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Announcement:

Moody's ABCP rating actions ending January 5, 2015

07 Jan 2015

New York, January 07, 2015 -- Moody's ABCP rating actions for the fourteen-day period ending January 5, 2015

MOODY'S UPDATES ABCP QUERY

Moody's has published its ABCP Query product with information as of September 30, 2014. All U.S., European and Canadian programs are complete through September 2014. This report is published monthly and can be found with Moody's other ABCP research products at www.moodys.com.

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS DURING THE PERIOD DECEMBER 23, 2014 THROUGH JANUARY 5, 2015:

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 ADDS INTERESTS IN $713 MILLION STUDENT LOAN FACILITY

A syndicate of banks has added interests in a $713 million unrated Class A variable funding note backed by private student loans. Transaction-specific credit enhancement is in the form of overcollateralization equal to a minimum of 12%. 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. The liquidity facilities are not available to fund against defaulted student loans, which include loans that are more than 60 days delinquent. Additionally, liquidity is structured to limit investor's exposure to losses to 30-60 days, depending on the conduit.

The following ABCP conduits rated by Moody's participated in the facility:

• JPMorgan's Jupiter Securitization Company LLC has a $142.5 million interest in the facility and their program-level credit enhancement is 10% of outstanding ABCP issued with respect to this transaction.

• Royal Bank of Canada's Thunder Bay Funding, LLC has a $142.5 million commitment and their program-level credit enhancement is 10% of outstanding ABCP.

• Barclays' Sheffield Receivables Corp. has a $142.5 million interest and its program-level credit enhancement is 10% of facility limits.

The remaining commitments are from non-conduit lenders or conduits not rated by Moody's.

BANK OF MONTREAL'S CANADIAN MASTER TRUST ADDS C$250 MILLION RESIDENTIAL MORTGAGE FACILITY

Canadian Master Trust ("CMT"), a partially supported, multiseller ABCP program administered by BMO Nesbitt Burns Inc., a subsidiary of Bank of Montreal (Aa3 (negative outlook)/Prime-1/C+) has added a residential mortgage facility to its portfolio. The facility is backed by a revolving pool of conventional mortgages originated by a Canadian company.

Transaction-specific credit enhancement is comprised of a cash reserve account (sized at 5% of outstanding mortgages subject to a floor of 50% of the highest ever cash account balance), and minimum excess spread. This transaction is partially supported by a liquidity facility provided by Bank of Montreal.

CMT does not have any program-wide credit enhancement. At November 30, 2014, CMT had C$2.10 billion of purchase commitments and C$1.54 billion of Canadian ABCP outstanding.

BARCLAYS' SHEFFIELD ADDS $125 MILLION SERVICER ADVANCE FACILITY

Sheffield Receivables Corp. ("Sheffield"), a partially supported, multiseller ABCP conduit administered by Barclays Bank PLC ("Barclays", A2/Prime-1/C-), has added a $125 million facility backed by servicer advances. The facility consists of four variable funding notes (VFNs) issued out of the same trust.. All four VFNs are purchased by Sheffield.

This transaction is fully supported by a liquidity facility provided by Prime-1-rated Barclays. The liquidity facility is sized to cover the principal and interest on the commercial paper issued to finance the transaction.

Sheffield's program-level credit enhancement is required to be increased by 10% of purchase limits excluding those explicitly rated Aaa (sf) by Moody's. Sheffield has approximately $5.7 billion of outstanding CP and its program-level credit enhancement is $851.4 million.

RABOBANK'S NIEUW AMSTERDAM AMENDS EXISTING TRADE RECEIVABLES FACILITY

Nieuw Amsterdam Receivables Corporation ("Nieuw Amsterdam"), a partially supported, multiseller conduit sponsored by Rabobank Nederland ("Rabobank", Aa2/Prime-1/B-), has amended its liquidity support for an existing facility; a EUR$110 million trade receivables transaction.

Transaction-specific credit enhancement is in the form of overcollateralization equal to a minimum of 6%. The amount fluctuates depending on asset performance. Nieuw Amsterdam's commitment is partially supported by a liquidity facility provided by Rabobank.

With this transaction, Nieuw Amsterdam's program-level credit enhancement is required to be increased by 7% of purchase commitments excluding those assets fully supported by liquidity. As of Oct 31, 2014, Nieuw Amsterdam had $5.59 billion of commercial paper notes outstanding and $273 million program wide credit enhancement.

TD'S BANNER, MERIT, PRIME AND ZEUS AMEND EXISTING TRADE RECEIVABLES FACILITY

Banner Trust ("Banner"), Merit Trust ("Merit"), Prime Trust ("Prime") and Zeus Receivables Trust ("Zeus"), four partially supported, multiseller Canadian ABCP programs sponsored by Toronto Dominion Bank ("TD", Aa1/Prime-1/B) and administered by TD Securities Inc., have amended an existing C$900 million revolving facility backed by trade receivables originated by an investment grade rated Canadian communication and media company. Amendments include (i) the ability to finance the company's dealer receivables, (ii) an increase in the facility's commitment to C$1.050 billion and (iii) an extension of the commitment for an additional three years to January 2018.

Transaction-specific credit enhancement is in the form of dynamic overcollateralization equal to a minimum of 13% of the Aggregate Cash Paid. 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 Banner, Merit, Prime and Zeus.

The four programs do not have any program-level credit enhancement. Banner has C$2.095 billion in outstanding ABCP; Merit has C$2.740 billion in outstanding ABCP; Prime has C$2.704 billion in outstanding ABCP and Zeus has C$2.157 billion in outstanding ABCP

TD'S PRIME TRUST EXTENDS COMMITMENT FOR EXISTING TRADE RECEIVABLES FACILITY

Prime Trust ("Prime") , a partially supported, multiseller Canadian ABCP program sponsored by Toronto Dominion Bank ("TD", Aa1/Prime-1/B) and administered by TD Securities Inc., has extended the commitment for an existing C$1.3 billion revolving facility for an additional three years to December 2017. The facility is backed by trade receivables originated by an investment grade rated Canadian communication and media company.

Transaction-specific credit enhancement is in the form of dynamic overcollateralization equal to a minimum of 13% of the Aggregate Cash Paid. 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 Prime.

Prime does not have any program-level credit enhancement and has C$2.704 billion in outstanding ABCP.

SCALDIS CAPITAL (IRELAND) LTD. ABCP RATING UNAFFECTED BY PROGRAMME AMENDMENT

On 22 December 2014, Scaldis Capital (Ireland) Limited (Scaldis) entered into agreements to replace Deutsche Bank AG ("DB", A3/P-2/baa3) as ECP operating account bank with BNP Paribas Securities Services (A1/P-1), as successor account bank. All proceeds held in existing ECP operating accounts will be transferred to the new ECP operating accounts held with the successor bank.

The above amendment was in response to the downgrade of DB's short term rating to P-2 from P-1 on 29 July 2014. For more information regarding the rating actions, please see press release "Moody's downgrades Deutsche Bank senior debt and deposit ratings to A3".

The replacement of a P-2 rated operating account bank to a P-1 rated operating account bank is credit positive for Scaldis because the risk of cash being held in a P-2 rated operating account is removed.

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.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

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/Manager
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 5, 2015
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.

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