A Lloyds TSB Bank hybrid ABCP, Cancara Asset Securitization, has restructured two transactions to remove structured liquidity support that had substantially limited the risk of deterioration of credit quality of the receivables pools for commercial paper holders.
Both deals are still benefiting from partially supported liquidity facilities, according to a Moody’s Investors Service report.
The first transaction is a $345 million note securitized by trade receivables originated by an unrated global company specialized in commodities trading.
The liquidity facility for this transaction was amended to a replace a structured liquidity mechanism with a ratings-based borrowing base that will fund until the notes are rated ‘Caa3’ or lower. The notes are currently rated ‘Aaa’, said Moody’s in the report.
The second transaction, which is the fourth largest asset pool in Cancara’s multiseller portfolio, is a $475 million trade receivables securitization for a large U.S. conglomerate with a senior unsecured rating of ‘Aa2’.
The liquidity facility for this transaction was amended to remove a structured liquidity mechanism, which increases investor’s exposure to the credit quality of the underlying assets. The size of this transaction was reduced from $700 million.
Cancara has $9.31 billion in outstanding ABCP and is authorized to issue up to $33 billion of ABCP.
