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Announcement:

Moody's ABCP rating actions ending December 12, 2011

21 Dec 2011

New York, December 21, 2011 -- Moody's ABCP rating actions for the seven-day period ended December 12, 2011

MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 (SF) DURING THE PERIOD DECEMBER 6, 2011 THROUGH DECEMBER 12, 2011:

MOODY'S ASSIGNS PRIME-1 (SF) RATING TO SEAWALL SPC SERIES 2011-2 NOTES

For further details, please see Moody's press release dated December 6, 2011.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS AFFIRMED AT PRIME-1 (SF) DURING THE PERIOD DECEMBER 6, 2011 THROUGH DECEMBER 12, 2011:

BANK OF MONTREAL'S CANADIAN ABCP CONDUITS AMEND LIQUIDITY AGREEMENT

Canadian Master Trust, Diversified Trust, Ridge Trust, and Summit Trust, four Canadian ABCP programs administered by BMO Nesbitt Burns Inc., a subsidiary of Bank of Montreal (Aa2/Prime-1/B-), have amended their respective liquidity agreements to allow for renewal periods of 12 months. The commitment period is in line with other liquidity agreements used to support ABCP programs. The liquidity support is in the form of program-level liquidity purchase agreements. In addition to allowing for a longer commitment period, some of the program amended their commitment amounts to allow for increased funding under the programs. In all cases, the liquidity commitment is sized to cover the face amount of outstanding ABCP.

BANK OF MONTREAL'S CANADIAN MASTER TRUST INCREASES INTEREST IN EXISTING RESIDENTIAL MORTGAGE FACILITY

Canadian Master Trust ("CMT"), a partially supported, multiseller Canadian ABCP program administered by BMO Nesbitt Burns Inc., a subsidiary of Bank of Montreal (Aa2/Prime-1/B-), has increased its commitment in an existing revolving residential mortgage facility. The underlying collateral are insured and non-insured residential mortgages. CMT's interest in the C$2.15 billion co-purchase facility increased from C$200 million to C$500 million. The facility is financed with several ABCP conduits.

Transaction-specific credit enhancement, which is comprised of a cash reserve and subordination, is dynamically sized and based on the composition of insured and non-insured loans. The current total enhancement is approximately 1.2%. The transaction is partially supported by a program-level liquidity facility provided by Bank of Montreal. The liquidity facility funds for non-defaulted loans.

CMT does not have program-level credit enhancement. CMT has funding commitments of C$1.788 billion and C$1.176 billion in outstanding Series A notes.

ING'S MONT BLANC ADDS EUR 75 MILLION INTEREST IN TRADE RECEIVABLE TRANSACTION

Mont Blanc Capital Corp. ("Mont Blanc"), a partially supported, multiseller programme sponsored by ING Bank NV ("ING," rated Aa3/Prime-1/C+), has added a new EUR 75 million Belgian, French, German, Dutch and UK trade receivables transaction to its programme. The securitised portfolio has been funded since 2009 by another bank-sponsored ABCP conduit and in 2010 a further conduit addition was made. Mont Blanc's recent participation will increase the aggregate purchase commitment by EUR 50 million to EUR 350 million. The underlying portfolio consist of sterling and euro denominated trade receivables, which have been originated by subsidiaries (incorporated in Belgium, France, Germany, The Netherlands and the UK) of a Dutch based global food company.

Transaction-specific credit enhancement is in the form of overcollateralization and sized dynamically with a reserve floor of 10%. The transaction is partially supported through a liquidity facility provided by Prime-1-rated ING Bank N.V., Dublin Branch. The liquidity facility covers all seller risks, but excludes default receivables. Investors also benefit from tight eligibility criteria, short term nature of the assets and various termination events based on pool performance triggers.

Mont Blanc's program-level credit enhancement was increased by 10% of the purchase limit to USD 306 million and its aggregate purchase commitment is USD 4.34 billion following the new addition.

LLOYDS TSB'S CANCARA ADDS CHF 120 MILLON AUTO LEASE TRANSACTION

Cancara Asset Securitisation Limited/Cancara Asset Securitization LLC ("Cancara"), a partially supported, hybrid multiseller conduit sponsored by Lloyds TSB Bank Plc ("Lloyds TSB," A1 rating on review for possible downgrade/Prime-1/C- BFSR on review for possible downgrade), has purchased a CHF 120 million variable funding note from a Swiss special purchase vehicle. The underlying collateral is a revolving portfolio of Swiss auto leases originated by a subsidiary of a non-investment-grade-rated financial services firm in the automotive industry.

The transaction-specific credit enhancement is comprised of excess spread, overcollateralization, and a cash reserve. The overcollateralization is calculated on a dynamic basis (subject to product specific advance rates for the lease instalment receivables and a separate advance rate for the balloon receivables). In addition, investors benefit from various termination events based on pool performance triggers. A breach in the triggers will lead to early amortization of the portfolio. The transaction is partially supported by a liquidity facility provided by Lloyds TSB. The liquidity facility covers for standard seller risks. ABCP investors are not exposed to the residual value risk that could arise from the balloon portion of the leases receivables.

Cancara increased its programme-level credit enhancement by 5% of its commitment in the transaction. Cancara has approximately USD 11 billion in purchase commitments and USD 1.11 billion in programme-level credit enhancement.

THE RATING OF THE FOLLOWING USCP PROGRAM WAS AFFIRMED AT PRIME-1 DURING THE PERIOD DECEMBER 6, 2011 THROUGH DECEMBER 12, 2011:

MLTC FUNDING RENEWS EXISTING USCP PROGRAM

MLTC Funding Inc. ("Issuer") has renewed its existing US commercial paper program supported by a letter of credit issued by Citibank, N.A. (A1/Prime-1/C-). Citibank's irrevocable letter of credit provides full and timely payment to maturing commercial paper notes upon maturity. The Issuer has renewed the letter of credit facility for another year with October 10, 2012 as the new expiration date.

The Issuer is authorized to issue up to $5.1 million of commercial paper. JPMorgan Chase Bank, N.A. (Aa1/Prime-1/B) continues to act as the depositary and will draw on the letter of credit to pay maturing commercial paper.

MLTC Funding was established with the limited purpose of leasing property and equipment to Thrifty PayLess, Inc., Thrifty Corporation, and Thrifty Realty Company. MLTC Funding issues commercial paper on an ongoing basis and uses to proceeds to refinance the leased property and equipment.

RATINGS RATIONALE

Canadian Master Trust, Diversified Trust, Ridge Trust, and Summit Trust: The program amendments are credit neutral.

Canadian Master Trust: The assets are performing as expected and the credit enhancement remains intact. An increase in commitment is considered credit neutral.

Cancara Asset Securitisation Limited/Cancara Asset Securitization LLC: The asset quality and credit enhancement levels are adequate for inclusion to the conduit's portfolio. The liquidity support for the transaction covering for seller risks and residual value risk is consistent with the asset analysis performed and is provided by a Prime-1 rated bank.

MLTC Funding Inc.: The renewal of the program is credit neutral. The commercial paper issued through this program remains fully supported by Prime-1 rated Citibank.

Mont Blanc Capital Corp.: The asset quality and credit enhancement levels are adequate for inclusion to the conduit's portfolio. The liquidity support for the transaction covering for seller risks is consistent with the asset analysis performed and is provided by a Prime-1 rated bank.

Seawall SPC Series 2011-2: The Prime-1 (sf) rating of the Seawall SPC Series 2011-2 notes is based primarily on a total return swap provided by Deutsche Bank AG (New York Branch). The total return swap ensures the full and timely repayment of the Series 2011-2 notes.

The principal methodology used in these ratings was "Moody's Approach to Rating Asset-Backed Commercial Paper" published in February 2003. Please see the Credit Policy page on www.moodys.com for a copy of this methodology. Other factors used in this rating are described in "LOC-Backed CP Programs: Structure is Key" published in August 2000.

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 monthly updated performance information, which is published in the Performance Overviews. All publications are available on www.moodys.com.

REGULATORY DISCLOSURES

The Global Scale Credit Ratings for the following issuers/deals that are issued by one of Moody's affiliates outside the EU are considered EU Qualified by Extension and therefore available for regulatory use in the EU. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

Canadian Master Trust

Cancara Asset Securitisation Limited/Cancara Asset Securitization LLC

Diversified Trust

MLTC Funding Inc.

Mont Blanc Capital Corp.

Ridge Trust

Seawall SPC Series 2011-2

Summit Trust

For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history. The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

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.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Wanda Lee
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Everett Rutan
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's ABCP rating actions ending December 12, 2011
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY'S.

To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody's Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001. MOODY'S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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