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Announcement:

Moody's ABCP rating actions ending May 31, 2010

03 Jun 2010

New York, June 03, 2010 -- Moody's ABCP rating actions for the seven-day period ended May 31, 2010

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED AT PRIME-1 DURING THE PERIOD MAY 25, 2010 THROUGH MAY 31, 2010:

SYNDICATE OF PRIME-1-RATED ABCP CONDUITS AMENDS INTEREST IN AUTO SECURITIZATION TOTALING $4.25 BILLION

A syndicate of banks has renewed its participation in a $4.25 billion auto securitization established for an investment grade-rated automotive manufacturer. The securitization is comprised of a revolving auto loan facility and a revolving auto lease facility (subject to a $2.5 billion sub-limit). The participating conduits have financed two Aaa-rated VFNs, one collateralized by retail installment contracts and the related vehicles; and the other collateralized by retail auto lease contracts and the related leased vehicles.

The VFN collateralized by retail installment contracts and the related vehicles benefits from transaction-specific credit enhancement in the form of overcollateralization (with a floor of 3.5% of the highest principal balance since the last securitization take-out date), a 0.50% reserve account, and excess spread. The VFN collateralized by retail auto lease contracts and the related leased vehicles benefits from transaction-specific credit enhancement in the form of overcollateralization (with a floor of 25% of the securitization value of the residual amount), a 0.50% reserve account, and excess spread (minimum of 2.5%).

The liquidity facility for each participating conduit is sized at 100% (plus CP interest) or 102% of the conduit's respective commitment. All of the participating conduits have partially supported liquidity facilities.

The following Prime-1-rated ABCP conduits participated in the securitization:

• JPMorgan's Falcon Asset Securitization Company LLC and Jupiter Securitization Company LLC (successor by merger with PARCO) have a combined commitment totaling $1.15 billion.

• Bank of America's Enterprise Funding Company LLC and Ranger Funding Company LLC have a combined commitment totaling $1 billion.

• The Royal Bank of Scotland plc's Amsterdam Funding Corp. and Windmill Funding Corp. have a combined commitment totaling $900 million.

• Deutsche Bank's Gemini Securitization Corp., LLC has $550 million commitment.

• Société Générale's Barton Capital, LLC has a $350 million commitment.

• Citibank's CAFCO, LLC, Charta, LLC, and CRC Funding, LLC have a combined commitment totaling $300 million.

SOCIETE GENERALE'S BARTON ADDS $500 MILLION CREDIT CARD TRANSACTION

Barton Capital LLC ("Barton"), a partially supported, multiseller ABCP program administered by Société Générale ("SG," rated Aa2/Prime-1/C+), has added a $500 million credit card transaction to its portfolio. The receivables are originated by an investment grade-rated financial institution.

Transaction-specific credit enhancement is comprised of 24.5% subordination and excess spread. This transaction is partially supported by a liquidity facility provided by Prime-1-rated SG. The liquidity facility will not fund for defaulted assets, which are charged-off receivables related to the Class A note.

Barton was not required to post program-level credit enhancement for this transaction. Barton has $9.1 billion of purchase commitments and its program-level credit enhancement remains at the $1 billion floor.

CIBC'S SAFE TRUST AND SOUND TRUST PURCHASE ABCP ISSUED BY SMART TRUST

SAFE Trust ("SAFE") and SOUND Trust ("SOUND"), two partially supported, multiseller Canadian ABCP programs administered by Canadian Imperial Bank of Commerce ("CIBC," rated Aa2/Prime-1/B-), have each agreed, although not required, to purchase up to C$500 million of Prime-1- rated senior short-term notes issued by SMART Trust. SMART Trust ("SMART"), another CIBC-administered multiseller Canadian ABCP program, currently issues one series of notes, Series 1996-1 Senior Short Term Notes, with C$350 million outstanding as of March 2010. The SMART Trust, Series 1996-1 notes has an unlimited issuance amount and can be denominated in both Canadian and US currency.

Each of the three trusts is structured with a single program-liquidity facility that is used to support the asset pools in the trust's portfolio. The liquidity facilities continue to be in the form of a loan agreement and are available to be drawn to redeem maturing notes issued by the trusts. SMART will continue to maintain all of its trust-related arrangements, such as its program-level liquidity facility, administrative agent (also known as financial services agent), indenture trustee, and note issuing and placement agent. The subscribing conduit (either SAFE or SOUND) is not required to match-fund its ABCP to the ABCP issued by SMART. While the interest on the ABCP is entirely matched, the ABCP tenor may differ. Since the program-level liquidity at subscribing conduit level is appropriately sized to cover the exposure to Prime-1-rated SMART ABCP, the ABCP tenor does not need to be matched.

As of March 31, 2010, SAFE had C$1.11 billion in aggregate purchase commitments and C$1.11 billion in outstanding Series 1996-1 Senior Short Term Notes.

As of March 31, 2010, SOUND had C$1.18 billion in aggregate purchase commitments and C$1.13 billion in outstanding Series 1998-1 Senior Short Term Notes.

THE RATING OF THE FOLLOWING ABCP PROGRAM WAS WITHDRAWN DURING THE PERIOD MAY 25, 2010 THROUGH MAY 31, 2010:

PARK AVENUE RECEIVABLES COMPANY, LLC RATING WITHDRAWN

At the issuer's request, Moody's has withdrawn the Prime-1 rating of the ABCP issued by Park Avenue Receivables Company, LLC ("PARCO"), a partially supported, multiseller ABCP program administered by JPMorgan Chase Bank. On May 28, 2010, PARCO and JS Siloed Trust merged with and into Jupiter Securitization Company LLC. PARCO will not issue any further ABCP under its program. 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" (February 2003), which is available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the rating process can also be found in the Rating 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
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

Moody's ABCP rating actions ending May 31, 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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