Actions follow updated structured finance rating methodologies
London, 20 March 2015 -- Moody's Investors Service has taken rating actions today on six
European asset-backed commercial paper (ABCP) programmes.
The actions are prompted by (1) the introduction of a Counterparty Risk
Assessment (CR Assessment) as part of the bank rating methodology update
announced on 16 March 2015; (2) the updates to several structured
finance rating methodologies, also announced the same day;
and (3) the bank rating actions announced on 17 March 2015.
Please refer to the structured finance press release which is available
at
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_320674
Please refer to the banking methodology press release which is available
at
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_320662
Please refer to the bank rating action press release which is available
at
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_321005
Moody's will assign the CR Assessments to banks over time,
and immediately start using approximations for CR Assessments as inputs
into its credit analysis for structured finance transactions. The
approximated values will be used up to the time when Moody's formally
assigns a CR Assessment.
Specifically, Moody's has placed on review for upgrade the
ratings of notes issued by three ABCP programmes and review for downgrade
the ratings of notes issued by three ABCP programmes.
Issuer: Anglesea Funding PLC / Anglesea Funding LLC
....ECP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
....USCP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
Issuer: Arabella Finance Limited / Arabella Finance LLC
....ECP CP Program, P-2 (sf)
Placed Under Review for Possible Upgrade; previously on Jun 8,
2012 Downgraded to P-2 (sf)
....USCP CP Program, P-2 (sf)
Placed Under Review for Possible Upgrade; previously on Jun 8,
2012 Downgraded to P-2 (sf)
Issuer: Chesham Finance Limited / Chesham Finance LLC
....ECP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
....USCP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
Issuer: Corelux S.A. / Corelux LLC
....ECP CP Program, P-2 (sf)
Placed Under Review for Possible Upgrade; previously on Nov 21,
2011 Downgraded to P-2 (sf)
....USCP CP Program, P-2 (sf)
Placed Under Review for Possible Upgrade; previously on Nov 21,
2011 Downgraded to P-2 (sf)
Issuer: Ebury Finance LLC / Ebury Finance Limited
....ECP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
....USCP CP Program, P-1 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 25,
2012 Confirmed at P-1 (sf)
Issuer: Silver Tower Funding Limited / Silver Tower US Funding,
LLC
....EMTN Program, Baa1 (sf) Placed Under
Review for Possible Upgrade; previously on Sep 11, 2013 Downgraded
to Baa1 (sf)
RATINGS RATIONALE
CHESHAM FINANCE LIMITED / CHESHAM FINANCE LLC, EBURY FINANCE LLC
/ EBURY FINANCE LIMITED AND ANGLESEA FUNDING PLC / ANGLESEA FUNDING LLC
Further to the updated ABCP methodology published on 16th March 2015 and
as announced in the press release "Moody's Announces Relevant Reference
Point Inputs for ABCP Programs" on 18 March 2015, the reference
point used for repo counterparties in these repo conduits is the senior
unsecured rating (SUR) of the relevant repo counterparty. Chesham
Finance Limited/Chesham Finance LLC (Chesham), Ebury Finance LLC/Ebury
Finance Limited (Ebury) and Anglesea Funding plc/Anglesea Funding LLC
(Anglesea) have exposure to a repo counterparty whose A2 SUR has been
placed on review for downgrade on 17 March 2015. Any downgrade
of this SUR would be to a level which is no longer commensurate with the
P-1(sf) rating of Chesham, Ebury and Anglesea. Removal
of the affected counterparty would lead to the P-1 (sf) rating
of the relevant programme being confirmed. During the review period,
in addition to the review of the rating of the counterparty, we
will consider further the appropriate reference point for the repo counterparties,
considering, among other things, whether the specific counterparty's
entering into of the relevant repo agreement is consistent with funding
its own activities or whether it represents direct commercial customer
financing.
CORELUX S.A. / CORELUX LLC (CORELUX)
Corelux is a fully-supported multi-seller ABCP Program sponsored
by Bayerische Landesbank which is the sole provider of liquidity facilities.
Further to the updated ABCP methodology published on 16 March 2015 and
as announced in the press release "Moody's Announces Relevant Reference
Point Inputs for ABCP Programs" on 18 March 2015, the reference
point used for the liquidity facility provider, Bayerische Landesbank,
is the CR Assessment.
As noted above, approximations for CR Assessments will be used as
inputs into the credit analysis for structured finance transactions.
The approximated values will be used up to the time when Moody's
formally assigns a CR Assessment. For Bayerische Landesbank,
the approximated CR Assessment is at a level which is commensurate with
P-1. Consequently, Corelux's P-2(sf)
rating of ABCP has been placed on review for upgrade.
ARABELLA FINANCE LTD / ARABELLA FINANCE LLC (ARABELLA)
Arabella is a fully-supported multi-seller ABCP Program
sponsored by UniCredit Bank AG which is the sole provider of liquidity
facilities.
Further to the updated ABCP methodology published on 16 March 2015 and
as announced in the press release "Moody's Announces Relevant Reference
Point Inputs for ABCP Programs" on 18 March 2015, the reference
point used for the liquidity facility provider, UniCredit Bank AG,
is the CR Assessment.
As noted above, approximations for CR Assessments will be used as
inputs into the credit analysis for structured finance transactions.
The approximated values will be used up to the time when Moody's
formally assigns a CR Assessment. For UniCredit Bank AG,
the approximated CR Assessment is at a level which is commensurate with
P-1. Consequently, Arabella's P-2(sf)
rating of ABCP has been placed on review for upgrade.
SILVER TOWER FUNDING LIMITED / SILVER TOWER US FUNDING LLC (SILVER TOWER)
Silver Tower is a multi-seller fully supported conduit that is
able to issue ABCP and EMTN. Both ABCP and EMTN benefit from liquidity
facilities primarily provided by Commerzbank AG.
Further to the updated ABCP methodology published on 16 March 2015 and
as announced in the press release "Moody's Announces Relevant Reference
Point Inputs for ABCP Programs" on 18 March 2015, the reference
point used for the liquidity facility provider, Commerzbank AG,
is the CR Assessment. The liquidity facility covers both ABCP and
EMTNs issued by Silver Tower.
As noted above, approximations for CR Assessments will be used as
inputs into the credit analysis for structured finance transactions.
The approximated values will be used up to the time when Moody's
formally assigns a CR Assessment. For Commerzbank AG, the
approximated CR Assessment is higher than the existing rating of Silver
Tower's EMTNs, consequently the Baa1(sf) rating of Silver
Tower's EMTNs has been placed on review for upgrade.
The Principal Methodology used in these ratings was "Moody's
Approach to Rating Asset-Backed Commercial Paper" published
in March 2015. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Moody's expects to conclude the majority of the structured finance
rating reviews in the first half of 2015. The timeline to resolve
these reviews will depend on the resolution process applied to the underlying
bank ratings, the conclusions stemming from the bank rating actions,
as well as the assignment of CR Assessments.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
The ratings of the relevant notes are correlated with the ratings or CR
Assessment of the related counterparty, in that an upgrade or downgrade
of the rating of the relevant counterparty, or assignment of the
CR Assessment at a level higher or lower than the current rating,
could result in an upgrade or downgrade of the notes.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
Moody's did not use any models, or loss or cash flow analysis,
in its analysis.
Moody's did not use any stress scenario simulations in its analysis.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
The person who approved Anglesea Funding PLC/Anglesea Funding LLC,
Arabella Finance Limited/Arabella Finance LLC, Chesham Finance Limited/Chesham
Finance LLC, Corelux S.A./Corelux LLC, Ebury
Finance LLC/Ebury Finance Limited credit ratings is Thorsten Klotz,
MD-Structured Finance, Structured Finance, Journalists:
44 20 7772 5456, Subscribers: 44 20 7772 5456.
The person who approved Silver Tower Funding Limited/Silver Tower US Funding
LLC credit ratings is Alex Wickens, VP-Senior Analyst/Manager,
Structured Finance, Journalists: 44 20 7772 5456, Subscribers:
44 20 7772 5456.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
The relevant Releasing Office for each rating is identified under the
Debt/Tranche List section on the Ratings tab of each issuer/entity page
on moodys.com.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Alex Wickens
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes rating actions on six European ABCP programmes
