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05 Oct 2016
New York, October 05, 2016 -- Moody's ABCP rating activity for the period ending September 30,
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM SEPTEMBER 26,
2016 THROUGH SEPTEMBER 30, 2016:
Moody's has reviewed the following ABCP programs in conjunction
with the proposed additions and amendments. At this time the addition
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 AMENDS PROGRAM
Atlantic Asset Securitization LLC ("Atlantic"), a multiseller ABCP
program sponsored and administered by Credit Agricole Corporate and Investment
Bank, New York Branch ("CA-CIB") amended its program.
Atlantic will now be able to add transactions on a post review basis so
long as they use a liquidity asset purchase agreement (LAPA) reviewed
by Moody's. There will be a separate LAPA for each asset
pool with a commitment sized at 102% of the respective asset purchase
commitment. Liquidity, provided by Prime-1(cr) CA-CIB,
is structured to fully support all transactions in Atlantic's portfolio,
funding for the face amount of ABCP. Atlantic is now a post review,
fully supported ABCP program, similar to its sister ABCP conduit
La Fayette Asset Securitization.
Atlantic also amended its program to allow more issuance of floating rate
and pre-funding notes, and increased its ABCP tenor to 395
days from 270 days (excluding puttable notes). Lastly, Atlantic
will no longer be supported by program-level credit enhancement
since all deals will be fully supported through liquidity.
Atlantic has $13.6 billion of purchase commitments and $9.2
billion in ABCP outstandings.
NATIXIS' VERSAILLES ADDS A $25 MILLION STRUCTURED CREDIT FACILITY
Versailles Assets, LLC ("Versailles Assets"), a partially
supported, multiseller ABCP program sponsored and administered by
Natixis New York Branch ("Natixis"), has added a $25 million
Class A-1R note issued out of a structured credit facility to its
portfolio. Versailles Assets will issue Prime-1 (sf)-rated
ABCP to Versailles Commercial Paper, LLC, who will in turn
issue Prime-1 (sf)-rated ABCP to the capital market in order
to fund the purchase of Versailles Assets's ABCP. The transaction
is fully supported by a liquidity facility provided by Prime-1(cr)
Program-level credit enhancement is not required to be increased
with the addition of this transaction. Versailles has $5.314
billion in purchase commitments and outstandings of $3.087
billion. Program-level credit enhancement is $341.3
RBC'S THUNDER BAY FUNDING ADDS TWO AUTO LEASE FACILITIES
Thunder Bay Funding LLC ("Thunder Bay"), a partially supported,
multiseller ABCP program sponsored and administered by Royal Bank of Canada,
New York Branch ("RBC"), has added two $250 million amortizing
auto lease facilities originated and serviced by an automotive financing
company. Transaction-specific credit enhancement is in the
form of non-declining overcollateralization equal to 22%
of the initial pool balance 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. Thunder Bay has approximately $9.4
billion of purchase commitments and $5.3 billion in outstanding
ABCP. Program-level credit enhancement is approximately
$454 million with a $300 million floor.
LMA AMENDS PROGRAM DOCUMENTATION
LMA S.A./LMA Americas LLC ("LMA"), a fully supported,
multiseller ABCP program administered by Credit Agricole Corporate and
Investment Bank ("CA-CIB"), amended its program documentation
to (i) extend its pre-funding capability and (ii) to be compliant
with the recent reform governing the French market for short term and
medium term negotiable debt securities.
In December 2015, LMA amended its program documentation to among
others issue ABCP in December and June in view of purchasing assets in
the near future (i.e., pre-funding capability)
as long as a number of criteria and tests are satisfied. As per
today's amendment, LMA can now also pre-fund assets
in March and September if the same criteria and tests required for the
pre-funding in December and June are satisfied.
As a result of the reform of the legal framework governing the short term
and medium term negotiable debt securities which includes "Billet
de Trésorerie" ("BT"), LMA has amended
its program documentation so that it issues Negotiable European Commercial
Paper (NEU CP) instead of BT.
LMA has approximately EUR 17.8 billion in total purchase commitments
and EUR 11.4 billion in outstanding ABCP.
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.
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
VP - Sr Credit Officer/Manager
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
No Related Data.
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