller ABCP conduit sponsored and administered by
Natixis, New York Branch ("Natixis", rated (P)A2/Prime-1),
has added a $20 million interest in a Aaa(sf)-rated CLO
note to its portfolio.
Versailles Assets will finance this note by issuing Prime-1(sf)-rated
ABCP to Versailles Commercial Paper, LLC. Versailles Commercial
Paper, in turn, will issue Prime-1(sf)-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 transactions is fully supported by a liquidity facility provided by
Prime-1-rated Natixis.
Given the high credit quality of the CLO note, Versailles'
is not required to increase its program-level credit enhancement
with respect to this transaction. Versailles has $5 billion
in purchase commitments, $3.3 billion in ABCP outstanding
and $296 million in program-level credit enhancement.
RABOBANK'S NIEUW AMSTERDAM AMENDS PROGRAM DOCUMENTS
Nieuw Amsterdam Receivables Corporation S.à r.L.
has merged with Nieuw Amsterdam Receivables Corporation B.V.
Effective May 29, 2015, the Rabobank administered conduit
will be domiciled in the Netherlands. Additionally, Nieuw
Amsterdam Receivables Corporation B.V. has amended its program
documents to appoint Deutsche Bank Trust Company Americas as Collateral
Trustee.
Nieuw Amsterdam is a partially supported ABCP conduit sponsored by Rabobank
Nederland. Rabobank Nederland is also the administrative agent
and liquidity provider for the program.
Nieuw Amsterdam has a $8.6 billion program limit and approximately
$5.5 billion of ABCP outstanding. Its program-level
credit enhancement is approximately $250 million.
TORONTO DOMINION-SPONSORED CONDUITS ACQUIRE AN INTEREST IN TWO
POOLS OF RESIDENTIAL MORTGAGES
Banner Trust ("Banner"), a partially supported, multiseller
Canadian ABCP program sponsored by Toronto Dominion Bank ("TD") and administered
by TD Securities Inc., has acquired an interest in a pool
of residential mortgages totaling CAD 244 million. The pool consists
of variable rate prime conventional mortgages originated by a Canadian
financial institution.
Merit Trust ("Merit") and Zeus Receivables Trust ("Zeus"),
two partially supported, multiseller Canadian ABCP programs sponsored
by Toronto Dominion Bank ("TD,") and administered by TD Securities
Inc., have acquired an interest in a pool of residential
mortgages totaling CAD 163 million. The pool consists of prime
conventional mortgages originated by a Canadian financial institution.
The residential mortgages are fully supported by program-level
liquidity provided by Prime-1(cr) TD and sized to cover 100%
of outstanding ABCP issued by Banner, Merit and Zeus.
THE FOLLOWING RATING ACTIONS HAVE OCCURRED DURING THE PERIOD MAY 25,
2015 THROUGH MAY 29, 2015:
Moody's takes rating actions on three ABCP programs
The complete rating actions are as follows:
Issuer: Multi-Borrower Funding LLC
Notes, Confirmed at P-1 (sf); previously on March 20,
2015 P-1 (sf) Placed Under Review for Possible Downgrade
Issuer: Gemini Securitization Corp LLC
ABS CP, Upgraded to P-1 (sf); previously on March 20,
2015 P-2 (sf) Placed Under Review for Possible Upgrade
Issuer: Anglesea Funding PLC/ Anglesea Funding LLC
ECP CP Program, Confirmed at P-1 (sf); previously on
March 20, 2015 P-1 (sf) Placed Under Review for Possible
Downgrade
USCP CP Program, Confirmed at P-1 (sf); previously on
March 20, 2015 P-1 (sf) Placed Under Review for Possible
Downgrade
For further details, please see the following Moody's press
releases dated May 29, 2015.
https://www.moodys.com/research/Moodys-takes-rating-actions-on-two-US-ABCP-programs--PR_326547
https://www.moodys.com/research/Moodys-confirms-P-1-sf-ratings-of-ABCP-issued-by--PR_326310
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 May 29, 2015