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Announcement:

Moody's ABCP rating activity ending October 2, 2015

08 Oct 2015

New York, October 08, 2015 -- Moody's ABCP rating activity for the week ending October 2, 2015

NO RATING IMPACT ON THE FOLLOWING ABCP PROGRAMS FROM SEPTEMBER 28, 2015 THROUGH OCTOBER 2, 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.

SYNDICATE OF ABCP CONDUITS AMEND INTEREST IN AUTO FLEET LEASE SECURITIZATION

Amendments were made to an existing facility established for a non-investment grade rated fleet leasing company. The facility consists of three notes rated by Moody's -- a Aaa (sf)-rated Class A Note, a Aa2 (sf)-rated Class B Note and an A2-rated (sf) Class C Note. The notes, which are backed by auto fleet leases, are being increased by $100 million to $500 million.

Transaction-specific credit enhancement is in the form of subordination, overcollateralization, and a reserve fund. The size of the enhancement varies for each note. 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 the securitization:

• RBC's Thunder Bay Funding is an existing purchaser with a combined commitment of $125 million. The Notes are partially supported by liquidity provided by Prime-1(cr) RBC, which funds for non-defaulted receivables. Thunder Bay's program-level credit enhancement is required to be increased by 10% of outstandings. Thunder Bay has $8.9 billion of purchase commitments, $5.9 billion in outstandings and its program-level credit enhancement is approximately $717.6 million.

• Barclays Bank PLC's Sheffield Receivables Corp. ("Sheffield") is an existing purchaser with a combined commitment of $125 million. The Class A Notes are partially supported by liquidity provided by Prime-1(cr) Barclays, which funds for non-defaulted receivables. The Class B and Class C Notes are fully supported by liquidity provided by Prime-1(cr) Barclays, which funds for the face amount of CP. Sheffield's program-level credit enhancement is required to be increased by 10% of purchase limits. Sheffield has approximately $8.9 billion of outstanding CP and its program-level credit enhancement is $1.2 billion.

The remaining commitments are from non-conduit purchasers.

CREDIT AGRICOLE'S ATLANTIC ADDS A $53.5 MILLION TRADE RECEIVABLES SECURITIZATION

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,"), has added a $53.5 million trade receivables securitization to its portfolio. The securitization is established for a non-investment grade rated company in the chemical industry.

This transaction is fully supported by a liquidity facility provided by Prime-1(cr) CA-CIB. The liquidity facility funds for the face amount of ABCP.

Atlantic's program-level credit enhancement was not increased given the full liquidity support for this transaction. Atlantic has $10.7 billion of purchase commitments and $7.0 billion in ABCP outstandings.

NATIXIS' VERSAILLES ADDED A $20 MILLION CLO TRANSACTION

Versailles Assets, LLC ("Versailles Assets"), a partially supported, multiseller ABCP program sponsored and administered by Natixis New York Branch ("Natixis,"), has added a $20 million Aaa (sf)-rated Class A Note issued out of a CLO facilty.

Versailles Assets will finance this note by issuing Prime-1 (sf)-rated ABCP to Versailles Commercial Paper, LLC. Versailles Commercial Paper, in turn, will issue Prime-1 (sf)-rated ABCP to investors in the capital market to purchase the Versailles Assets ABCP. The liquidity support is at the Versailles Assets level, and covers any timing mismatch, or liquidity risk, between the underlying notes and the ABCP issued to Versailles Commercial Paper. The program-level credit enhancement is at the Versailles Commercial Paper level.

The transaction is supported by a liquidity facility provided by Prime-1(cr) Natixis. The liquidity facility fully supports the outstanding ABCP as long as certain conditions are not triggered.

Versailles has $5.3 billion in purchase commitments and outstandings of $3 billion. Current program-level credit enhancement is $282 million.

RABOBANK'S NIEUW AMSTERDAM AMENDS THREE EXISTING TRADE RECEIVABLES FACILITIES AND ONE EQUIPMENT FINANCE FACILITY

Nieuw Amsterdam Receivables Corporation B.V. ("Nieuw Amsterdam"), a partially supported, multiseller ABCP program, sponsored by Rabobank Nederland ("Rabobank"), has amended three existing trade receivables facilities and one existing equipment finance facility.

The trade receivables facilities include a facility originated by a Ba1-rated beverage company that had its commitment increased from $174 million to $198 million, a facility originated by an unrated food and beverage company that had its commitment increased from $96 million to $114 million and a facility originated by a Ba3-rated manufacturing company whose commitment was decreased by $5 million to $45 million. Transaction-specific credit enhancement for these facilities is in the form of overcollateralization sized based on historical losses and dilution. Liquidity, provided by Prime-1(cr) Rabobank, is fully supported, funding for the face amount of ABCP.

The equipment finance facility is a $300 million revolving facility originated by a Ba1-rated equipment financing company. The collateral consists of new and used agricultural and construction equipment. Concentration limits were increased on the new and used portion of the construction loans. These amendments didn't cause a material change to the credit quality of the transaction. Transaction-specific credit enhancement is equal to 12.5% overcollateralization and a cash reserve. Nieuw Amsterdam's commitment is partially supported by a liquidity facility provided by Prime-1(cr) Rabobank, which funds for non-defaulted assets. In addition to the transaction-specific credit enhancement, program-level credit enhancement was increased by 7% of purchase commitments.

Nieuw Amsterdam has approximately $5.0 billion of commercial paper notes outstanding and $283 million program wide credit enhancement.

SCOTIABANK'S BAY STREET EXTENDS INTEREST IN EXISTING AUTO DEALER FLOORPLAN FACILITY

Bay Street Funding Trust ("Bay Street"), partially supported, multiseller Canadian ABCP program administered by Scotia Capital Inc., a wholly owned-subsidiary of Bank of Nova Scotia ("Scotiabank"), has extended its interest in an existing $200 million revolving auto dealer floorplan facility to September 2017. The facility is secured by a revolving pool of dealer floorplan loans originated by a Canadian auto finance company. The transaction is structured as a two-year revolving facility and has been in Bay Street's portfolio since 2011.

Transaction-specific credit enhancement is comprised of a cash reserve account sized at 1% of the funded amount and overcollateralization of 23.5%. To date the transaction has performed well. The reported 3-month average principal payment rate is 54.43%, with no losses. The transaction remains partially supported by a transaction-specific liquidity facility provided by Prime-1(cr) Scotiabank.

Bay Street currently has CAD2.22 billion of purchase commitments and CAD1.33 billion of Canadian ABCP outstanding.

THE RATING OF THE FOLLOWING ABCP PROGRAMS WERE WITHDRAWN DURING THE PERIOD SEPTEMBER 28, 2015 THROUGH OCTOBER 2, 2015:

Salisbury Receivables Company, LLC

For further details, please see Moody's press release dated September 28, 2015

https://www.moodys.com/research/Moodys-Withdraws-the-P-1-sf-Rating-of-US-CP--PR_335081

White Point Funding, Inc.

For further details, please see Moody's press release dated September 30th, 2015

https://www.moodys.com/research/Moodys-Withdraws-the-P-1-sf-Rating-of-Commercial-Paper--PR_335583

Aspen Funding LLC

Newport Funding LLC

For further details, please see Moody's press release dated September 30th, 2015

https://www.moodys.com/research/Moodys-Withdraws-the-P-2-sf-Ratings-of-ABCP-Issued--PR_335688

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 quarterly 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 activity ending October 2, 2015
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.

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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 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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