Plaza and Storm King are Canadian trusts established by CIBC Mellon Trust Company, as Issuer Trustee. PURE is a Canadian trust established by The Canada Trust Company as Issuer Trustee. The trusts are structured to provide for bankruptcy remoteness in a manner consistent with Moody's Prime-1 rating.
The assets purchased and notes issued can be denominated in both Canadian dollars and U.S. dollars. All transactions funded by each program are subject to Moody's prior review.
Plaza was established in November 2001 to purchase varying types of receivables including term and trade receivables. As of October 2007, Plaza financed seventeen asset interests, with aggregate purchase limits of approximately Canadian $3.98 billion. There are five asset types in Plaza's portfolio program. The primary assets types are retail auto loans and leases.
PURE was established in December 1994 to purchase varying types of receivables including term and trade receivables. As of October 2007, PURE financed eighteen asset interests, with aggregate purchase limits of approximately Canadian $4.61 billion. There are five asset types in PURE's portfolio. The primary asset types are automotive finance, equipment finance and trade receivables.
Storm King was established in January 1999 to purchase varying types of receivables including term and trade receivables. As of October 2007, Storm King financed eighteen asset interests, with aggregate purchase limits of approximately Canadian $4.69 billion. There are five asset types in Storm King's portfolio. The largest three asset types are automotive finance, equipment finance and trade receivables.
The notes issued are standard ABCP with a tenor of up to 270 days for Plaza, 360 days for PURE and up to 364 days for Storm King. As of October 2007, the outstanding ABCP was Canadian $3.87 billion for Plaza, Canadian $4.15 billion for PURE and Canadian $3.82 billion for Storm King.
The Prime-1 rating of each program is based on the following:
- The bankruptcy remote structure of the program
- Moody's prior review of all transactions to ensure that the credit quality of the assets is consistent with a Prime-1 rating
- The availability of program-wide credit enhancement equal to 5% (for Plaza and Storm King) and 10% (for PURE) of investments that is available to absorb credit losses in excess of transaction level enhancement
- The liquidity support provided by Prime-1-rated RBC and other Prime-1-rated banks that will fund for non-defaulted assets, and
- The experience and capability of RBC as administrator to recommend and monitor assets and to ensure timely issuance and repayment of ABCP
Program-wide Credit Enhancement
The program-wide credit enhancement (PWCE) is sized at 5% for Plaza and Storm King and 10% for PURE of the outstanding investments of each transaction and is available to repay maturing ABCP up to its availability and after liquidity has been drawn. There is no floor amount for program credit enhancement. Currently, for Plaza, PURE and Storm King, the PWCE is equal to Canadian $199.0 million, $460.8 million and $234.3 million, respectively.
There is a separate liquidity facility for each asset pool. Liquidity is in the form of loan agreements and is available to repay maturing ABCP as needed. The liquidity commitment is equal to 102% of the facility limit for each asset pool and can never be less then 100% of the face amount of ABCP. Liquidity will not be available to fund for defaulted receivables in excess of transaction-specific enhancement. Liquidity will fund for seller recourse items, such as dilution and deemed collections. Liquidity will not be available when a program becomes bankrupt. Since each program is structured to be bankruptcy remote, this risk is consistent with a Prime-1 rating.
Parties to the Programs
RBC, the sponsor and administrator, plays a key role in the asset and liability management for each program in its role as Financial Services Agent. In addition, RBC takes on other roles to ensure that each program continues to run effectively. These roles include acting as issuing and paying agent and liquidity agent. RBC's long term rating is Aaa, its short term rating is Prime-1, and its bank financial strength rating is B+.
In addition to these three Canadian conduits, RBC sponsors and administers three ABCP programs in the U.S., Old Line Funding LLC, Thunder Bay Funding LLC, and White Point Funding Inc. These three programs all have Prime-1 ratings from Moody's.