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Announcement:

Moody's ABCP rating activity ending February 26, 2016

03 Mar 2016

New York, March 03, 2016 -- Moody's ABCP rating activity for the period ending February 26, 2016

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM FEBRUARY 22, 2016 THROUGH FEBRUARY 26, 2016:

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.

SYNDICATE OF ABCP CONDUITS AMEND INTEREST IN $750 MILLION STUDENT LOAN FACILITY

A syndicate of banks have amended a $750 million unrated Class A variable funding note backed by private student loans. Transaction-specific credit enhancement is in the form of overcollateralization and a cash reserve account. The amendments include increasing commitments and lowering the initial implied advance rates for certain loan programs funded in the securitization.

The liquidity facility for each participating conduit is sized at 100% (plus all ABCP 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 to 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 $150 million interest in the facility and its program-level credit enhancement is 10% of outstanding ABCP issued with respect to this transaction. Jupiter's commitment is partially supported by a liquidity facility provided by Prime-1(cr) JPMorgan. Jupiter has $13.30 billion of purchase commitments, $10.53 billion in outstandings and its program-level credit enhancement is approximately $1.0 billion with a $500 million floor.

• Royal Bank of Canada's Thunder Bay Funding, LLC has a $150 million commitment and its program-level credit enhancement is 10% of outstanding ABCP. Thunder Bay's commitment is partially supported by a liquidity facility provided by Prime-1(cr) RBC. Thunder Bay has approximately $9.08 billion of purchase commitments and $6.72 billion in outstandings. Its program-level credit enhancement is approximately $672 million with a $300 million floor.

• Barclays' Sheffield Receivables Company LLC has a $150 million interest and its program-level credit enhancement is 10% of facility limits. Sheffield's commitment is partially supported by a liquidity facility provided by Prime-1(cr) Barclays. Sheffield has approximately $12.6 billion of purchase commitments and $8.13 billion in outstandings. Its program-level credit enhancement is approximately $1.12 million with a $325 million floor.

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

RABOBANK'S NIEUW AMSTERDAM ADDS TWO NEW TRADE RECEIVABLE FACILITIES

Nieuw Amsterdam Receivables Corporation B.V. ("Nieuw Amsterdam"), a partially supported, multiseller ABCP program sponsored and administered by Rabobank Nederland ("Rabobank"), has added two trade receivable facilities to its portfolio.

The first is a EUR 50 million facility originated by an unrated sugar manufacturer. Transaction-specific credit enhancement is in the form of dynamic overcollateralization equal to a minimum of 3%. The amount fluctuates depending on asset performance.

The second transaction is a EUR 85 million facility originated by an unrated beverage manufacturer and distributor. Transaction-specific credit enhancement is in the form of dynamic overcollateralization equal to a minimum of 6%. The amount fluctuates depending on asset performance.

Nieuw Amsterdam's commitment in both transactions is fully supported by a liquidity facility provided by Prime-1(cr) Rabobank, which funds for the face amount of ABCP.

Nieuw Amsterdam's program-level credit enhancement is required to be increased by 7% of purchase commitments, excluding those assets fully supported by liquidity. The required amount will be not increased for these two transactions given their full liquidity support. Nieuw Amsterdam has $4.9 billion of ABCP, $7.4 billion in purchase limits and $248 million of program-level credit enhancement.

RBC'S PLAZA TRUST ADDS CAD524 MILLION AUTO LOAN SECURITIZATION

Plaza Trust ("Plaza"), a partially supported, multiseller Canadian ABCP program sponsored and administered by Royal Bank of Canada ("RBC"), has added a CAD524 million amortizing auto loan facility to its portfolio. Plaza holds an unrated single-class note issued out of a master trust. The auto loans are originated by an investment-grade rated auto finance company.

Transaction-specific credit enhancement is comprised of non-declining overcollateralization sized at 5.0% of the initial discounted pool, a fully funded cash reserve account sized at 1.1% of the initial discounted pool, and minimum excess spread.

This transaction is partially supported by a liquidity facility provided by Prime-1(cr) RBC. Liquidity is sized to cover the principal and interest on the ABCP issued to finance the transaction.

Plaza's program-level credit enhancement is sized at 10% of aggregate investments. Plaza has CAD2.8 billion in total purchase commitments, CAD1.4 billion in outstanding ABCP, and CAD139 million in program-level credit enhancement.

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 - Sr Credit Officer/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 activity ending February 26, 2016
No Related Data.
© 2019 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 ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S 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 RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S 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. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S 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.

MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.

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.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

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 rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS 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 rating, agreed to pay to MJKK or MSFJ (as applicable) for 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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