New York, August 03, 2016 -- Moody's ABCP rating activity for the period ending July 29, 2016
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM JULY 25, 2016
THROUGH JULY 29, 2016:
Moody's has reviewed the following ABCP programs 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.
A SYNDICATE OF ABCP CONDUITS AMEND AN INTEREST IN AN AUTO SECURITIZATION
Amendments were made to an existing auto securitization facility established
for an investment grade-rated automotive manufacturer. Concentration
limits and certain inputs into the credit enhancement calculation were
adjusted to align with current performance. The $6 billion
facility is comprised of a revolving auto loan and lease facility (up
to 100% of the facility limit may consist of auto leases).
Transaction-specific credit enhancement for the auto loans is comprised
of dynamic overcollateralization and excess spread. The overcollateralization
is equal to a minimum of 6% and is sized based on the pool composition.
Transaction-specific credit enhancement for the auto leases is
comprised of dynamic overcollateralization and 1% required excess
spread. The overcollateralization has a floor that ranges from
18.75% to 22.75%.
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 both facilities:
• JPMorgan's Chariot Funding LLC and Jupiter Securitization Company,
LLC have combined commitments totaling $500 million and their program-level
credit enhancement remains at 10% of outstanding ABCP.
• Citibank's CAFCO, LLC, CHARTA, LLC, CIESCO,
LLC and CRC Funding LLC have combined commitments totaling $625
million. CHARTA and CRC's program-level credit enhancement
remain at 10% of outstanding assets, while CAFCO and CIESCO's
program-level credit enhancement remain at 8% of outstanding
assets.
• Barclays' Sheffield Receivables Co. LLC has a $625
million commitment and its program-level credit enhancement remains
at 10% of purchase limits.
• The Bank of Tokyo-Mitsubishi UFJ's Gotham Funding Corp.
has a $500 million commitment. Gotham is a fully supported
conduit and does not have program-level credit enhancement.
• BNP Paribas' Starbird Funding Corp. has a $500 million
commitment and its program-level credit enhancement remains at
8% of commitments.
• Royal Bank of Canada's Old Line Funding, LLC and Thunder
Bay Funding, LLC have combined commitments of $500 million
and their program-level credit enhancement remains at 10%
of outstanding ABCP.
• Credit Agricole's Atlantic Asset Securitization, LLC has
a $500 million commitment and its program-level credit enhancement
remains at 10% of commitments (excluding highly rated and fully
supported transactions).
• Société Générale's Barton Capital S.A.
has a $625 million commitment and its program-level credit
enhancement remains at 8% of the invested amount. Barton
is a fully supported conduit and does not have program-level credit
enhancement.
The remaining commitments are from non-conduit purchasers.
GUGGENHEIM-MANAGED PROGRAMS AMEND DOCUMENTS
Bennington Stark Capital Company, LLC, Cedar Springs Capital
Company, LLC, Concord Minutemen Capital Company, LLC,
Crown Point Capital Company, LLC, Legacy Capital Company,
LLC, Lexington Parker Capital Company, LLC, and Ridgefield
Funding Company LLC (collectively the "Guggenheim Programs"), are
fully supported commercial paper programs owned and sponsored by The Liberty
Hampshire Company, LLC ("Liberty Hampshire") and administered
by Guggenheim Treasury Services, LLC ("Guggenheim Treasury"),
an indirect wholly owned subsidiary of Guggenheim Partners, LLC.
The Guggenheim Programs have amended their program documents to permit
the use of various forms of liquidity, including repurchase agreements,
swaps and securities lending agreements. Amendments are credit
positive and ensure that the commercial paper notes issued under the Guggenheim
Programs are fully supported through liquidity.
GUGGENHEIM'S CROWN POINT CAPITAL COMPANY ADDS A NEW FACILITY
Crown Point Capital Company, LLC ("Crown Point"),
a fully supported commercial paper program owned and sponsored by The
Liberty Hampshire Company, LLC ("Liberty Hampshire")
and administered by Guggenheim Treasury Services, LLC ("Guggenheim
Treasury"), an indirect wholly owned subsidiary of Guggenheim
Partners, has added a repurchase (repo) facility to its portfolio.
The facility is fully supported by a Prime-1-rated bank
that is required to repurchase securities under the repo at any time needed
to repay ABCP. The commitment under the repo can never be less
than the face amount of commercial paper plus all rate hedging obligations
associated with such commercial paper.
As of June 2016, Crown Point had $3.54 billion of
commercial paper outstanding.
GUGGENHEIM'S LEGACY CAPITAL COMPANY ADDS A NEW FACILITY
Legacy Capital Company, LLC ("Legacy"), a fully
supported commercial paper program owned and sponsored by The Liberty
Hampshire Company, LLC ("Liberty Hampshire") and administered
by Guggenheim Treasury Services, LLC ("Guggenheim Treasury"),
an indirect wholly owned subsidiary of Guggenheim Partners, has
added a new swap facility to its portfolio. The facility is fully
supported by a Prime-1-rated bank that is required to pay
amounts under the swap at any time needed to repay ABCP. The commitment
under the swap can never be less than the face amount of commercial paper
plus all rate hedging obligations associated with such commercial paper.
As of June 2016, Legacy had $522 million commercial paper
outstanding.
NORD/LB'S HANNOVER FUNDING AMENDS PROGRAM
Hannover Funding Company LLC ("Hannover"), a fully supported
ABCP program sponsored and administered by Norddeutsche Landesbank GZ
("NORD/LB"), has amended its program documents. The amendments
are credit neutral and have no impact on the current rating. Hannover
remains a fully supported program through liquidity provided by NORD/LB
which is currently Prime-1 (cr) on watch for possible downgrade.
Hannover has approximately $1.02 billion of commercial paper
notes outstanding and a program limit of $5 billion.
RABOBANK'S NIEUW AMSTERDAM AMENDS THREE EXISTING FACILITIES
Nieuw Amsterdam Receivables Corporation B.V. ("Nieuw Amsterdam"),
a partially supported, multiseller ABCP program sponsored and administered
by Rabobank Nederland ("Rabobank"), has amended three existing facilities.
The first transaction is a $148 million trade receivables facility
that was renewed for three years. No other material changes have
been made. Transaction-specific credit enhancement is in
the form of asset overcollateralization equal to a minimum of 13%.
The amount is dynamic and sized based on historical loss and dilution
performance.
The second transaction is a farming operating loans facility for an unrated
commercial financing company. The existing facility has been refinanced
into a new facility comprised of both operating loans and trade receivables
and the commitment has increased to $375 million from $150
million. Transaction-specific credit enhancement is in the
form of dynamic overcollateralization equal to a minimum of 16%.
The overcollateralization fluctuates depending on asset performance.
Both facilities are fully supported by separate liquidity facilities provided
by Prime-1(cr) Rabobank, which funds for the face amount
of commercial paper.
The third transactions is a trade receivables facility originated by a
Ba1-rated steel manufacturing company. The facility was
extended and the commitment has increased to $75 million from $50
million. Transaction-specific credit enhancement is in the
form of dynamic overcollateralization equal to a minimum of 13%.
The overcollateralization fluctuates depending on asset performance.
Nieuw Amsterdam's commitment is partially supported by a liquidity facility
provided by Prime-1(cr) Rabobank, which funds for non-defaulted
assets.
Nieuw Amsterdam's program-level credit enhancement is required
to be increased by 7% of purchase commitments, excluding
those assets fully supported by liquidity. Nieuw Amsterdam has
approximately $5.2 billion of commercial paper notes outstanding
and purchase commitments of $8.1 billion. Program-level
credit enhancement is approximately $238 million.
RBC'S OLD LINE FUNDING ADDS A $600 MILLION AUTO LEASE FACILITY
Old Line Funding LLC ("Old Line"), a partially supported,
multiseller ABCP program sponsored and administered by Royal Bank of Canada,
New York Branch ("RBC"), has added a $600 million revolving
auto lease facility originated and serviced by an investment-grade
automotive captive. Transaction-specific credit enhancement
is in the form of a minimum of 19.50% overcollateralization,
a 1% cash reserve account and excess spread. The facility
is partially supported through liquidity provided by Prime-1(cr)
RBC, which funds for non-defaulted assets.
Program-level credit enhancement is required to be increased by
10% of outstanding ABCP. Old Line has approximately $15.4
billion of purchase commitments and $10.8 billion in outstanding
ABCP. Program-level credit enhancement is approximately
$862 million with a $300 million floor.
NATIONAL BANK OF CANADA'S CLARITY AND FUSION INCREASE FUNDING IN
EXISTING RESIDENTIAL MORTGAGE FACILITY
Clarity Trust ("Clarity") and Fusion Trust ("Fusion"),
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"), have
provided additional funding to an existing residential mortgage facility.
Facility advances, collateralized by a pool of insured and conventional
mortgages, increased to CAD894 million from CAD805 million after
the purchase of CAD89 million of eligible residential mortgage loans.
The mortgages were originated by a wholly owned subsidiary of a large
Canadian financial services company. Transaction-specific
credit enhancement is provided through a cash reserve, which consists
of a minimum of 3% for conventional mortgages and 0.25%
to 2% for insured mortgages, depending on the insurers' ratings.
This transaction is partially supported by the respective liquidity facilities
and provided by Prime-1(cr) NBC. The committed amount of
the liquidity facilities is 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.
SCOTIA'S KING STREET AND BAY STREET INCREASE AUTO LOAN SECURITIZATION
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
increased their interest to CAD950 million from CAD550 million in an existing
auto loan securitization facility. The auto loans are originated
by an investment-grade rated auto finance company. Transaction-specific
credit enhancement is comprised of non-declining overcollateralization
(sized at 5.91% of the discounted pool), a fully funded
cash reserve account (sized at 1.07% of the initial discounted
pool) and minimum excess spread. This transaction is partially
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.
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:
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