New York, January 08, 2016 -- Moody's ABCP rating activity for the week ending December 31, 2015
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS THROUGH DECEMBER 31,
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 ADDS INTEREST IN A $1.723 BILLION
FLEET LEASE FACILITY
A syndicate of banks and ABCP conduits have added a $1.723
billion unrated amortizing Class A note backed by vehicle fleet lease
receivables. The Class A notes benefits from overcollateralization
and a reserve fund. Interest rate swaps are in place to mitigate
any funding cost risks associated with the fixed-rate leases.
The liquidity facility for each participating conduit is sized at 100%
(plus all CP interest) or 102% of its respective commitment.
The following ABCP conduits participated in the securitization:
• JPMorgan's Jupiter Securitization Company LLC has a $151.4
million commitment. Jupiter has $13 billion of purchase
commitments, $10 billion in outstandings and its program-level
credit enhancement is approximately $1.0 billion.
• Royal Bank of Canada's Old Line Funding, LLC has a $151.4
million commitment. Old Line's commitment is fully supported
by a liquidity facility provided by Prime-1(cr) RBC. Old
Line has approximately $15 billion of purchase commitments and
$11 billion in outstandings. Its program-level credit
enhancement is approximately $1.09 billion with a $300
million floor.
• Credit Agricole Corporate and Investment Bank's Atlantic
Asset Securitization LLC has a $151.4 million commitment.
Atlantic's commitment is fully supported by a liquidity facility
provided by Prime-1(cr) CA-CIB. Atlantic has $11
billion of purchase commitments and $8 billion in ABCP outstandings.
• BNP Paribas' Starbird Funding Corporation has a $151.4
million commitment. Starbird's commitment is fully supported by
a liquidity facility provided by Prime-1(cr) BNP. Starbird
has $5.8 billion of purchase commitments and $3.01
billion in outstanding ABCP. Its program-level credit enhancement
is $560 million with a $150 million floor.
• Bank of Montreal's Fairway Finance Company, LLC has a $38
million commitment. Fairway's commitment is fully supported
by Prime-1(cr) BMO. Fairway has $5.4 billion
of purchase commitments and $4 billion in outstanding ABCP.
• HSBC's Regency Market's has a $95.5 million
commitment.
• The Bank of Tokyo-Mitsubishi UFJ, Ltd.'s
Gotham Funding Corporation has a $151.4 million commitment.
Gotham's commitment is fully supported by a liquidity facility provided
by Prime-1(cr) BTMU. Gotham has $12.3 billion
in purchase commitments and $7.1 billion in outstanding
ABCP.
Other non-conduit lenders provided the remaining commitments.
CREDIT AGRICOLE'S ATLANTIC ADDS CAD400 MILLION AUTO LEASE SECURITIZATION
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,"),
has added a CAD400 million auto lease securitization to its portfolio.
The auto leases are originated by an investment-grade rated auto
finance company.
This transaction is fully supported by a liquidity facility provided by
Prime-1(cr) CA-CIB. The liquidity facility funds
for the face amount of ABCP.
Atlantic's program-level credit enhancement was not increased given
the full liquidity support for this transaction. Atlantic has $11
billion of purchase commitments and $8 billion in ABCP outstandings.
BNP'S STARBIRD ADDS $125 MILLION INTEREST IN TRADE RECEIVABLES
FACILITY
Starbird Funding Corporation ("Starbird"), a partially supported,
multiseller ABCP program sponsored and administered by BNP Paribas,
New York Branch ("BNP"), has added a $125 million interest
in a $325 million trade receivables transaction for an investment-grade
rated regulated utility company. The underlying receivables are
generated by three subsidiaries of the utility company.
Transaction-specific credit enhancement is in the form of dynamic
overcollateralization equal to a minimum of 17.5%.
The overcollateralization fluctuates depending on asset performance.
BNP's interest is partially supported by a liquidity facility provided
by Prime-1(cr) BNP, which funds for non-defaulted
receivables.
With this transaction, Starbird's program-level credit enhancement
is required to be increased by 8% of purchase commitments.
Starbird has $5.8 billion of purchase commitments and $3.01
billion in outstanding ABCP. Its program-level credit enhancement
is $560 million.
THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DECEMBER 31,
2015:
Alpine Securitization Corp
For further details, please see Moody's press release dated December
31, 2015
https://www.moodys.com/research/Moodys-Withdraws-the-Prime-1-sf-Rating-of-ABCP-Issued--PR_338236
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 - Sr Credit Officer/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 activity ending January 1, 2016