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Announcement:

Moody's ABCP rating actions ending January 21, 2013

23 Jan 2013

New York, January 23, 2013 -- Moody's ABCP rating actions for the seven-day period ending January 21, 2013

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD JANUARY 15, 2013 THROUGH JANUARY 21, 2013:

Moody's has reviewed the following ABCP programs in conjunction with the proposed amendments. The amendments, in and of themselves and at this time, will not result in any rating impact on the respective programs. For the mentioned programs, Moody's believes that the amendments do not have an adverse effect on the credit quality of the securities such that the Moody's ratings are impacted. Moody's does not express an opinion as to whether the amendment could have other, non-credit-related effects.

SYNDICATE OF ABCP CONDUITS AMENDS INTEREST IN $6.5 BILLION STUDENT LOAN FACILITY

A syndicate of banks has amended its interest in existing student loan warehouse facilities. These facilities include three FFELP issuers for a major public issuer of student loan-backed securities. The combined size of the facilities was reduced to $6.5 billion from $7.5 billion, in accordance to the transaction documents. The conduit's continue to hold unrated Class A notes from each issuer. The amendments include (i) reallocation of bank commitments as a result of the scheduled step down of bank/conduit commitments; (ii) minor changes to the structure to allow greater flexibility to move loans in and out of the warehouse; and (iii) various non-credit related amendments.

Transaction-specific credit enhancement remains in the form of overcollateralization, which varies depending on the type of loan. In addition there is a 0.25% cash reserve account that was funded at closing.

The liquidity facility for each participating conduit is sized at 100% (plus all CP interest) or 102% of the conduit's respective commitment. Unless noted otherwise, the liquidity facilities fund against the portion of loans that is guaranteed by the government and deduct the amount of non-guaranteed, defaulted student loans.

The following ABCP conduits participated in the warehouse facilities:

• JPMorgan's Jupiter Securitization Company LLC and Chariot Funding LLC have a combined $1.5 billion interest in the facilities and their program-level credit enhancement remains at 10% of outstanding ABCP issued with respect to this transaction.

• Royal Bank of Canada's Old Line Funding, LLC and Thunder Bay Funding, LLC have a combined $1.25 billion commitment and their program-level credit enhancement remains at 10% of outstanding ABCP.

•Deutsche Bank's Gemini Securitization Corp., LLC has a $500 million interest and its program-level credit enhancement remains at 8% of outstanding ABCP. Gemini's commitment remains fully supported by a liquidity facility provided by DB.

The remaining commitments are from non-conduit lenders or non-Moody's rated conduits.

SYNDICATE OF ABCP CONDUITS AMEND EXISTING TRADE RECEIVABLES SECURITIZATION FACILITY

A syndicate of banks has amended an existing $800 million trade receivables securitization facility. The collateral is originated by an unrated company, whose parent is a Ba1 company in the healthcare industry. The facility was extended for three years and was amended to allow for bank investors to issue up to $200 million in Letters of Credit backed by eligible receivables. Additionally, approximately $100 million of receivables were added from a new originator.

Transaction specific credit enhancement is in the form of asset overcollateralization equal to a minimum of 22%. This transaction is financed by six ABCP conduits.

The liquidity facility for each participating conduit is sized at 100% (plus all CP interest) or 102% of its respective commitment.

The following ABCP conduits participate in the facility:

• Credit Agricole's Atlantic Asset Securitization LLC has a $140 million interest and its program-level enhancement increased by 10% of purchase limits.

• Barclays Capital's Salisbury Receivables LLC has a $140 million interest and its program-level credit enhancement increased by 10% of outstandings.

• The Bank of Nova Scotia's Liberty Street has a $150 million interest and its program-level credit enhancement increased by 10% of this commitment level.

• Royal Bank of Canada's Thunder Bay is a new lender, with a $140 million interest. Its program-level credit enhancement was increased by 10% of outstandings.

• PNC Bank's Market Street Funding LLC is a new lender, with a $115 million interest. Its program-level credit enhancement was increased by 10% of facility limits.

• Bank of Tokyo-Mitsubishi's Victory Receivables Corp. is a new lender, with a $115 million interest. Its program-level credit enhancement was increased by 7.5% of oustandings.

RIDGE TRUST ADDS INTEREST IN A MORTGAGE TRANSACTION

Ridge Trust ("Ridge"), partially supported, multiseller ABCP programs administered by BMO Nesbitt Burns Inc. ("BMO NB"), has added a C$500 million revolving mortgage facility. The underlying collateral consists of 100% insured mortgages originated by an unrated Canadian mortgage originator.

The facility benefits from transaction-specific credit enhancement in the form of cash reserve. This transaction is partially supported by a liquidity facility provided by Bank of Montreal.

Ridge does not have any program-level credit enhancement. Ridge currently has C$1.6 billion of purchase commitments and C$1.05 billion of Canadian ABCP outstanding.

NATIONAL BANK FINANCIAL'S FUSION TRUST AMENDS PROGRAM

Fusion Trust ("Fusion"), a partially supported, multiseller ABCP program sponsored and administered by National Bank Financial Inc. ("NBF"), a wholly owned subsidiary of National Bank of Canada ("NBC" rated Aa2/Prime-1/B-, long term rating under review for possible downgrade), has had its program amended.

The material amendments include the following - (i) Fusion's SWCE has been downsized to C$15MM from C$30MM; and (ii) Fusion has a subordinated Series D Notes which is not rated by Moody's. The amount of the Series D Note has been reduced to C$2.5 million from C$5 million.

Fusion has $1.5 billion of purchase commitments.

RBC'S STORM KING ACQUIRES INTEREST IN AUTO LOANS

Storm King Funding ("Storm King"), a partially supported, multiseller Canadian ABCP program sponsored and administered by Royal Bank of Canada ("RBC," Aa3/Prime-1/C+), has acquired a C$598 million amortizing facility backed by auto loans originated by a Baa3-rated automotive financing company.

Transaction-specific credit enhancement is in the form of 5% overcollateralization, 1% cash reserve, and excess spread. The transaction is partially supported by a transaction-level liquidity facility provided by Prime-1-rated RBC and sized to cover 102% of outstanding ABCP issued by Storm King.

With this transaction, Storm King's required program-level credit enhancement increased by 10% of commitments but only 10% of outstandings can be drawn. Storm King has C$2.56 billion of purchase commitments; its program-level credit enhancement was C$256 million but only C$158 million can be drawn.

TD'S MERIT AMENDS AN EXISTING AUTO LOAN FACILITY

Merit Trust ("Merit"), a partially supported, multiseller Canadian ABCP program sponsored by Toronto Dominion Bank ("TD," Aaa/Prime-1/B+) and administered by TD Securities Inc., has amended an existing revolving facility backed by auto loans originated by an investment grade rated company. In addition to extending the facility for one year, the facility commitment will increase from C$650 million to C$675 million.

Transaction-specific credit enhancement is in the form of overcollateralization and reserves equal to 5.7% of the pool balance.

The transaction is partially supported by a program-level liquidity facility provided by Prime-1 rated TD and sized to cover 100% of outstanding ABCP issued by Merit. Merit does not have any program-level credit enhancement and has C$2.503 billion in outstanding ABCP.

The principal methodology used in these ratings was "Moody's Approach to Rating Asset-Backed Commercial Paper" published in May 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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.

Valerie Oliveri
Associate 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 January 21, 2013
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.

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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.

Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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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