New York, July 28, 2016 -- Moody's ABCP rating activity for the period ending July 22, 2016
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM JULY 4, 2016
THROUGH JULY 22, 2016:
Moody's has reviewed the following ABCP program in conjunction with
the proposed additions and amendments. At this time the additions
and amendments, in and of themselves, will not result in any
rating impact on the respective programs. Moody's does not believe
they will have an adverse effect on the credit quality of the securities
such that the Moody's rating is impacted. Moody's does not
express an opinion as to whether the additions or amendments could have
other, non-credit-related effects.
CREDIT AGRICOLE'S ATLANTIC ADDS TWO FACILITIES TO ITS PORTFOLIO
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 two facilities to its portfolio: a $275 million
aircraft warehouse facility and a $120 million amortizing equipment
facility. Both transactions are fully supported by a liquidity
facility provided by Prime-1(cr) CA-CIB, which funds
for the face amount of ABCP.
Atlantic's program-level credit enhancement was not increased given
the full liquidity support for both transactions. Atlantic has
$14.2 billion of purchase commitments and $9.6
billion in ABCP outstandings.
RIDGEFIELD FUNDING COMPANY LLC AMENDS PROGRAM DOCUMENTS
Ridgefield Funding Company LLC ("Ridgefield "), a prior review,
fully supported commercial paper program managed by Guggenheim Treasury
Services, has amended its Series A dedicated company documents.
Currently Series A issues Notes and uses the proceeds to make loans to
two Dedicated Companies. Each Dedicated Company has entered into
separate repurchase facilities (repos) with unrated counterparties.
There is a separate guarantee for each provided by a (P)Prime-1
rated bank that fully supports all obligations under the repos.
Amendments were credit positive and ensure that the Series A Notes are
fully supported.
Ridgefield has approximately $5.36 billion in outstandings.
CANADIAN ABCP CONDUITS AMEND INTEREST IN A RESIDENTIAL MORTGAGE FACILITY
A syndicate of Canadian ABCP programs amended and increased their commitment
in an existing revolving residential mortgage facility to CAD5.25
billion from CAD4.75 billion. The amendment will allow National
Housing Act Mortgage-Backed Securities ("NHA MBS")
to be included in the collateral pool, in addition to the existing
collateral of prime conventional and insured residential mortgage loans.
Transaction-specific credit enhancement is comprised of overcollateralization
and a cash reserve account that varies depending on the pool mix.
Banner Trust ("Banner"), Merit Trust ("Merit"), Prime Trust
("Prime") and Zeus Receivables Trust ("Zeus"), four
partially supported, multiseller Canadian ABCP programs sponsored
by Toronto Dominion Bank ("TD") and administered by TD Securities Inc.,
increased their commitment to CAD2.5 billion from CAD2 billion.
This transaction remains fully supported by a program-level liquidity
facility provided by Prime-1(cr) TD. Banner, Merit,
Prime and Zeus do not have any program-level credit enhancement.
Banner has purchase commitments of CAD3.5 billion and ABCP outstanding
of CAD3.1 billion.
Merit has purchase commitments of CAD4.0 billion and ABCP outstanding
of CAD3.6 billion.
Prime has purchase commitments of CAD4.7 billion and ABCP outstanding
of CAD3.0 billion
Zeus has purchase commitments of CAD3.9 billion and ABCP outstanding
of CAD3.2 billion.
Canadian Master Trust ("CMT") and Ridge Trust ("Ridge"),
two partially supported, multiseller Canadian ABCP programs administered
by BMO Nesbitt Burns Inc. ("BMO NB"), a subsidiary of Bank
of Montreal ("BMO") maintained their commitment at CAD1.25 billion.
This transaction is partially supported by a liquidity facility provided
by Prime-1(cr) BMO.
The liquidity facilities are sized to cover 100% of the face amount
of outstanding ABCP issued by CMT and Ridge. Both programs do not
have any program-level credit enhancement.
CMT currently has CAD2.9 billion of purchase commitments and CAD2.4
billion of ABCP outstanding.
Ridge currently has CAD2.8 billion of purchase commitments and
CAD2.2 billion of ABCP outstanding.
Fusion Trust ("Fusion") and Clarity Trust ("Clarity"), two partially
supported, multiseller Canadian ABCP programs sponsored and administered
by National Bank Financial Inc. ("NBF"), a wholly owned subsidiary
of National Bank of Canada ("NBC") maintained their commitment at CAD1
billion. This transaction remains partially supported by a liquidity
facility provided by Prime-1(cr) NBC. The liquidity facilities
are sized to cover 100% of the face amount of outstanding ABCP
issued by Clarity and Fusion.
Clarity has CAD15 million of program-level credit enhancement.
Clarity currently has CAD1.6 billion of purchase commitments and
CAD1.6 billion of ABCP outstanding.
Fusion has CAD15 million of program-level credit enhancement.
Fusion currently has CAD1.7 billion of purchase commitments and
CAD1.3 billion of ABCP outstanding
King Street Funding Trust ("King Street") and Bay Street Funding Trust
("Bay Street"), two partially supported, multiseller
ABCP programs administered by Scotia Capital Inc., a wholly
owned subsidiary of Bank of Nova Scotia ("Scotiabank") have
maintained their commitment at CAD500 million. This transaction
remains partially supported by a liquidity facility provided by Prime-1(cr)
Scotiabank. The liquidity facilities are sized to cover 100%
of the face amount of outstanding ABCP issued by King Street and Bay Street.
Both programs do not have any program-level credit enhancement.
King Street currently has CAD2.2 billion of purchase commitments
and CAD1.8 billion of ABCP outstanding.
Bay Street currently has CAD2.7 billion of purchase commitments
and CAD2.0 billion of ABCP outstanding.
BMO'S CMT AND RIDGE TRUST EXTEND LIQUIDITY FACILITIES
Canadian Master Trust ("CMT") and Ridge Trust ("Ridge"),
two partially supported, multiseller Canadian ABCP programs administered
by BMO Nesbitt Burns Inc. ("BMO NB"), a subsidiary of Bank
of Montreal ("BMO") have extended their respective liquidity facilities
to December 2018. Program level liquidity facilities are provided
by Prime-1(cr) BMO and are sized to cover 100% of the face
amount of outstanding ABCP issued by CMT and Ridge.
CMT currently has CAD2.9 billion of purchase commitments and CAD2.4
billion of ABCP outstanding.
Ridge currently has CAD2.8 billion of purchase commitments and
CAD2.2 billion of ABCP outstanding.
BMO'S CMT AMENDS A CAD250 MILLION RESIDENTIAL MORTGAGE FACILITY
Canadian Master Trust ("CMT") a partially supported, multiseller
Canadian ABCP program administered by BMO Nesbitt Burns Inc. ("BMO
NB"), a subsidiary of Bank of Montreal ("BMO") has amended an existing
CAD250 million revolving residential mortgage facility in its portfolio.
The amendment will allow inclusion of insured mortgages to the pool backing
the facility, in addition to prime conventional mortgages.
All mortgages are originated by a large Canadian mortgage finance company.
Transaction-specific credit enhancement is comprised of a cash
reserve account and minimum excess spread, and varies depending
on the pool mix. This transaction is partially supported by a liquidity
facility provided by Prime-1(cr) BMO. Liquidity is sized
to cover 100% of the face amount of outstanding ABCP issued by
CMT. CMT does not have program-level credit enhancement.
CMT currently has CAD2.9 billion of purchase commitments and CAD2.4
billion of ABCP outstanding.
CIBC'S SURE ADDS A CAD500 MILLION RESIDENTIAL MORTGAGE FACILITY
SURE Trust ("SURE"), a partially supported, multiseller Canadian
ABCP program sponsored and administered by Canadian Imperial Bank of Commerce
("CIBC"), has added a CAD500 million committed facility backed by
residential mortgages and National Housing Act Mortgage-Backed
Securities ("NHA MBS"). The facility is a revolving
securitization established for a large Canadian mortgage financing company.
The collateral consists of a mix of prime conventional and insured mortgages
and NHA MBS. This transaction is fully supported by the respective
program level liquidity facilities, provided by Prime-1(cr)
CIBC. The facilities are sized to cover 100% of the face
amount of outstanding ABCP issued by SURE. SURE does not have program-level
credit enhancement.
SURE has CAD1.4 billion in aggregate purchase commitments and CAD1.3
billion of ABCP outstanding.
CIBC'S SAFE, SOUND AND SURE TRUST AMEND LIQUIDITY SUPPORT
SAFE Trust ("SAFE"), SOUND Trust ("SOUND") and SURE
Trust ("SURE"), three partially supported, multiseller
Canadian ABCP programs sponsored and administered by Canadian Imperial
Bank of Commerce ("CIBC"), have amended the liquidity support available
to residential mortgage deals. The amendments are credit positive
and will cause liquidity to front for expected recoveries on the mortgage
loans. Program level liquidity facilities are provided to each
conduit by Prime-1(cr) CIBC and sized to cover 100% of the
face amount of outstanding ABCP issued by SAFE, SOUND and SURE.
SAFE, SOUND AND SURE do not have program-level credit enhancement.
SAFE has CAD1.8 billion in aggregate purchase commitments and CAD1.4
billion of ABCP outstanding.
SOUND has CAD2.5 billion in aggregate purchase commitments and
CAD1.6 billion of ABCP outstanding.
SURE has CAD1.4 billion in aggregate purchase commitments and CAD1.3
billion of ABCP outstanding.
CIBC'S SAFE AND SOUND TRUST ADD A CAD500 MILLION RESIDENTIAL MORTGAGE
FACILITY
SAFE Trust ("SAFE") and SOUND Trust ("SOUND"), two partially
supported, multiseller Canadian ABCP programs sponsored and administered
by Canadian Imperial Bank of Commerce ("CIBC"), have added a CAD500
million committed facility backed by residential mortgages. The
facility is a revolving securitization established for a wholly owned
subsidiary of a large Canadian financial services company. The
collateral consists of a mix of prime conventional and insured mortgages.
This transaction is partially supported by the respective program level
liquidity facilities, provided by Prime-1(cr) CIBC.
The facilities are sized to cover 100% of the face amount of outstanding
ABCP issued by SAFE and SOUND. SAFE and SOUND do not have program-level
credit enhancement.
SAFE has CAD1.8 billion in aggregate purchase commitments and CAD1.4
billion of ABCP outstanding.
SOUND has CAD2.5 billion in aggregate purchase commitments and
CAD1.6 billion of ABCP outstanding.
RBC's PLAZA INCREASES INTEREST IN A RESIDENTIAL MORTGAGE FACILITY
Plaza Trust ("Plaza"), a partially supported, multiseller
Canadian ABCP program sponsored and administered by Royal Bank of Canada
("RBC"), has increased its interest in an existing revolving residential
mortgage facility to CAD850 million from CAD750 million. The facility
was established for a large Canadian mortgage financing company.
The collateral consists of a mix of prime conventional and insured mortgages.
This transaction is partially supported by the program-level liquidity
facility provided by Prime-1(cr) RBC, which is sized to cover
100% of the face amount of outstanding ABCP issued by Plaza.
Plaza's program-level credit enhancement is required to be
increased by 10% of aggregate investments.
Plaza has approximately CAD3.5 billion of purchase commitments
and CAD2.1 billion in outstandings. Its program-level
credit enhancement is approximately CAD187 million.
RBC'S STORM KING AMENDS AND TD'S PRIME ADDS AN AUTO LEASE FACILITY
Storm King Funding ("Storm King"), a partially supported,
multiseller Canadian ABCP program sponsored and administered by Royal
Bank of Canada ("RBC"), has amended an auto lease facility for an
investment-grade automotive manufacturer. Amendments include
increasing Storm King's interest in the facility to CAD450 million
from CAD300 million and renewing the facility until June 2017.
Prime Trust ("Prime"), a partially supported, multiseller
Canadian ABCP program sponsored by Toronto Dominion Bank ("TD") and administered
by TD Securities Inc., has added a CAD150 million interest
in the same facility as part of the amendments.
Transaction-specific credit enhancement is comprised of non-declining
overcollateralization equal to 23.5% of the initial securitization
value, a 1.0% non-declining cash reserve account,
and minimum excess spread of 2.25% per annum.
For Storm King's exposure, the transaction is partially supported
by liquidity provided by Prime-1(cr) RBC, funding for non-terminated
leases. Storm King's program-level credit enhancement
is required to be increased by 10% of aggregate investments.
Storm King has approximately CAD2.3 billion of purchase commitments
and CAD2.0 billion in outstandings. Its program-level
credit enhancement is approximately CAD199 million.
For Prime's exposure, the transaction is partially supported
by liquidity provided by Prime-1(cr) TD, funding for non-defaulted
leases. Prime currently has CAD4.7 billion of purchase commitments
and CAD3.0 billion of ABCP outstanding.
SCOTIA'S BAY STREET INCREASES ITS INTEREST IN AN AUTO LEASE FACILITY
Bay Street Funding Trust ("Bay Street"), a partially
supported, multiseller Canadian ABCP program administered by Scotia
Capital Inc., a wholly owned subsidiary of Bank of Nova Scotia
("Scotiabank"), has increased its interest in an existing
auto lease to CAD300 million from CAD200 million. The collateral
is originated by a Canadian auto finance company.
The facility benefits from transaction-specific credit enhancement
in the form of overcollateralization, a cash reserve and excess
spread. This transaction is fully supported by a liquidity facility
provided by Prime-1(cr) Scotiabank.
Bay Street does not have any program-level credit enhancement.
Bay Street currently has CAD2.7 billion of purchase commitments
and CAD2.0 billion of outstanding ABCP.
SCOTIA'S KING STREET AND BAY STREET EXTEND FACILITY BACKED BY A RESIDENTIAL
MORTGAGE POOL
King Street Funding Trust ("King Street") and Bay Street Funding Trust
("Bay Street"), two partially supported, multiseller
Canadian ABCP programs administered by Scotia Capital Inc.,
a wholly owned subsidiary of Bank of Nova Scotia ("Scotiabank"),
have amended and extended an existing CAD750 million facility in their
portfolios till February 2017. The amendment allows National Housing
Act Mortgage-Backed Securities ("NHA MBS") to be included
in the collateral backing the facility, in addition to the pool
of insured residential mortgages. Both the mortgages and the NHA
MBS are originated by a Canadian mortgage company. This transaction
is fully supported by King Street's and Bay Street's respective
liquidity facilities and provided by Prime-1(cr) Scotiabank.
Both programs do not have any program-level credit enhancement.
King Street currently has CAD2.2 billion of purchase commitments
and CAD1.8 billion of ABCP outstanding.
Bay Street currently has CAD2.7 billion of purchase commitments
and CAD2.0 billion of ABCP outstanding.
TD'S MERIT AND PRIME INCREASE INTEREST IN A RESIDENTIAL MORTGAGE TRANSACTION
Merit Trust ("Merit") and Prime Trust ("Prime"), two partially supported,
multiseller Canadian ABCP programs sponsored by Toronto Dominion Bank
("TD") and administered by TD Securities, have increased their commitment
to CAD2.25 billion from CAD2 billion in an existing co-purchase
facility. The facility is backed by discrete pools of residential
mortgage loans and remains fully supported by a program-level liquidity
facility provided by Prime-1 (cr) TD. Merit and Prime do
not have any program-level credit enhancement.
Merit has purchase commitments of CAD4.0 billion and ABCP outstanding
of CAD3.6 billion.
Prime has purchase commitments of CAD4.7 billion and ABCP outstanding
of CAD3.0 billion.
TD'S BANNER, MERIT AND ZEUS AMEND AN INTEREST IN A RESIDENTIAL MORTGAGE
POOL
Banner Trust ("Banner"), Merit Trust ("Merit") and Zeus Receivables
Trust ("Zeus"), three partially supported, multiseller Canadian
ABCP programs sponsored by Toronto Dominion Bank ("TD") and administered
by TD Securities Inc., have amended their interest in an
existing CAD1.8 billion co-purchase facility. The
amendments did not impact our assessment of the facility. The facility
is backed by discrete pools of insured and conventional residential mortgage
loans originated by a Canadian financial institution and its wholly owned
subsidiary.
This transaction remains fully supported by a program-level liquidity
facility provided by Prime-1(cr) TD. Banner, Merit
and Zeus do not have any program-level credit enhancement.
Banner has purchase commitments of CAD3.5 billion and ABCP outstanding
of CAD3.1 billion.
Merit has purchase commitments of CAD4.0 billion and ABCP outstanding
of CAD3.6 billion.
Zeus has purchase commitments of CAD3.9 billion and ABCP outstanding
of CAD3.2 billion.
TD'S BANNER, MERIT, PRIME AND ZEUS INCREASE AN INTEREST
IN A RESIDENTIAL MORTGAGE POOL
Banner Trust ("Banner"), Merit Trust ("Merit"), Prime Trust
("Prime") and Zeus Receivables Trust ("Zeus"), four
partially supported, multiseller Canadian ABCP programs sponsored
by Toronto Dominion Bank ("TD") and administered by TD Securities Inc.,
have amended and increased their commitment in an existing purchase facility,
which is backed by discrete pools of residential mortgage loans.
The committed facility size was increased to CAD1.7 billion from
CAD700 million.
This transaction remains fully supported by a program-level liquidity
facility provided by Prime-1(cr) TD. Therefore, the
amendment was not material to our analysis. Banner, Merit,
Prime and Zeus do not have any program-level credit enhancement.
Banner has purchase commitments of CAD3.5 billion and ABCP outstanding
of CAD3.1 billion.
Merit has purchase commitments of CAD4.0 billion and ABCP outstanding
of CAD3.6 billion.
Prime has purchase commitments of CAD4.7 billion and ABCP outstanding
of CAD3.0 billion
Zeus has purchase commitments of CAD3.9 billion and ABCP outstanding
of CAD3.2 billion.
TD'S ZEUS RENEWS INTEREST IN AN EXISTING MOTORCYCLE LOAN TRANSACTION
Zeus Receivables Trust ("Zeus"), a partially supported, multiseller
Canadian ABCP program sponsored by Toronto Dominion Bank ("TD") and administered
by TD Securities Inc., has renewed its interest in an existing
motorcycle loan transaction.
Zeus finances a CAD240 million revolving facility backed by new and used
motorcycle loans. This facility is being renewed and the commitment
is being extended to June 2017. Transaction-specific credit
enhancement consists of 12.5% overcollateralization and
a 2% cash reserve account.
This transaction continues to be partially supported by a program-level
liquidity facility provided by Prime-1(cr). Liquidity will
not fund for defaulted receivables. Zeus does not have any program-level
credit enhancement.
Zeus has purchase commitments of CAD3.9 billion and ABCP outstanding
of CAD3.2 billion.
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 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.
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U.S.A.
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