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Announcement:

Moody's ABCP rating activities ending July 31, 2015

05 Aug 2015

New York, August 05, 2015 --

Moody's ABCP rating activities for the two week period ending July 31, 2015

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM JULY 20, 2015 THROUGH JULY 31, 2015:

Moody's has reviewed the following ABCP programs in conjunction with the proposed additions and amendments, as applicable. At this time the additions and amendments, in and of themselves, will not result in any rating impact on the respective program. Moody's does not believe they will 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 additions and amendments could have other, non-credit-related effects.

A SYNDICATE OF ABCP CONDUITS AMEND AN INTEREST IN AN AUTO SECURITIZATION

Amendments were made to an existing auto securitization facility established for an investment grade-rated automotive manufacturer. The facility, which was decreased by $200 million to $6.0 billion, is comprised of a revolving auto loan facility and a revolving auto lease facility (up to 100% of the facility limit may consist of auto leases). The securitization is structured as a 364-day revolving facility.

Transaction-specific credit enhancement for the auto loans is comprised of dynamic overcollateralization and excess spread. The overcollateralization is equal to a minimum of 6% floor is sized based on the pool composition. Transaction-specific credit enhancement for the auto leases is comprised of dynamic overcollateralization and 1% required excess spread. The overcollateralization has a floor that ranges from 18.75% to 22.75%.

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

The following ABCP conduits participate in both facilities:

• JPMorgan's Chariot Funding LLC and Jupiter Securitization Company, LLC have combined commitments totaling $500 million and their program-level credit enhancement remains at 10% of outstanding ABCP.

• Citibank's CAFCO, LLC, CHARTA, LLC, CIESCO, LLC and CRC Funding LLC have combined commitments totaling $650 million. CHARTA and CRC's program-level credit enhancement remain at 10% of outstanding assets, while CAFCO and CIESCO's program-level credit enhancement remain at 8% of outstanding assets.

• Barclays' Sheffield Receivables Co. LLC has a $650 million commitment and its program-level credit enhancement remains at 10% of purchase limits.

• The Bank of Tokyo-Mitsubishi UFJ's Gotham Funding Corp. has a $500 million commitment. Gotham is a fully supported conduit and does not have program-level credit enhancement.

• BNP Paribas' Starbird Funding Corp. has a $500 million commitment and its program-level credit enhancement remains at 8% of commitments.

• Royal Bank of Canada's Old Line Funding, LLC and Thunder Bay Funding, LLC have combined commitments of $500 million and their program-level credit enhancement remains at 10% of outstanding ABCP.

• Mizuho Corporate Bank Ltd.'s Working Capital Management Co., L.P. (WCM) has a $500 million commitment. WCM is a fully supported conduit and does not have program-level credit enhancement.

• Credit Agricole's Atlantic Asset Securitization, LLC has a $500 million commitment and its program-level credit enhancement remains at 10% of commitments.

• Société Générale's Barton Capital LLC has a $600 million commitment and its program-level credit enhancement remains at 8% of the invested amount.

The remaining commitments are from non-conduit purchasers.

BARCLAYS' SHEFFIELD AMENDS A $1.5 BILLION STUDENT LOAN FACILITY

Sheffield Receivables Co. LLC ("Sheffield"), a partially supported, multiseller ABCP program sponsored and administered by Barclays Bank PLC ("Barclays"), has increased an existing FFELP student loan facility from $1.25 billion to $1.5 billion.

Liquidity, provided by Prime-1(cr) Barclays consists of two separate facilities which fund on a pro-rata basis. The first facility provides full liquidity support for up to $805 million. The second facility provides partial liquidity support and is not available to fund defaulted loans on the unguaranteed portion only (which represents 3% of the facility).

Sheffield's program-level credit enhancement will be increased by 3% of purchase limits. Sheffield has approximately $9.2 billion of outstanding ABCP and its program-level credit enhancement is $1.35 billion.

BNP'S STARBIRD AMENDS A $125 MILLION CREDIT CARD RECEIVABLES FACILITY AND AMENDS ITS PROGRAM

Starbird Funding Corporation ("Starbird"), a partially supported, multiseller ABCP program sponsored and administered by BNP Paribas New York Branch ("BNP"), has amended its program documents to comply with the Volcker Rule. Starbird now relies on the exclusion from registration under the Investment Company Act of 1940 as set forth in Rule 3a-7.

Additionally, Starbird amended a $125 million commitment in a credit card receivables facility for a financial institution. Transaction-specific credit enhancement is comprised of 27.5% subordination and excess spread. Liquidity, provided by Prime-1(cr) BNP is being amended from full liquidity support to partial support. Liquidity will not fund for net charge-offs.

With this transaction, Starbird has $5.4 billion of purchase commitments and $2.8 billion in outstanding ABCP. Its program-level credit enhancement is $435.3 million, with a $150 million floor.

BANK OF MONTREAL'S CANADIAN MASTER TRUST AND RIDGE TRUST AMEND PROGRAM

Canadian Master Trust ("CMT") and Ridge Trust ("Ridge"), two partially supported, multiseller Canadian ABCP programs sponsored and administered by BMO Nesbitt Burns Inc. ("BMO NB"), have extended the terms of their respective trust deeds and have made other non-credit related program amendments.

Ridge has approximately CAD2.0 billion of outstandings and purchase limits of CAD2.5 billion.

CMT has approximately CAD2.3 billion of outstanding ABCP and purchase limits of CAD2.6 billion.

CREDIT AGRICOLE'S ATLANTIC AMENDS ITS PROGRAM

Atlantic Asset Securitization LLC ("Atlantic"), a partially supported, multiseller ABCP program sponsored and administered by Credit Agricole Corporate and Investment Bank New York Branch ("CA-CIB, NY Branch"), has amended its program to comply with the Volcker Rule. Atlantic now relies on the exclusion from registration under the Investment Company Act of 1940 as set forth in Rule 3a-7.

Atlantic has $7.24 billion of outstanding ABCP and $10.63 billion of purchase commitments.

CREDIT AGRICOLE'S LMA AMENDS ITS PROGRAM

LMA S.A./LMA Americas LLC ("LMA"), a fully supported, multiseller ABCP program administered by Credit Agricole Corporate and Investment Bank ("CA-CIB"), has amended its program-level documents to be exempt from the "covered fund" status, as defined under the Volcker Rule.

LMA S.A has transferred to ALMA Holdings Inc ("ALMA") its membership interest in LMA Americas LLC. ALMA currently owns 99.9% of LMA S.A. and it is now LMA Americas LLC's sole member.

As of June 30, 2015, LMA had €17,8 billion in total purchase commitments and €10,5 billion in outstanding ABCP.

LMA is authorized to issue up to €10 billion of ECP, €14,7 billions of BT and $10 billion of USCP.

RABOBANK'S NIEUW AMSTERDAM AMENDS EXISTING TRADE RECEIVABLES FACILITY

Nieuw Amsterdam Receivables Corporation B.V. ("Nieuw Amsterdam"), a partially supported, multiseller ABCP program sponsored and administered by Rabobank Nederland ("Rabobank"), has amended an existing trade receivables facility originated by an unrated chemicals company. The commitment will be decreased from $178.5 million to $135 million. Additionally, two sellers have been excluded from the securitization and country concentration limits were adjusted.

Transaction-specific credit enhancement is in the form of dynamic overcollateralization equal to a minimum of 16%. The overcollateralization fluctuates depending on asset performance. Nieuw Amsterdam's commitment is partially supported by a liquidity facility provided by Prime-1(cr) Rabobank, which funds for non-defaulted assets.

Program-level credit enhancement is required to be increased by 7% of purchase commitments, excluding those assets fully supported by liquidity. Nieuw Amsterdam has approximately $5 billion of outstanding ABCP, $8 billion in purchase limits and $272 million program-level credit enhancement.

RBC'S THUNDER BAY AMENDS A STUDENT LOAN FACILITY

Thunder Bay Funding LLC ("Thunder Bay"), a partially supported, multiseller ABCP program sponsored and administered by Royal Bank of Canada, New York Branch ("RBC"), has amended the liquidity facility for an existing $275 million private student loan facility. The loans are originated and serviced by a non-investment grade company.

Transaction-specific credit enhancement is comprised of overcollateralization, a reserve account and excess spread. Liquidity, provided by Prime-1(cr) RBC is being amended from fully supported to partially supported liquidity, and will fund for good assets.

Program-level credit enhancement is required to be increased by 10% of outstanding ABCP. Thunder Bay had approximately $9.1 billion of purchase commitments and $6.3 billion in outstanding ABCP. Its program-level credit enhancement is approximately $790 million with a $300 million floor.

20 GATES' MOUNTCLIFF FUNDING ADDS A $90 MILLION FLOATING RATE NOTE FACILITY

Mountcliff Funding LLC ("Mountcliff"), a fully supported, multiseller ABCP program sponsored by 20 Gates Management LLC has added a $90 million floating rate note issued by an unrated financial company.

Transaction-specific credit enhancement is in the form of a fully supported liquidity agreement provided by a Prime-1 rated entity.

As of July 31, 2015, Mountcliff had approximately $1.8 billion of outstanding ABCP and a maximum program limit of $10 billion.

The principal methodology used in these ratings was "Moody's Approach to Rating Asset-Backed Commercial Paper" published in July 2015. 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 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

Lisa Singman
VP - Senior Credit Officer
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 activities ending July 31, 2015
No Related Data.
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