Gemini Securitization Corp., LLC (As Of May 2014)

Transcription

1 ABCP Portfolio Data: Gemini Securitization Corp., LLC (As Of May 2014) Primary Credit Analyst: Thomas G Dunn, New York (1) ; [email protected] Surveillance Credit Analyst: Marc S Perlman, New York (1) ; [email protected] AUGUST 2,

2 ABCP Portfolio Data: Gemini Securitization Corp., LLC (As Of May 2014) (Editor's Note: This article is being republished to reflect updated data.) The conduit administrator has provided portfolio data as part of Standard & Poor's Ratings Services' ABCP conduit surveillance process. The data for all ABCP programs is presented in a standardized format. For descriptions of abbreviated terms, please refer to the ABCP Table Definitions table at the end of this article. 1. Conduit Profile Description Conduit name Conduit type Support type* Initial rating date Sponsor Administrator Aggregate financing commitment (mil. $) ABCP outstandings (mil. $) Initial ABCP rating Current ABCP rating Portfolio data report date Date conduit report received by S&P Reported PWCE (mil. $) Conduit information Gemini Securitization Corp., LLC Multi-Seller Full 25-Nov-92 Deutsche Bank AG (New York branch) Deutsche Bank AG (New York branch) US$11,217 US$7,045 A-1+ A-1 (sf) May Jul-14 US$547 *Represents whether the program is "fully credit enhanced" or "partially credit enhanced" 2. Conduit Overview May-2014 Apr-2014 Mar-2014 Feb-2014 Jan-2014 Dec-2013 No. of transactions USCP (mil. $) 7,045 6,519 6,356 5,266 5,554 5,503 ECP (mil. $) BT (mil. $) Total ABCP outstandings (mil. $) 7,045 6,519 6,356 5,266 5,554 5,503 Aggregate financing commitment (mil. $) 11,217 10,425 10,274 8,789 8,199 8,153 Capacity utilization (%) AUGUST 2,

3 AUGUST 2,

4 3. Conduit-Level Credit Support May-2014 Apr-2014 Mar-2014 Feb-2014 Jan-2014 Dec-2013 ABCP outstanding (mil. $) 7,045 6,519 6,356 5,266 5,554 5,503 Reported PWCE (mil. $) Reported PWCE support as % of ABCP outstanding Rating-Dependent Support Provider As Of May 2014 The most recent list of rating-dependent support providers for this conduit can be found within the "Participants" tab under the "Conduit Profile" on Global Credit Portal 5. Collateral Concentration As Of May 2014 Collateral type Invested amount (mil. $) % of total invested amount Auto Loans 3, Cdo/Cbo/Clo 1, Student Loans Floorplan Rental Fleet Timeshare Receivables Telecommunications AUGUST 2,

5 5. Collateral Concentration As Of May 2014 (cont.) Middle Market Loans Trade Receivables Cash Small Balance Commercial Capital Call Lines Auto Leases Equipment Lease Credit Card Receivables Structure Settelment 1 0 Total 7, Portfolio Concentration Trends May-2014 Apr-2014 Mar-2014 Feb-2014 Jan-2014 Dec-2013 Total invested amount 7,046 6,516 6,356 5,267 5,554 5,504 Largest transaction invested amount (mil. $) Largest transaction collateral type Auto Loans Auto Loans Auto Loans Auto Loans Auto Loans Auto Loans Largest transaction as % of total invested amount Top three transactions as % of total invested amount Top five transactions as % of total invested amount Top Five Transactions By Invested Amount As Of May 2014 Collateral type Invested amount (mil. $) % of total invested amount Auto Loans Auto Loans Auto Loans Student Loans Auto Loans Total 2, Portfolio Activity Year-To-Date 2014 Collateral type Financing limit (mil. $) Invested amount at entry date (mil. $) Entry/exit date Transactions entering Student Loans Jan 2014 Cdo/Cbo/Clo Feb 2014 Cdo/Cbo/Clo 60 0 Feb 2014 Cdo/Cbo/Clo Feb 2014 Cdo/Cbo/Clo 50 0 Feb 2014 Cdo/Cbo/Clo 55 0 Feb 2014 Auto Loans Mar 2014 Auto Loans Mar 2014 Auto Loans 10 0 Mar 2014 Auto Loans Mar AUGUST 2,

6 8. Portfolio Activity Year-To-Date 2014 (cont.) Auto Loans 10 0 Mar 2014 Auto Loans 10 0 Mar 2014 Auto Loans Mar 2014 Floorplan Mar 2014 Cdo/Cbo/Clo May 2014 Auto Loans May 2014 Cdo/Cbo/Clo May 2014 Auto Loans 10 2 May 2014 Cdo/Cbo/Clo May 2014 Auto Loans May 2014 Total 3,882 1,957 Transactions exiting Middle Market Loans 2 N/A Jan 2014 Student Loans 167 N/A Jan 2014 Student Loans 167 N/A Jan 2014 Student Loans 167 N/A Jan 2014 Credit Card Receivables 18 N/A Jan 2014 Equipment Lease 32 N/A Jan 2014 Servicer Advances 7 N/A Apr 2014 Cdo/Cbo/Clo 0 N/A May 2014 Cdo/Cbo/Clo 250 N/A May 2014 Total 808 N/A Net Change 3,073 N/A *The financing limit is the last recorded amount before exit. The outstanding amount is N/A. 9. Portfolio Composition As Of May 2014 Collateral type Entry date Financing limit (mil. $) Invested amount (mil. $) Utilization (Inv Amount/Fin Limit) (%) Aggregate credit support (%)* Auto Leases Apr Auto Loans Jun Auto Loans Dec Auto Loans Aug Auto Loans Mar Auto Loans Apr Auto Loans Apr Auto Loans Jun Auto Loans Oct , Auto Loans Dec Auto Loans Dec Auto Loans Mar Auto Loans Mar Auto Loans Mar Auto Loans Mar AUGUST 2,

7 9. Portfolio Composition As Of May 2014 (cont.) Auto Loans Mar Auto Loans Mar Auto Loans Mar Auto Loans May Auto Loans May Auto Loans May Capital Call Lines Jan Cash Aug Cdo/Cbo/Clo Jan Cdo/Cbo/Clo Jan Cdo/Cbo/Clo Nov Cdo/Cbo/Clo May Cdo/Cbo/Clo Jun Cdo/Cbo/Clo Nov Cdo/Cbo/Clo Jan Cdo/Cbo/Clo Jan Cdo/Cbo/Clo Dec Cdo/Cbo/Clo Dec Cdo/Cbo/Clo Feb Cdo/Cbo/Clo Feb Cdo/Cbo/Clo Feb Cdo/Cbo/Clo Feb Cdo/Cbo/Clo Feb Cdo/Cbo/Clo May Cdo/Cbo/Clo May Cdo/Cbo/Clo May Credit Card Receivables Feb Credit Card Receivables Oct Credit Card Receivables Aug Equipment Lease Dec Floorplan Mar Floorplan Apr Floorplan Mar Middle Market Loans Sep Middle Market Loans Sep Middle Market Loans May Middle Market Loans Oct Rental Fleet Sep Rental Fleet Nov Rental Fleet Nov Small Balance Commercial Oct Structure Settelment Oct AUGUST 2,

8 9. Portfolio Composition As Of May 2014 (cont.) Student Loans Jun Student Loans Jun Student Loans Jan Telecommunications Dec Timeshare Receivables May Trade Receivables Jun *Includes internal and external credit support 10. ABCP Table Definitions Code ABCP BT ECP N/A PWCE USCP Definition Asset-backed commercial paper Billets de Tresorerie European commercial paper Not applicable Program-wide credit enhancement U.S. commercial paper AUGUST 2,

9 Copyright 2014 Standard & Poor's Financial Services LLC, a part of McGraw Hill Financial. All rights reserved. No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor's Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an "as is" basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT'S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages. Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P's opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof. S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process. S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and and (subscription) and (subscription) and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at AUGUST 2,