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Rating Action:

Moody's Assigns Ratings Of Prime-1 To ABCP Issued By Salisbury Receivables Company, LLC

29 May 2008
Moody's Assigns Ratings Of Prime-1 To ABCP Issued By Salisbury Receivables Company, LLC

Program Limit of $30 Billion

New York, May 29, 2008 -- Moody's Investors Service has assigned a Prime-1 rating to the asset-backed commercial paper (ABCP) issued by Salisbury Receivables Company, LLC ("Salisbury"), a partially supported, multiseller ABCP conduit sponsored and administered by Barclays Bank PLC ("Barclays," rated Aa1/Prime-1/B). Salisbury will have a program limit of $30 billion.

Salisbury is a limited liability company organized under the laws of Delaware. Its sole member is GSS Holdings (Salisbury), also a limited liability corporation.

Salisbury has the ability to purchase a wide range of assets and intends to finance its acquisitions of assets by issuing U.S. ABCP and may, subject to rating agency affirmation, issue Euro CP. The Euro CP can be denominated in various currencies. ABCP can be issued up to 270 days for U.S. ABCP and 183 days for Euro CP. Initially Salisbury will only be issuing U.S. ABCP.

ABCP can be issued at a discount or be interest bearing notes. Additionally, the interest bearing notes can pay interest on interest payment dates that may not be the maturity date of the ABCP and the interest may be reset during the term of the notes. Liquidity will be sized to cover any increase in interest during this time.

Salisbury is also permitted to purchase ABCP from other Prime-1-rated conduits, known as Qualified ABCP. The maturities and interest rates of the Qualified ABCP must match those of Salisbury's ABCP. Therefore, liquidity commitments will not be needed to support these purchases. Additionally, no incremental program-wide credit enhancement will be added due to its high credit quality.

The Prime-1 rating assigned to Salisbury's ABCP is based on, among other factors, the following:

(i) the asset quality of the transactions;

(ii) the availability of program-wide credit enhancement in the form of a Letter of Credit provided by Barclays;

(iii) liquidity support provided by Prime-1-rated Barclays;

(iv) the experience and capability of Barclays as administrator to recommend and monitor assets and to ensure timely issuance and repayment of ABCP; and

(v) structural protections to ensure the bankruptcy remoteness of the conduit.

Hedging Agreements

Salisbury has the ability to purchase non-dollar denominated assets backed by US dollar-denominated ABCP. To mitigate the potential currency risk, Salisbury is required to enter into hedging contracts with Prime-1-rated counterparties. Moody's will not review these transactions prior to their inclusion in the portfolio due to an indemnification from Barclays to properly hedge these transactions.

Program-Wide Credit Enhancement

Program-wide credit enhancement (PWCE) is in the form of a Letter of Credit provided by Barclays. The PWCE is equal to 10% of the aggregate face amount of ABCP less the face amount of ABCP used to purchase Qualified ABCP, assets rated Aaa or Prime-1 by Moody's and any assets that are guaranteed by a Aaa-rated guarantor or the government. The PWCE can never fall below $300 million. The Letter of Credit will have an initial stated amount of $300 million. However the amount can be increased or decreased, subject to the $300 million floor, at any time. The Letter of Credit may only be used to repay maturing ABCP when there are insufficient funds available from other sources.

Liquidity Facilities

Liquidity is in the form of a receivables asset purchase agreement (RAPA) currently provided by Barclays, and may be provided by other Prime-1-rated banks. There is a separate liquidity facility for each asset interest. Moody's has reviewed the form of liquidity agreement to be used for all future transactions and will review several RAPA's associated with asset interests prior to Barclays' initial purchase.

The liquidity commitment is sized to cover the aggregate amount of purchase limits plus the interest accrued and to accrue on all outstanding ABCP through maturity. Liquidity is available to repay maturing ABCP as needed and will not be available if Salisbury were to become bankrupt. Since the program is structured to be bankruptcy remote, this risk is commensurate with a Prime-1 rating.

Parties to the Program

Barclays plays a significant role in the operations of Salisbury, acting as Administrative Agent, Liquidity Agent, and Letter of Credit Provider. Deutsche Bank Trust Company Americas (Aa3/Prime-1/C) will serve as Issuing and Paying Agent. In addition to Salisbury, Barclays has significant prior experience in handling the administrative responsibilities of Sheffield Receivables Corp. and Surrey Funding Corp., both which are currently rated Prime-1 by Moody's.

For more information please see Moody's website at www.moodys.com.

New York
Lisa Singman
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Everett Rutan
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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