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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

Moody's Takes Action on 44 IO Securities from 39 ABS Transactions due to New Methodology for Rating Structured Finance IO Securities

22 Feb 2012

New York, February 22, 2012 -- Moody's Investors Service took rating action on 44 interest-only (IO) securities from 39 asset-backed securities (ABS) transactions due to a new global methodology for rating structured finance IO securities. Moody's rates a total of 77 ABS IO securities. The actions impacted 15 out of 15 Moody's-rated franchise ABS IOs, 12 of which were downgraded to Ba3 (sf) and placed on review for possible further downgrade, one of which was placed on review for possible downgrade, and two of which were downgraded with no further review. The actions also impacted 28 out of 44 Moody's-rated small business ABS IOs, which were downgraded to Ba3 (sf) and placed on review for possible further downgrade, and one out of 17 Moody's-rated student loan ABS IOs, which was upgraded by one notch. Moody's also rates one rental car ABS IO, which is not impacted by the new methodology.

These actions reflect the following implementation of the new methodology. For ABS IO securities referencing a single pool, and for ABS IO securities referencing multiple bonds that were not all investment grade at closing, Moody's has downgraded the rating of the IO securities to "Ba3 (sf)". These securities will remain on review for further possible downgrade while Moody's recalibrates expected losses. For IO securities referencing multiple bonds that were all rated investment grade at closing, Moody's has taken a direct downgrade action in accordance with the published methodology.

RATINGS RATIONALE

The methodology addresses expected differences in cash flows to the IO holder that arise from defaults and losses and maps them to a credit rating. The methodology is the result of extensive analysis into the meaning of the IO rating and how to better align IO ratings with Moody's expected loss (EL) ratings framework. The ratings framework approach is based on the results of our cash flow analysis. To arrive at the ratings framework, we tested various types of IOs using a Monte Carlo approach. Under multiple scenarios we measured the reduction in cash flow on an IO security relative to base case scenarios that were run off a matrix of default and recovery assumptions. The base case scenarios assumed no credit events on the reference tranches. Simulations stressed defaults and recoveries, but did not stress prepayments nor extensions. Prepayments are considered non credit events. Changes to the ratings or credit estimates of the referenced bonds or assets will directly impact the ratings of the IO.

IOs reference one or more bonds or assets. As such, the key rating parameters that influence the ratings on the referenced bonds will also influence the ratings on the IO. Key rating parameters for US ABS include lifetime net losses, and are captured in the ratings and credit estimates of the referenced bonds or assets.

Changes in the key parameters may have rating implications on certain classes of rated notes that are referenced by the IO. IO ratings are sensitive to any rating changes within the reference pool and/or changes in expected loss.

The performance expectations within a given variable indicate Moody's forward-looking view of the likely range of performance over the medium to long term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the referenced securities were issued or assets were securitized. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors, including, but not exclusively limited to, the performance metrics.

Primary sources of assumption uncertainty vary by ABS asset class. For small business ABS, primary sources of assumption uncertainty are the general economic environment, commercial property values, and the ability of small businesses to recover from the recession. For franchise ABS, primary sources of assumption uncertainty are the current macroeconomic environment and its impact on the various businesses represented in particular transactions, including restaurant and fast food, gas stations, convenience stores, and other small franchise businesses. For student loan ABS, primary sources of assumption uncertainty are the weak economic environment and the high unemployment rate, which adversely impact the income-generating ability of the borrowers.

The principal methodology used in these ratings was "Moody's Approach to Rating Structured Finance Interest-Only Securities" published on February 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

In addition, other methodologies used in rating Student Loan ABS Repackaging Trust, Series 2007-2 was "Moody's Approach to Rating U.S. Private Student Loan-Backed Securities" published in January 2010. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Please click on this http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF277320 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer.

REGULATORY DISCLOSURES

Although these credit ratings have been issued in a non-EU country which has not been recognized as endorsable at this date, the credit rating is deemed "EU qualified by extension" and may still be used by financial institutions for regulatory purposes until 30 April 2012. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

Information sources used to prepare the ratings are the following: parties involved in the ratings, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings 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.

The below contact information is provided for information purposes only. Please see the issuer page on www.moodys.com for Moody's regulatory disclosure of the name of the lead analyst and the office that has issued the credit rating.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Vikram Josyula
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

Amelia (Amy) Tobey
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 Takes Action on 44 IO Securities from 39 ABS Transactions due to New Methodology for Rating Structured Finance IO Securities
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.”

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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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