King Street Funding Trust -- Moody's Canadian ABCP activity for the week ended July 10, 2020
Announcement: Moody's Canadian ABCP activity for the week ended July 10, 2020
Global Credit Research - 13 Jul 2020
Toronto, July 13, 2020 -- Moody's Canadian ABCP activity for the week ended July 10, 2020
NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAM FROM JULY 6, 2020 THROUGH JULY 10, 2020:
Moody's has reviewed the following ABCP program in conjunction with the proposed addition. At this time the addition, in and of itself, will not result in any rating impact on the respective program's ABCP. Moody's does not believe it 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 addition could have other, non-credit-related effects.
SCOTIABANK'S KING STREET ADDS A CAD500 MILLION AUTO LOAN FACILITY
King Street Funding Trust (King Street), a partially supported, multi-seller Canadian ABCP program administered by Scotia Capital Inc., a wholly owned subsidiary of The Bank of Nova Scotia (Scotiabank) has added a CAD500 million amortizing auto loan securitization facility to its portfolio. The auto loans were originated by the captive finance subsidiary of an investment-grade rated auto manufacturer.
Transaction-specific credit enhancement is comprised of non-declining overcollateralization (sized at 6.5% of the initial pool balance), a fully funded non-declining cash reserve account (sized at 1% of the initial pool balance), and minimum excess spread.
This transaction is partially supported by King Street's liquidity facility provided by Prime-1(cr) rated Scotiabank. The liquidity facility is sized to cover 102% of the funded amount of outstanding ABCP issued by King Street. King Street does not have any program level credit enhancement.
King Street currently has CAD2.3 billion of purchase commitments and CAD1.8 billion of ABCP outstanding.
MOODY'S UPDATES ABCP QUERY
Moody's has published its monthly ABCP Query product with information as of April 30, 2020. ABCP Query can be found on the ABCP landing page under Related Information.
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 ABCP publications are available on Moodys.com
The principal methodology used in these ratings is "Moody's Approach to Rating Asset-Backed Commercial Paper" published in July 2017. For a more detailed explanation of Moody's approach please refer to the report https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1071314
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.
Zulaikha Khurram, CFA Analyst Structured Finance Group Moody's Canada Inc. 70 York Street Suite 1400 Toronto, ON M5J 1S9 Canada JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Harrison Hendrix Associate Analyst Structured Finance Group JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Releasing Office: Moody's Canada Inc. 70 York Street Suite 1400 Toronto, ON M5J 1S9 Canada JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653
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