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Announcement:

Moody's ABCP rating actions ending December 20, 2010

21 Dec 2010

New York, December 21, 2010 -- Moody's ABCP rating actions for the fourteen-day period ended December 20, 2010

MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 (SF) DURING THE PERIOD DECEMBER 7, 2010 THROUGH DECEMBER 20, 2010:

MOODY'S ASSIGNS PRIME-1 (SF) RATING TO DEPFA BANK'S KELLS FUNDING ABCP PROGRAM

For further details, please see Moody's press release dated December 10, 2010.

MOODY'S ASSIGNS PRIME-1 (SF) RATING TO COMMERCIAL PAPER NOTES SERIES 2010-1 ISSUED BY WELSH ROAD FUNDING LLC

For further details, please see Moody's press release dated December 14, 2010.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 (SF) DURING THE PERIOD DECEMBER 7, 2010 THROUGH DECEMBER 20, 2010:

SYNDICATE OF ABCP CONDUITS PURCHASES INTEREST IN $3 BILLION CREDIT CARD SECURITIZATION

A syndicate of banks has participated in a newly established $3 billion three-year revolving Class A variable funding note backed by unsecured charge card receivables arising from consumer and small business and commercial charge cards. The transaction is financed by eight banks or their respective ABCP conduits with commitments ranging from a $200 million to $550 million.

The Class A note benefits from subordination in the form of a Class B and Class C note equal to 7% of the pool balance.

The liquidity facility for each participating conduit is sized at 100% (plus all CP interest) or 102% of its respective commitment. Depending on the conduit, the liquidity facility will either fully or partially support the transaction. For partially supported conduits, the liquidity facility will fund for receivables that have not been charged off.

The following ABCP conduits participated in the facility:

• Deutsche Bank's Gemini Securitization Corp., LLC has a $200 million commitment and increased its program-level credit enhancement by 8% of outstanding ABCP. Gemini's commitment is fully supported by liquidity.

• Barclays Capital's Salisbury Receivables Company, LLC has a $250 million commitment and increased its program-level credit enhancement by 10% of outstanding ABCP issued for this transaction. Salisbury's commitment is partially support by liquidity.

• Citibank's Charta, LLC and CAFCO Funding, LLC have combined commitments of $400 million. Charta's program-level credit enhancement increased by 10% of outstanding asset balance, while CAFCO's program-level credit enhancement increased by 8% of outstanding asset balance. Both conduits have partially supported liquidity facilities.

• Royal Bank of Canada's Old Line Funding, LLC and Thunder Bay Funding, LLC have combined commitments of $500 million. Both conduits increased their program-level enhancement by 10% of outstanding ABCP issued with respect to the transaction. The conduits have partially supported liquidity facilities.

• Royal Bank of Scotland's Amsterdam Funding Corp. and Windmill Funding Corp. have combined commitments of $400 million. Both conduits increased their program-level enhancement by 8% of outstanding ABCP issued with respect to the transaction. The conduits have partially supported liquidity facilities.

• Lloyds' Cancara Asset Securitisation Limited has a $200 million commitment and increased its program-level credit enhancement by 5% of the facility limit. Cancara's commitment is partially support by liquidity.

• Bank of Tokyo Mitsubishi's Victory Receivables Corp. and Gotham Funding Corp. have combined commitments of $500 million. Victory's program-level credit enhancement increased by 7.5% of commitments. Both conduits have fully supported liquidity facilities.

One non-conduit lender provides the remaining $550 million commitment.

SOCIETE GENERALE'S BARTON ADDS $300 MILLION CLASS A NOTE

Barton Capital LLC ("Barton"), a partially supported, multiseller ABCP program administered by Société Générale ("SG," rated Aa2/Prime-1/C+), has added a $300 million Class A note issued out of a master trust structure. The assets securing the Class A note consist of a pool of dealer floorplan receivables. The transaction is established for an investment-grade-rated finance company.

Transaction-specific credit enhancement is comprised of 9.5% subordination and a cash reserve account of 2.5%. This transaction is partially supported by a liquidity facility provided by Prime-1 rated SG. The liquidity facility will not fund for defaulted receivables that exceed the transaction-specific enhancements.

With this transaction, Barton's program-level credit enhancement increased by 8% of the invested amount. Barton has $8.05 billion of purchase commitments and its program-level credit enhancement remains at the $1 billion floor.

HSBC'S BRYANT PARK AMENDS LIQUIDITY STRUCTURE FOR EXISTING AUTO LOAN TRANSACTION

Bryant Park Funding LLC ("Bryant Park"), a partially supported, multiseller ABCP conduit administered by HSBC Securities (USA) Inc., has amended its liquidity structure for an existing $550 million auto loan facility. The liquidity facility was amended to fully support the transaction and will be provided by HSBC Bank Plc (Aa2/Prime-1/C+).

Although this transaction is fully supported, Bryant Park's program-level credit enhancement increased by 8% of outstanding ABCP. Bryant Park has $3 billion in outstanding ABCP and a minimum of $200 million in program-level credit enhancement.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD DECEMBER 7, 2010 THROUGH DECEMBER 20, 2010:

KITTY HAWK FUNDING CORP. RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 (sf) rating of the ABCP issued by Kitty Hawk Funding Corp, a fully supported, multiseller ABCP program administered by Bank of America, N.A. As of December 14, 2010, all outstanding ABCP had been repaid in full. Moody's policies regarding the withdrawal of ratings are described in "Moody's Guidelines for the Withdrawal of Ratings".

The principal methodology used in rating and monitoring the above-referenced ABCP programs is described in "The Fundamentals of Asset-Backed Commercial Paper" (published in February 2003). Other methodologies and factors that may have been considered in the process of rating this transaction can also be found in the Ratings Methodologies sub-directory on Moody's website.

Moody's monitors and analyzes ABCP programs on an ongoing basis. The rating actions apply to the CP issued by the ABCP programs and not the individual transaction in the programs' portfolio. 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 Moody's website.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

New York
Wanda Lee
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
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 20, 2010
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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