New York, August 13, 2015 -- Moody's ABCP rating activity for the week ending August 7, 2015
MOODY'S UPDATES ABCP QUERY
Moody's has published its ABCP Query product with information as of April
30, 2015. All U.S., European and Canadian
programs are complete through April 2015. This report is published
monthly and can be found with Moody's other ABCP research products at
www.moodys.com
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM AUGUST 3, 2015
THROUGH AUGUST 7, 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 LOAN AND LEASE SECURITIZATION
An existing revolving facility established for an unrated financial services
firm in the automotive industry has amended its facility. The underlying
collateral consists of auto loans and leases originated by an auto finance
company. The current facility size of $4.3 billion
was decreased to $4.2 billion.
Transaction-specific credit enhancement, in the form of overcollateralization
and excess spread, is available to support credit losses incurred
on loans and leases and residual losses on the lease portion of the facility.
The liquidity facility for each participating conduit is sized at 100%
(plus CP interest) or 102% of the conduit's respective commitment.
The following ABCP conduits participate in the securitization:
• Barclays Bank PLC's Sheffield Receivables Company LLC is
an existing purchaser with a $500 million commitment. Sheffield
has $14.02 billion of purchase commitments, $10.2
billion in outstandings and its program-level credit enhancement
is approximately $1.25 billion.
• Royal Bank of Canada, New York Branch ("RBC")'s Old
Line Funding is an existing purchaser with a $400 million commitment.
Old Line Funding has $17 billion of purchase commitments,
$11.5 billion in outstandings and its program-level
credit enhancement is approximately $1.6 billion.
• JPMorgan Chase Bank, N.A.'s Chariot Funding
and Jupiter Securitization are existing purchasers with an aggregate commitment
of $750 million. Chariot has $13.42 billion
of purchase commitments, $8.65 billion in outstandings
and its program-level credit enhancement is approximately $1.0
billion. Jupiter has $13.26 billion of purchase commitments,
$8.22 billion in outstandings and its program-level
credit enhancement is approximately $1.0 billion.
• Citibank, N.A.'s CAFCO, CHARTA,
CIESCO, and CRC are existing purchasers with an aggregate commitment
of $750 million. CAFCO has $9.24 billion of
purchase commitments, $6.23 billion in outstandings
and its program-level credit enhancement is approximately $500
million. CHARTA has $10.25 billion of purchase commitments,
$6.09 billion in outstandings and its program-level
credit enhancement is approximately $610 million. CIESCO
has $9.5 billion of purchase commitments, $6.4
billion in outstandings and its program-level credit enhancement
is approximately $510 million. CRC has $8.80
billion of purchase commitments, $6.05 billion in
outstandings and its program-level credit enhancement is approximately
$605 million.
• Societe Generale's Barton Capital LLC is a new purchaser
with a $500 million commitment. Barton has $7.2
billion of purchase commitments, $4.2 billion in outstandings
and its program-level credit enhancement remains at the $500
million floor.
• Lloyds Bank plc's Cancara Asset Securitisation is a new purchaser
with a $500 million commitment.
• BMO Capital Markets' Fairway Finance is an existing purchaser
with a $500 million commitment. Fairway Finance has $4.83
billion of purchase commitments and $3.23 billion in outstandings.
The remaining commitments are from non-conduit purchasers.
SYNDICATE OF ABCP CONDUITS AMEND INTEREST IN AUTO LOAN SECURITIZATION
An existing revolving facility established for an unrated firm in the
automotive industry has been amended. The facility's commitment
date was extended to June 30, 2017. No other material changes
were made. The underlying collateral consists of auto loans originated
by an auto finance company. The current facility size is $2.5
billion. Transaction-specific credit enhancement is in the
form of dynamic overcollateralization equal to a minimum of 12.5%.
The following ABCP conduits participate in the securitization:
• Barclays Bank PLC's Sheffield Receivables Company LLC is
an existing purchaser with a $500 million commitment. Sheffield
has $14.02 billion of purchase commitments, $10.2
billion in outstandings and its program-level credit enhancement
is approximately $1.25 billion. Liquidity,
provided by Prime-1(cr) Barclays, partially supports this
transaction, funding for non-defaulted receivables.
• RBC's Old Line Funding is an existing purchaser with a $500
million commitment. Old Line Funding has $17.0 billion
of purchase commitments, $11.5 billion in outstandings
and its program-level credit enhancement is approximately $1.6
billion. Liquidity, provided by Prime-1(cr) RBC,
partially supports this transaction, funding for non-defaulted
receivables.
• BNP Paribas' Starbird Funding Corp. is an existing
purchaser with a $500 million commitment. Starbird has $5.7
billion of purchase commitments, $3.0 billion in outstandings
and its program-level credit enhancement is approximately $460
million. Liquidity, provided by Prime-1(cr) BNP fully
supports the transaction, funding for the face amount of ABCP.
The remaining commitments are from non-conduit purchasers.
The principal methodology used in these ratings was "Moody's Approach
to Rating Asset-Backed Commercial Paper" published in July 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 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 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 activity ending August 7, 2015