MOODYS.COM

22 APRIL 2014

Welcome to the April Issue of ABS Spotlight In this edition, we discuss US subprime auto lenders’ growing caution, the limited value of cash-trapping triggers in credit card ABS, the DOE’s proposed gainful employment rule, and the improvement in real estate trends in the context of small business ABS. There are, of course, more articles, all designed to keep you informed of key credit issues and developments affecting the US and Canadian ABS markets.

FEATURE ARTICLES Autos » US Subprime Auto Lenders Somewhat More Cautious 2 » Probe of General Motors Recall Is Credit Negative 5 » GM: Credit Opinion 6 » Toyota's Payment of US$1.2 billion in Agreement with US

Attorney's Office Is Credit Negative 7

» US Prime Auto Loan ABS Credit Indices: February 2014 8

Credit Cards » Cash-Trapping Triggers in Credit Card ABS Provide Little Value

to Investors 10

» US Consumer Outlook: Credit Card Usage Will Grow 13 » US Credit Card Industry: Strong Profit Dynamics Continue for Card

Issuers in 2014 17

» Card Delinquencies Hit Record Low in March 19

Student Loans » DOE’s Gainful Employment Rule Would Have Minimal

Negative Impact on Student Loan ABS 20

» Class C Notes in Some Sallie Mae Private Student Loan ABS Will Likely Pay Off Before the Senior Classes

22

Commercial & Esoteric » Small Business ABS: Improving Real Estate Trends Point to a

Turn in Performance 25

» New Player Enters Equipment ABS Market 29

ALSO IN THIS ISSUE » Econ Dashboard & Commentary 30 » Surveillance Recap 32 » Issuance Toteboard 38

KEY LINKS Performance Indices » Prime Auto ABS » Credit Card ABS » Private Student Loan ABS

2014 Outlooks » Auto Loan ABS » Credit Card ABS » Private Student Loan ABS » FFELP Student Loan ABS » Commercial & Esoteric ABS

Performance Summaries » Auto Loan ABS » Auto Lease ABS » Auto Floorplan ABS

Quick Check Portals » ABS Quick Check » Structured Finance Quick

Check

AUTOS

2 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

US Subprime Auto Lenders Somewhat More Cautious New subprime auto loan credit metrics suggest that some lenders are becoming less willing to extend loans to increasingly risky borrowers. If the trend continues, loan losses, which have risen among recent originations, may stabilize for the time being among newer loans. Several factors point to lenders becoming more cautious: Borrower credit scores for used auto loans improved in fourth-quarter 2013 for the first time since 2010, and the banks, credit unions, and captive finance companies that were increasingly competing with traditional subprime lenders have slowed the growth of their subprime portfolios. There are still some metrics, though, such as rising loan-to-values and lengthening loan terms, that suggest that lenders are still willing to take on increasing risk by catering to cash-strapped customers. Since lenders will likely continue to vie for borrowers, we don’t expect a major slowdown in subprime lending.

Subprime auto loan deterioration might moderate if originators continue to lend with more caution The latest data from Experian, although mixed, indicate that subprime auto lenders are expanding with less zeal down the credit spectrum. If that continues, losses on loans backing new subprime auto ABS transactions could stabilize. Banks, captive finance companies, and credit unions, which haven’t traditionally focused on subprime loans, had previously been increasing their shares of loans to subprime borrowers but slowed that growth during the fourth quarter of 2013. Captive lenders increased their proportion of total loans to lower-than-prime borrowers by 6% in fourth-quarter 2013 versus fourth-quarter 2012, but credit unions increased theirs by less than 1% and banks decreased theirs by about 1%.1 The declining competition from these non-traditional subprime lenders puts less pressure on independent finance companies to lend to ever-weaker borrowers to maintain their lending volumes.

Another sign of moderating credit deterioration is an improvement in credit scores for used vehicles. Experian reports that credit scores of borrowers for used vehicle loans increased to 646 in fourth-quarter 2013 from 644 in fourth-quarter 2012, their first year-over-year improvement since 2010.2 Used vehicle sales have a greater impact on subprime average credit than on prime average credit, because higher proportions of used vehicle loans go to subprime borrowers. In fourth-quarter 2013, lower-than-prime borrowers accounted for 63% of used vehicle loans but only 34% of new vehicle loans.3

Rising interest rates on subprime loans also indicate that lenders are becoming more cautious. In a reversal of recent trends, average annual percentage rates (APRs) on both new and used vehicle loans rose between the fourth quarters of 2012 and 2013. The average APR rose to 14.04% from 13.56% for subprime used vehicle loans and to 8.88% from 8.81% for subprime new vehicle loans. APRs had previously been falling even though credit was getting weaker, suggesting that competition for borrowers was strong enough for lenders to leave themselves uncompensated for rising risk levels.

The progressively weakening performance of recent subprime auto originations might be encouraging some lenders to pull back on lending to riskier borrowers. Delinquency rates among recent originations by finance companies, which make a high proportion of their loans to less-than-prime borrowers, are increasing. Exhibit 1 shows that delinquency rates of first-quarter originations have increased with each successive year since 2010, with 2013 loans incurring the highest delinquencies since those from 2008. That deterioration is not uniform, though; delinquencies of subprime loans from banks, which rely less heavily on subprime loan originations, have not risen as much.

1 See State of the Automotive Finance Market Fourth Quarter 2013, Experian Automotive. 2 Ibid. (based on VantageScore). 3 Ibid.

Peter McNally Vice President - Analyst Moody’s Investors Service +1.212.553.3610 peter.mcnally@moodys.com

AUTOS

3 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 1

Independent Finance Companies Subprime Delinquencies are Increasing Delinquency rate, FICO <620, finance companies, by vintage %

Source: Moody’s Analytics, data from Equifax

Competition will continue so long as the lending market remains robust Even though some credit metrics suggest that lenders are becoming more cautious, competition will continue to pressure the credit quality of new originations as lenders fight for business. New loan volumes are likely to remain high at least through 2015 because market conditions remain conducive to increased lending. The improving labor market, along with pent-up auto demand, will help produce a fresh supply of customers, while persistently low interest rates that keep lenders’ cost of funds down, especially relative to the high yields they can get from subprime borrowers, will entice lenders to keep making loans. Exhibit 2 shows that fourth-quarter 2013 subprime auto loan originations roughly matched their 2007 apex, and Moody’s Analytics expects total auto loan originations to increase slightly in 2014 and again in 2015.

EXHIBIT 2

Prime and Subprime Loan Volumes Will Remain High Auto loan originations by year, total auto credit, $ billions

Fourth-quarter 2013 estimates are based on partial data

Source: Moody’s Analytics, data from Equifax

AUTOS

4 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Despite the improvement in some loan metrics, lenders are still adding risk by catering to cash-strapped customers through extended loan terms that reduce monthly payments and more liberal down payment requirements. Lenders continue to offer higher loan-to-values (LTVs), which mean that borrowers are making smaller down payments and in many cases are taking out loans for more money than the vehicle is worth. Average LTVs for subprime loans for used vehicles increased to 142.3% from 140.7% between the fourth quarters of 2013 and 2012, while LTVs for new vehicle loans rose to 125.5% from 123.2% over the same period.4 Besides generally indicating weaker credit, higher LTVs also mean higher losses on repossessed vehicles because the liquidation proceeds will cover a smaller proportion of the remaining loan balance. Loans often have high LTVs because lenders roll negative equity from previous loans into new loans.

Another way in which lenders are still adding risk is through longer average loan terms. Average subprime loan terms for used vehicles increased to 60.5 from 59.3 months between the fourth quarters of 2013 and 2012, while terms for new vehicle loans rose to 70.6 from 69.9 months.5 Longer loan terms generally mean weaker credit because they extend the period over which a borrower could potentially default. They can also lead to higher losses on liquidated vehicles because smaller monthly payments mean that a borrower will have paid less principal back prior to default.

4 See State of the Automotive Finance Market Fourth Quarter 2013, Experian Automotive. 5 Ibid.

AUTOS

5 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Probe of General Motors Recall Is Credit Negative Originally published 17 March 2014.

On Monday, 10 March, US House of Representatives Energy and Commerce Committee Chairman Fred Upton announced that the committee was investigating the responses of General Motors Company (Baa2 stable senior secured, Ba1 stable senior unsecured) and the National Highway Traffic Safety Administration (NHTSA) to customer complaints about faulty ignition switches in certain GM vehicles. The planned House probe, part of what is likely to be a growing number of investigations into the automaker’s recall of about 1.6 million vehicles, is credit negative because it has the potential to damage GM’s reputation and erode its US sales.

The recalls, announced in February, pose several risks to the company, including the cost of repairing the affected vehicles; fines and penalties that may result from various investigations; judgments resulting from civil litigation and erosion in US sales and pricing because of reputational damage.

The timeframe for resolving these issues could be protracted and their potential financial effect remains highly uncertain. However, we believe that the ultimate outcome is unlikely to affect the company’s credit enough to result in a downgrade of GM's ratings because of the company's improving balance sheet, its sound liquidity, and its healthy competitive positions in North America and China. Rather, a stress-case scenario resulting from the recall and related events is more likely to prolong the time period before we consider the company for further upgrade.

GM's total debt as adjusted by us was approximately $30.1 billion at the end of 2013, down from $35.9 billion a year earlier. The decline was driven largely by a $7.8 billion decline in the company's underfunded pension liability to $20 billion. With adjusted EBITDA of $12 billion at the end of 2013, debt/EBITDA stood at about 2.5x and provides ample support for the current rating.

The company's year-end gross liquidity was approximately $34.9 billion, consisting of $27.9 billion in cash and access to $7 billion in committed credit facilities -- that is, $11 billion in total facilities less $4 billion allocated to General Motors Financial Company (Ba2 stable). We estimate GM's principal liquidity requirements during the next 12 months at approximately $7 billion needed for intra-period working capital requirements and $300 million for maturing debt. This liquidity profile provides GM with considerable capacity to contend with stress, including the possible costs associated with the recall.

GM's North America breakeven position, product portfolio and profitability remain highly competitive. In addition, we expect the company to maintain its position as one of the leading auto producers in the Chinese auto market, which we anticipate will grow 8% in 2014.

Bruce Clark Senior Vice President Moody’s Investors Service +1.212.553.4814 bruce.clark@moodys.com

AUTOS

6 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

GM: Credit Opinion Excerpt; originally published on 31 March 2014.

Our Baa2 rating on GM's secured credit facility and Ba1 rating on its senior unsecured notes reflects our expectation that the company's competitive position and credit metrics will be supported by the strength of its new product introductions in a healthy US market, its solid position in the increasingly important Chinese auto market, and its focus on maintaining a robust liquidity profile. GM has been on a steadily improving operational and financial trajectory since it emerged from bankruptcy. The disciplines the company has embraced, combined with the strength of its US product portfolio and a healthy domestic market, will enable it to stay on that path.

The major risks for GM include (1) the need to contain the financial and reputational fall-out that could result from the US ignition-related recall; (2) the challenge of restoring profitability in the European market; (3) the significant cost advantage accruing to Japanese manufacturers as a result of the significant depreciation of the yen relative to the dollar; and (4) the ongoing cyclicality inherent in the automotive sector. This cyclicality is clearly evidenced by the weakened performance in GM's South American and Asian markets (excluding China), and by the prolonged downturn in Europe.

Notwithstanding these risks, we believe that GM's competitive positions in North America and China, combined with its strong liquidity position, provide it with adequate operating and financial flexibility to support its ratings.

Bruce Clark Senior Vice President Moody’s Investors Service +1.212.553.4814 bruce.clark@moodys.com

AUTOS

7 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Toyota's Payment of US$1.2 Billion in Agreement with US Attorney's Office Is Credit Negative Update to press release originally published on 25 March 2014.

The announcement by Toyota Motor Corporation (Aa3 stable) that it had reached an agreement with the US Attorney's Office for the Southern District of New York to resolve its investigation on the company's 2009-10 recalls to address potential sticking accelerator pedals and floor mat entrapment is a negative credit development. As part of the agreement, Toyota will make a payment totaling USD1.2 billion (about JPY120 billion). The USD1.2 billion represents the largest amount imposed on a car company in US history, according to the public statement released by the Department of Justice on 19 March.

However, despite the large amount, we do not expect it will have a material impact on Toyota's financial soundness and consequently its current credit rating (Aa3 stable) because it will represent only about 5% of the company's projected full year consolidated operating profit of JPY2.4 trillion and still only 6% of the company's nine-months consolidated operating profit of JPY1.86 trillion (USD18.6 billion).

In the first nine months of fiscal 2012,6 Toyota's consolidated revenue rose 17.8% to JPY19.12 trillion and operating profit rose 126.8% to JPY1.86 trillion. Its consolidated operating profit growth outperformed that of its domestic rivals Honda Motor Co., Ltd. (A1 stable) and Nissan Motor Co., Ltd. (A3 stable). Consolidated operating profit margin rose 4.7 percentage points to 9.7%. The auto segment's operating profit margin increased to 9.2% from 3.6% last year, outperforming that of domestic rival Honda, whose auto segment’s operating margin was 4.9%. The weakening of the yen was a key reason for the result, and accounted for 77% of the rise in operating profit. Toyota is the biggest beneficiary of the weak yen compared with Nissan and Honda, because it is the most export-reliant of the Japanese auto companies. Cost reductions and marketing efforts also contributed to the higher operating profit earned in the first nine months of fiscal 2013.7

Additionally, we consider it constructive that Toyota has reached an agreement related to the 2009-10 recall with its vehicles because it removes uncertainty pertaining to the negative financial impact of pending litigation. With respect to the class action lawsuit related to the 2009 recall, Toyota reached an agreement with Toyota car owners to pay approximately USD1.1 billion in December 2012, which its fiscal 2012 results reflect.

Toyota continues to focus on improving its product quality, as evidenced in the improved score of initial quality in JD Power studies and a rebound in its market share in the US. The Initial Quality Study by JD Power showed Toyota brand ranked at #7 in 2013 compared with #21 in 2010. The Lexus brand has been more stable sustaining at #4 in 2010 and up a notch to #3 in 2013. In conjunction with the improved product quality, the "Toyota" brand market share in the US also rebounded to 12.6% in 2013 from a low of 11.3% in 2011.

Toyota seems to be announcing more recalls since 2009, but we believe these are actually the result of Toyota's becoming better at taking action more quickly in response to consumer concerns, to avoid investigations similar to the one following the 2009 recalls. The two latest recalls were in February and April 2014. The February recall was for hybrid Prius cars, around 990,000 in Japan and 1.9 million globally, following the discovery of faulty software in the hybrid-control system for cars made between March 2009 and February 2014. The April 2014 recall was for around 6.39 million cars because of problems over electrical connections attached to the steering and springs that lock the seat.

6 Toyota’s fiscal 2012 ends 31 March 2013. 7 Fiscal 2013 will end 31 March 2014.

Peggy Furusaka Vice President - Senior Credit Officer Moody’s Investors Service +813.5408,4110 peggy.furusaka@moodys.com

Michael J. Mulvaney Managing Director - Corporate Finance Moody’s Investors Service +1.212.553.0376 michael.mulvaney@moodys.com

AUTOS

8 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

US Prime Auto Loan ABS Credit Indices: February 2014 Originally published on 7 February 2014.

Prime auto loan performance improved in February 2014. Moody’s Prime Auto Loan Net Loss Rate Index for securitized prime auto loans was 0.38% in February, down from 0.61% in January 2014 and down from 0.43% in February 2013. The delinquency rate index also decreased, to 0.38% in February, ten basis points lower than its month-prior level of 0.48% and one basis point lower than its year-prior level of 0.39%.

Used vehicle prices, which affect recoveries on repossessed vehicles sold at auction, rose in February. The Manheim Used Vehicle Value Index1 increased to 123.3 from 122.3 in January.

Our stable outlook for the US auto asset-backed securities sector in 2014, unchanged from 2013, rests on our expectation that the credit quality of auto ABS collateral pools will continue to decline modestly. Less cautious underwriting will manifest in marginal deterioration in the credit profile of underlying borrowers, slightly longer loan terms, and higher loan-to-value ratios. However, rational lending, healthy used car prices and robust 2014 new vehicle sales will support the steady performance of the collateral backing auto loan, lease, and floorplan ABS in 2014.

EXHIBIT 1

Aggregate Prime Auto Loan Indices –December 2013

Prime Auto Loan Indices Feb 14 Feb 13 % Change Jan 14 % Change Dec 13 to

Feb 14 Dec 12 to

Feb 13 % Change

Net Loss/Avg. Receivables (%) 0.38 0.43 -11% 0.61 -37% 0.52 0.48 9%

60+ Delinquency Rate (%) 0.38 0.39 -3% 0.48 -22% 0.44 0.43 2%

Cum. Loss/ Original Amt (%) 0.32 0.36 -11% 0.38 -14% 0.35 0.35 -1%

Cum. Loss/ Liquidations (%) 0.74 0.76 -2% 0.76 -3% 0.74 0.74 0%

Avg. Seasoning (months) 23.2 25.1 -8% 26.4 -12% 25.9 24.8 1%

Monthly historical data from inception to date are available in Excel format on here.

Sources: Moody’s Analytics, Moody’s Investors Service

February 2014 net loss rate decreased to 0.38% The annualized net loss rate index decreased to 0.38% during February from its year-prior level of 0.43%. The net loss rate also decreased, and sharply, from its January 2014 level of 0.61%. Although borrower credit quality is weakening and losses in ABS collateral pools are likely to rise, the deterioration in 2014 will be modest, offset by stable-to-improving economic fundamentals.

Peter McNally Vice President - Analyst Moody’s Investors Service +1.212.553.3610 peter.mcnally@moodys.com

McGinnis Caldwell Senior Vice President Moody’s Investors Service +1.212.553.4106 mcginnis.caldwell@moodys.com

AUTOS

9 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 2

US Prime Auto Loan Index Annualized Net Losses (3-Mo Avg)

Sources: Moody's Investors Service, Moody's Analytics

February 2014 60-plus delinquency rate decreased to 0.38% The proportion of account balances for which a monthly payment is more than 60 days late was 0.38% in February, down one basis point from its year-prior level of 0.39%. The delinquency rate decreased by ten basis points, from 0.48% in January 2014.

EXHIBIT 3

US Prime Auto Loan Index 60-Plus Delinquencies (3-Mo Avg)

Sources: Moody's Investors Service, Moody's Analytics

0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

2.20

-80%

-60%

-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Jan-

00

Jul-0

0

Jan-

01

Jul-0

1

Jan-

02

Jul-0

2

Jan-

03

Jul-0

3

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8

Jan-

09

Jul-0

9

Jan -

10

Jul-1

0

Jan-

11

Jul-1

1

Jan-

12

Jul-1

2

Jan-

13

Jul-1

3

Jan-

14

Perc

enta

ge (%

)

YOY

Chan

ge (%

)

YOY Change Annualized Net Loss Rate

0.30

0.40

0.50

0.60

0.70

0.80

0.90

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

Jan-

00

Jul-0

0

Jan-

01

Jul-0

1

Jan-

02

Jul-0

2

Jan-

03

Jul-0

3

Jan-

04

Jul-0

4

Jan-

05

Jul-0

5

Jan-

06

Jul-0

6

Jan-

07

Jul-0

7

Jan-

08

Jul-0

8

Jan-

09

Jul-0

9

Jan-

10

Jul-1

0

Jan-

11

Jul-1

1

Jan-

12

Jul-1

2

Jan-

13

Jul-1

3

Jan-

14

Perc

enta

ge (%

)

YOY

Chan

ge (%

)

YOY Change 60+ Delinquency Rate

CREDIT CARDS

10 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Cash-Trapping Triggers in Credit Card ABS Provide Little Value to Investors Triggers to trap excess spread in credit card ABS provide little value to investors because the triggers will capture only a small amount of excess spread when portfolio performance deteriorates rapidly. The effectiveness of these triggers is very sensitive to the pace of portfolio deterioration: the faster the deterioration, the less excess spread (i.e., cash) is trapped for the benefit of investors. In fact, in the few instances that credit card ABS investors have taken losses in the past, excess spread triggers proved to be particularly ineffective because the rapid deterioration in collateral performance resulted in very low levels of cash available for capture.8 In this article, we analyze the relative effectiveness of cash-trapping triggers across the US credit card trusts we currently rate,9 assuming the rapid deterioration of performance that has occurred in real-world loss events. The bottom line is that current triggers are not very effective and we therefore typically ascribe little value to them.

Credit card trusts will capture little excess spread before early amortization begins In the case of an early amortization event, all of the US credit card trusts we currently rate will capture minimal amounts of cash as a result of their excess spread-trapping triggers, if their performance deteriorates at the same pace as in any of the four cases of early amortization under consideration in this article. Exhibit 1 shows that the excess spread in the Advanta, First Consumers, NextCard and Spiegel credit card trusts10 fell rapidly in its path toward early amortization, leaving little cash available for capture.

EXHIBIT 1

Excess Spread Fell Very Quickly As Trusts Neared Early Amortization

Source: Moody’s Investors Service

8 The one exception was the First Consumers trust, in which the delinquency level and payment rate, in addition to the level of the

three-month average excess spread, activated the trapping triggers. 9 These trusts are American Express AECAMT, Bank of America BACCT, Citigroup CCCIT, Chase CHAIT, Capital One

COMET, Discover DCENT and GECC GECCMNT. 10 Advanta went into early amortization in 2009, following First Consumers, NextCard and Spiegel, which went into early

amortization in 2002 and 2003.

(20)

(16)

(12)

(8)

(4)

0

4

8

12

-20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0

1-m

onth

s ex

cess

spr

ead

%

Months prior to early amortization

Advanta Business Card Master Trust First Consumers Credit Card Master Note TrustNextCard Credit Card Master Note Trust Spiegel Credit Card Master Note Trust, Series 2001-A

Beginning of Early Amortization

Matias Langer Vice President - Senior Analyst Moody’s Investors Service +1.212.553.7296 matias.langer@moodys.com

Imran Ansari Associate Analyst Moody’s Investors Service +1.212.553.3680 imran.ansari@moodys.com

CREDIT CARDS

11 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Although no two of the credit card ABS trusts we currently rate have precisely the same trapping triggers, they are all quite similar11 and will capture the same amount of cash: between 22 and 46 basis points (bps) of excess spread, depending on which of the four deterioration paths towards early amortization they follow. The amount of captured cash in these transactions will be very low because the trapping triggers typically benefit the deeply subordinated tranches, which are those that are most exposed to losses following an early amortization.

As the simplified example in Exhibit 2 shows, the amount of excess spread targeted in current trapping triggers increases as the amount of available excess spread falls. This dynamic would seem to make initial sense, because as performance deteriorates, the urgency to trap the excess spread rises. However, rapid performance deterioration in actual loss events has shown that if excess spread falls rapidly, too little cash is available for the trapping triggers to be effective.

EXHIBIT 2

Simplified Example of Current Excess Spread-Based Cash Trapping Mechanism

3-month average excess spread Excess spread targeted* Monthly average excess spread available*

Above 5.0% 0.0% 0.42%

Between 5.0% and 4.0% 1.0% 0.38%

Between 4.0% and 3.0% 2.0% 0.29%

Between 3.0% and 2.0% 3.0% 0.21%

Below 2.0% 4.0% 0.08%

*At closing.

Source: Moody’s Investors Service

The trusts’ ability to release the trapped cash immediately after an improvement in performance also limits the effectiveness of cash-trapping triggers, even if the improvement in performance is only temporary. For instance, seasonal increases in yield or a sponsor-related action like discounting can boost excess spread for a short period of time, releasing the excess spread trapped previously and thereby reducing the amount of cash available to a transaction if it goes into early amortization.

Success of excess spread-trapping mechanisms in early amortizations has varied The success of the spread-trapping triggers has been uneven in transactions that have gone into early amortization, with the cash trapped ranging from a very small amount in the case of NextCard and Advanta, to the full amount targeted in First Consumers’ documents.12 Exhibit 3 shows that First Consumer’s spread-trapping triggers were more successful than Advanta’s.

EXHIBIT 3

First Consumers’ Excess Spread Triggers Were More Successful Than Advanta’s

First Consumers Credit Card

Master Note Trust Advanta Business Card

Master Trust

Performance metric used to calculate the target excess spread to be trapped

Delinquency levels and payment rates

3-month average excess spread

Amount trapped (as a % of invested amount)* 6 0.2

Amount trapped (as a % of target capture)* 100 ~1

*At closing.

Source: Moody’s Investors Service

11 All of the programs use three-month average excess spread levels to determine when and how much cash to trap. 12 The Spiegel transaction was structured without the benefit of excess spread-trapping triggers.

CREDIT CARDS

12 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Although First Consumers and Advanta’s performance deteriorated at a similar pace, First Consumer was able to capture more cash. The reason for this success was First Consumer’s unique cash-trapping triggers, which were based not only on the level of the deal’s three-month average excess spread but also on the level of delinquencies,13 which typically precede a deterioration in charge-offs and, by extension, in excess spread. This spread-trapping mechanism gave First Consumer far more time to trap the targeted amounts than would have been the case if its triggers were based solely on excess spread. In contrast, by the time Advanta started trapping cash, its excess spread was too low and was falling too quickly to be meaningful. It’s worth repeating that all US credit card ABS trusts we currently rate employ triggers that are very similar to Advanta’s, that is, based exclusively on excess spread levels.

13 The First Consumer’s deal also determined its excess spread trapping based on the principal payment rate.

CREDIT CARDS

13 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

US Consumer Outlook: Credit Card Usage Will Grow During the financial crisis, credit card balances plunged as consumers cut back on spending and borrowing, credit became less available, and balances were charged off in large quantities. Revolving credit balances, nearly entirely credit card balances, fell 18% from mid-2008 to early 2011. Although consumer spending is growing, consumer credit behavior remains different from prerecession times. Balances have risen less than 3% from their 2011 low and dipped again in February as weather took a bite out of spending. Balances have continued to fall as a share of non-auto spending, and they have drifted lower even as a share of disposable income. The weakness in credit card balance growth has helped keep payments on nonmortgage consumer debt from rising materially from their trough despite growth in auto and student loan balances.

EXHIBIT 1

Revolving Credit Barely Growing Revolving credit

Source: Moody’s Analytics, Federal Reserve

The current level of borrowing, and in particular revolving credit usage relative to income or spending, is lower than what will occur when economic and credit market conditions fully normalize. However, credit usage will not return to the heady levels seen in the decade prior to the Great Recession.

Borrowing will increase This level of credit card usage is unsustainably low for a number of reasons. The first is that it is at odds with nearly 15 years of history. From the mid-1990s until the recent financial crisis, consumers maintained a fairly steady ratio of revolving credit balances to spending or income. The current level is much lower. It is down to the level in the early 1990s, when credit cards were much less widely available.

-10

-8

-6

-4

-2

0

2

4

6

8

10

750

800

850

900

950

1,000

1,050

07 08 09 10 11 12 13 14

$ bil (L) % change yr ago (R)

Scott Hoyt Senior Director - Economic Research Moody’s Analytics +1.610.235.5128 scott.hoyt@moodys.com

CREDIT CARDS

14 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 2

Credit Usage Still Falling Relative to Spending Revolving credit relative to income and spending, 3-mo MA cents

Source: Moody’s Analytics, Federal Reserve

A second reason to expect credit card usage to increase is pent-up demand. The stock of many goods is aging. Vehicles, appliances and electronics are getting older. Even wardrobes are in need of refreshing, especially for folks who find jobs after a stretch of unemployment. Vacations and other service expenses have been postponed to an extent without recent precedent. This means that when the economy gathers momentum, consumers will have a strong desire to increase spending quickly. Much of the acceleration will be for big-ticket goods and services that are more likely to be purchased on credit.

Third, the availability of credit cards is likely to increase. Clearly, standards neither will nor should become as easy as they were in the period leading up to the financial crisis. However, despite a steady, if gradual, easing of standards since 2010, it remains difficult for all but the highest-quality borrowers to obtain new cards. Yet payment behavior is returning to old norms and as the economy gathers momentum, the risk of charge-off will fall further. This suggests profitable lending opportunities are available.

EXHIBIT 3

Lenders Gradually Loosen Standards Net % of banks tightening standards for credit card loans

Source: Moody’s Analytics, Federal Reserve

Clearly, it is not easy for lenders to aggressively ease their standards in the current regulatory environment. The Credit Card Accountability, Responsibility, and Disclosure Act, combined with dramatically increased scrutiny from regulators, will limit credit expansion. However, both accounts and credit limits are growing more quickly than credit card balances, suggesting that lenders are working to increase availability and that some of the weakness does come from a lack of demand, which is not likely to persist to its current extent.

5

6

7

8

9

10

6.5

7.5

8.5

9.5

10.5

11.5

90 92 94 96 98 00 02 04 06 08 10 12 14

Non-auto spending (L) Disposable Income (R)

-25

0

25

50

75

96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14

CREDIT CARDS

15 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 4

Balance Growth Lags as Availability Improves Bankcard balances and accounts, 3-mo MA, % change year ago

Source: Moody’s Analytics, Bureau of Economic Analysis

Finally, credit card borrowing is likely to be supported by a lack of alternatives, especially compared with the period leading up to the financial crisis. At that time, most homeowners had ready access to lower-cost home equity loans and lines of credit. Today, even with the recent increases in house prices, home equity is scarce and difficult to access. Consumers wanting to borrow to take advantage of growing wealth or simply meet pent-up demand in anticipation of better days ahead have fewer alternatives and are more likely to use credit cards than they were a decade ago.

Usage will not recover fully While there are good reasons to expect an increase in credit use, there are also reasons to expect usage to remain below pre-crisis levels. Neither supply nor demand for that level of credit usage should return. On the demand side, consumers have probably learned to put less faith in their assets and, painfully, the consequences of overleveraging themselves. Currently, despite weak income growth and large amounts of pent-up demand, saving remains comfortably above pre-crisis lows.

EXHIBIT 5

Saving Not as Low as It Was Before Personal savings, % of disposable income, 3-moMA

Source: Moody’s Analytics, Bureau of Economic Analysis

Further, as noted, both the number of active credit card accounts and their credit limits are growing faster than balances. While some of the relative weakness in balance growth may be due to accounts and credit

-21

-18

-15

-12

-9

-6

-3

0

3

6

9

07 08 09 10 11 12 13 14

Balance Accounts High credit

2

3

4

5

6

7

8

9

01 02 03 04 05 06 07 08 09 10 11 12 13 14

Savings rate 3-mo MA

CREDIT CARDS

16 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

limits being provided mostly to very creditworthy households with less need to borrow, it still indicates a reduction in demand.

The reduction in supply may be even more obvious. Even if lenders did not get the message from their losses during the recession, regulators are watching their actions closely and the CARD Act has changed the legal environment. This impact may be overstated, however. Losses are so low, and likely to stay low with the improving economic environment, that opportunities to make profits are large enough to encourage lenders to expand credit as much as they can. Credit card lenders will want to originate as much of the new lending as possible. However, they may not get it all. Anecdotal evidence already suggests increased lending by finance companies to good quality subprime borrowers. Some of the lending is in the form of personal loans rather than credit cards. This creates a risk to the outlook.

Timing remains uncertain Given these drivers, a period of rapid growth in credit card balances is coming. The most difficult question is when it will occur. The forecast calls for this to begin later this year. It will be kicked off by an improvement in economic expansion that comes from the waning impact of federal fiscal restraint. Accelerating job and income growth will put consumers more in the mood to spend and to borrow to facilitate that spending. Lenders will see opportunities for profit as charge-offs remain unusually low and the strengthening economy reduces prospects for delinquency and loss.

When it comes, the recovery is likely to be strong. Credit card balances are still more than 15% below their 2008 peak – not even accounting for inflation or spending growth. Balances per dollar of non-auto spending are down nearly 30% from their peak.

EXHIBIT 6

Even Rapid Growth Leaves Usage Low

Source: Moody’s Analytics, Federal Reserve

The magnitude of the recovery is uncertain as well. It is hard to anticipate how much of the change in behavior by lenders and consumers will be permanent and how much is transitory. Also, because of the current regulatory environment, some borrowing that would have been done on credit cards in the past may be shifted to other forms of lending, particularly personal loans. However, the converse is happening as well. Prior to the recession, home equity lending siphoned money away from credit card balances. The lack of this alternative could lift borrowing more than anticipated. Finally, as we have learned throughout this recovery, another unexpected negative shock to the economy could undermine confidence and alter the outlook.

The growth, when it occurs, will help accelerate spending. It will facilitate the release of pent-up demand and help spending lift the economy, generating jobs and income.

-20

-15

-10

-5

0

5

10

15

20

25

5

6

7

8

9

10

11

12

80 82 84 86 88 90 92 94 96 98 00 02 04 06 08 10 12 14 16 18 20 22

Ratio of credit to non-auto spending, cents (L) Revolving credit, % change yr ago (R)

CREDIT CARDS

17 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

US Credit Card Industry: Strong Profit Dynamics Continue for Card Issuers in 2014 Excerpted from our Industry Outlook, published 15 April 2014.

Our outlook for fundamental credit conditions in the US credit card industry remains stable,14 and primarily reflects card issuers’ persistently strong asset quality and profitability in an improving macroeconomic environment.

We expect the improvement in industry asset quality to carry on in 2014, but at a decelerating rate. We estimate that the net charge-off (NCO) rate for the Big 6 issuers (AXP, COF, JPM, C, DFS, BAC15) will decline about 10% versus the roughly 16% drop in 2013.

Although the Big 6 issuers’ asset quality has improved, there are considerable variations. We expect COF to be the worst performer in 2014, with an NCO rate averaging around 4.0%, reflecting mainly the 2012 acquisition of HSBC’s US credit card operations, which are concentrated in relatively high-charge-off subprime and retail store card portfolios. AXP’s continued emphasis on premium-quality lending customers and charge cards will help it be the best performer, with an average NCO rate of about 1.6%.

Continued favorable funding costs, increased purchase volume, and an ongoing decline in credit costs will boost the core profitability of the Big 6 (pre-tax pre-provision income minus NCOs) in 2014.

Despite these positive elements, the industry is still being challenged by persistent low to nil growth in balances as consumers continue to shy away from incurring credit card debt, and ongoing legal and regulatory challenges likely to persist for the indefinite future.

However, the overall improvement in fundamental credit card industry trends underpins our stable outlook for the Big 6 card issuers’ standalone bank financial strength ratings (BFSRs),16 which range from C+ to D+, as Exhibit 1 shows.

14 Our outlook for the US banking sector as a whole is also stable. 15 AXP = American Express Company; COF = Capital One Bank (USA), N.A.; JPM = Chase Bank USA, National Association;

C = Citibank, N.A.; DFS = Discover Financial Services; BAC = FIA Card Services, National Association. 16 We did not include Citigroup’s former credit card subsidiary, Citibank (South Dakota), N.A. (CSD), because it was merged into

Citibank, N.A. in July 2011.

Warren Richard Kornfeld Senior Vice President, Financial Institutions Group Moody’s Investors Service +1.212.553.1932 warren.kornfeld@moodys.com

Joseph Pucella Vice President - Senior Credit Officer, Financial Institutions Group Moody’s Investors Service +1.212.553.7455 joe.pucella@moodys.com

Robert Young Managing Director, Financial Institutions Group Moody’s Investors Service +1.212.553.4122 robert.young@moodys.com

CREDIT CARDS

18 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 1

Big 6 US Card Issuers Current Ratings - Bank Level1

BFSR / BCA2 Outlook Debt /

Deposit Outlook Latest Ratings Action:

AXP C+ / a2 Stable A2 / P-1 Stable 8/12/2013: All ratings affirmed, outlook maintained at stable

COF C / a3 Stable A3 / P-2 Stable 2/17/2012: LT ratings confirmed (ST rating was not on review)

JPM C -/ baa1 Stable Aa3 / P-1 Stable 11/14/2013: Long-term deposit rating affirmed at Aa3, subordinated debt downgraded to A2 from A1; outlook stable; Short-term Prime-1 affirmed2

C C- / baa2 Stable A2 / P-1 Stable 11/14/2013: Long-term deposit rating upgraded to A2 from A3, outlook stable; Short-term to Prime-1 from Prime-22

DFS D+ / baa3 Stable Baa3 / P-3 Stable 2/13/2013: Assigned Baa3 rating to Bank's Senior Unsecured, All ratings affirmed, outlook maintained at stable

BAC D+ / ba1 Stable A2 / P-1 Stable 11/14/2013: Long-term deposit rating upgraded to A2 from A3, subordinated debt confirmed at Baa1, outlook stable; Short-term to Prime-1 from Prime-23

1 Note: AXP = American Express Company; COF = Capital One Bank (USA), N.A.; JPM = Chase Bank USA, N.A.; C = Citibank, N.A.; DFS = Discover Financial Services; BAC = FIA Card Services, National Association

2 BSFR/BCA = Bank financial strength rating/baseline credit assessment.

3 See "Moody's concludes review of eight large US banks," 14 November 2013.

Source: Moody's Investors Service

CREDIT CARDS

19 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Card Delinquencies Hit Record Low in March

Monthly Index Credit Indices (in %) Mar-14 Feb-14 % Change Mar-13 % Change

Charge-off Rate* 3.00 2.80 7.21 3.96 (24.21)

Delinquency Rate 1.65 1.70 (3.19) 2.19 (24.67)

Early-Stage Delinquency 0.48 0.48 (0.08) 0.60 (19.33)

Mid-Stage Delinquency 0.34 0.36 (5.51) 0.45 (23.67)

Late-Stage Delinquency 0.82 0.86 (3.97) 1.14 (27.87)

Principal Payment Rate 25.36 23.26 9.02 23.21 9.27

Aggregate Yield* 19.36 18.28 5.88 19.16 1.01

One-Month Excess Spread* 13.90 12.94 7.37 12.37 12.34

* Annualized percentage rate.

Source: Moody’s Investors Service

Moody’s Credit Card Index charge-off rate increased to 3.00% in March, up 20 basis points from the all-time low of 2.80% in February. Meanwhile, delinquencies hit yet another historic low, dropping to 1.65% in March. The persistently low charge-off and delinquency rates underscore the remarkable credit strength of securitized credit card pools today.

In keeping with typical seasonal patterns, tax refunds led to an increase in payment rates in March. In fact, payment rates increased substantially in all eight of the trusts composing the index, resulting in a rise in the payment rate component to 25.36%, up 2.10 percentage points from the seasonally depressed level of 23.26% in February. We expect payment rates will remain high relative to the 10-year average of about 19%.

Finally, also in keeping with typical seasonal patterns, tax refunds helped yields increase in March over February, with the six largest trusts comprising the index benefitting from increases. The yield component increased to 19.36% in March, up 1.08 percentage points from the February level of 18.28%. Yield has stabilized since early 2012 following a steady decline in 2010 and 2011. The increase in yield caused the excess spread component of the index to reach a new record high of 13.90% in March, up 96 basis points from the February level of 12.94%.

Greg Gemson Assistant Vice President - Analyst Moody’s Investors Service +1.212.553.2974 gregory.gemson@moodys.com

STUDENT LOANS

20 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

DOE’s Gainful Employment Rule Would Have Minimal Negative Impact on Student Loan ABS The Department of Education’s (DOE) gainful employment rule, if adopted in its current form, would be minimally credit negative for outstanding Federal Family Education Loan Program (FFELP) and private student loan securitizations. Under the rule, some for-profit schools would likely close as a result of losing access to federal funds, increasing the rate of student loan defaults by borrowers who cannot complete their schooling.

The overall impact on the securitizations would be minimal because they contain only a small concentration of loans to borrowers currently attending for-profit schools. The DOE’s proposed gainful employment rule would strip federal funding from both for-profit colleges and public and private non-profit institutions that offer certificate programs that do not adequately prepare students to get jobs and repay their student loan debts. If approved, the proposed rule would go into effect on 1 July 2015.

Although the rule would be credit negative, securitizations have little exposure to loans to borrowers currently attending for-profit schools Even though student loan defaults would rise if the proposed rule goes into effect, the impact on outstanding FFELP and private student loan securitizations would be minimal because of the small concentration of loans to borrowers who currently attend for-profit schools. Private loan securitizations that Sallie Mae Corp. (SLM) issued from 2010 to 2014 contained an average of 12.5% of loans to borrowers at for-profit schools at transaction closing.17 Within those securitizations, only 4.0% of the loans on average are to borrowers currently in school.18 Borrowers of private loans who attend a school that closes as a result of the new rule could sue the lender or school seeking loan forgiveness to avoid default. If borrowers are successful, the trust could lose rights to the loan with no possibility of future recoveries.

FFELP Stafford securitizations that SLM and Nelnet, Inc. issued from 2010 to 2014, contain an average of 5% of loans to borrowers at for-profit schools;19 within those securitizations, an average of 1.4% of loans are to borrowers still in school. The impact on FFELP securitizations would be further diminished because the DOE insures at least 97% of the principal and interest of defaulted FFELP loans. In addition, borrowers in some cases can have their FFELP loans discharged if their school closes.20 In these cases, the securitization trusts would be made whole.

Many for-profit schools would likely close if they were to lose federal funding as a result of the proposal, leaving borrowers with outstanding loan repayments yet no career certification. Such a scenario would exacerbate the already-high default rate of borrowers at for-profit schools. According to the DOE, roughly 20% of for-profit schools would fall short of the requirements and lose access to federal funds if the rule were implemented today.21 In fiscal year 2012, federal funding accounted for 70%-90% of the revenue of Apollo Education Group, Corinthian Colleges, Inc. and DeVry, Inc., according to the schools’ annual reports.22

17 The percentage of loans to borrowers at for-profit schools, according to data from SLM and Moody’s Investors Service. 18 The percentage of loans to borrowers in “in school” status as of 28 February 2014, according to SLM servicing reports. 19 The percentage of loans to borrowers at proprietary/vocational schools as of 28 February 2014, according to SLM and Nelnet

servicing reports and data from Moody’s Investors Service. 20 Certain conditions apply, for example, the student had to be enrolled within 90 days of the school closure and not have

transferred to another school. See “Forgiveness, Cancellation and Discharge of Loans” on the DOE’s Federal Student Aid website. 21 At a 14 March 2014 conference call with reporters, Secretary of Education Arne Duncan gave a one-year snapshot with very

rough numbers suggesting that 20% of for-profit programs would “fail” the rule and 10% would be in the warning zone. See “Gainful Employment's Partial Unveiling,” Inside Higher Ed, 14 March 2014.

22 For-profit schools are allowed to receive up to 90% of their revenues from federal funds.

Stephanie Fustar Assistant Vice President - Analyst Moody’s Investors Service +1.415.274.1741 stephanie.fustar@moodys.com

STUDENT LOANS

21 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Proposed rule would set stringent targets for schools The DOE announced the proposal on 14 March, launching a 60-day public comment period. The proposal would require for-profit institutions, as well as certain non-degree programs at public and private non-profit institutions, to meet standards to continue receiving federal grants and loans that the DOE awards to students and that are then disbursed to the schools.

Exhibit 1 shows the standards, which include debt-to-earnings measures that evaluate graduates’ student loan payments relative to their discretionary and annual income two to four years after completing their studies. The rule also would set cohort default rate measures to evaluate the share of students who defaulted on federal loans within two years of entering repayment.

EXHIBIT 1

DOE’s Proposed Gainful Employment Standards and Consequences

Warning Zone Failure Zone Consequences

Discretionary income

Annual loan payment / discretionary income >20% >30% Ineligible for three years if (1) in failure zone any two of three consecutive

years, or (2) in warning or failure zone four consecutive years

Annual income

Annual loan payment / annual earnings >8% >12%

Cohort default rate

Number of borrowers that default within 2 years of graduation

N/A =>30% Ineligible for three years if in failure zone for three consecutive years

Source: Gainful Employment; Proposed Rule; Federal Register, Volume 79, Number 57, 25 March 2014

For-profit schools are likely to contest the proposed rule, arguing that the DOE is holding them to a higher standard than public and private degree-granting institutions. In 2012, the US District Court for the District of Columbia struck down a previous version of the proposal, finding that one of the proposed measurement standards for loan repayment lacked a reasoned basis.

STUDENT LOANS

22 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Class C Notes in Some Sallie Mae Private Student Loan ABS Will Likely Pay Off Before the Senior Classes The recent rate of principal amortization of the Class C notes in six of 12 private student loan securitizations Sallie Mae (SLM) issued from 2002 to 2007 has exceeded that of the Class A and B notes, a pattern we expect will hold. As a result, the Class C notes will likely pay off before the more senior classes. This unusual pay-off priority reflects a structural feature of the transactions that diverts a disproportionately high allocation of cash collections from borrowers to pay down the Class C notes at a later point in the deals’ lives, provided that any cumulative net losses of the underlying student loan pools do not exceed specific thresholds. Although the other six transactions have the same structural feature, their Class C notes are unlikely to receive any principal payments until the more senior classes pay down in full, owing to weak securitization performance.

Class C Notes in Six Securitizations Will Likely Pay Off Before Senior Classes The Class C notes in the SLM 2002-A, 2004-A, 2004-B, 2005-A, 2005-B and 2006-A securitizations will likely amortize in full before the Class A and Class B notes.

The amortization rate of the Class C notes reflects transaction terms stipulating that, as the transactions season, payment priority be tied to required credit enhancement targets for all three classes. The 2002-07 transactions specify that the trustees allocate cash toward principal reduction of the classes sequentially in the first five years: first to Class A until it has paid down in full, then to Class B until it has paid down in full, and finally, to Class C. After the initial five years, the trustees will begin to allocate cash to all three classes to maintain their required credit enhancement targets for subordination and over-collateralization. However, if cumulative net losses of the underlying loan pools exceed specific thresholds, principal payments will revert to sequential priority. Exhibit 1 shows the required enhancement levels for each class of notes.

EXHIBIT 1

Required Credit Enhancement Levels of Each Class in the 2002-07 Transactions Class A The greater of (a) 15.0% of the current asset balance or (b) 2.0% of the initial asset balance

Class B The greater of (a) 10.1% of the current asset balance or (b) 2.0% of the initial asset balance

Class C The greater of (a) 3.0% of the current asset balance or (b) 2.0% of the initial asset balance

Note: The asset balance includes the student loan pool balance and the cash capitalization account, and excludes the reserve account.

Source: Transaction documents for the 2002-07 SLM private student loan deals

Assuming that cumulative net losses of the securitization pools remain below the specific thresholds, the allocation of cash must shift to the Class C notes to keep the more senior classes at their required credit enhancement targets. The enhancement target of the Class C notes at the beginning of each transaction equals 3% of the current asset balance. However, because the current asset balance declines over time while the initial asset balance remains constant, the enhancement target of the Class C notes shifts to 2% of the initial asset balance when the pools pay down to approximately 67% of the initial pool balance. As the loan pools pay down further, the Class C notes’ non-declining enhancement target provides a greater share of the Class B notes’ enhancement target of 10.1% of the current asset balance. Therefore, the Class C notes will receive a disproportionately high allocation of collections, which will prevent the Class B notes from exceeding their enhancement target, and the Class C notes will pay off first as a result (see the appendix).23 However, this pay-off pattern will only occur if the transactions perform well and the securitizations do not use the over-collateralization to cover losses.

23 Similarly, the Class B notes receive a higher allocation of collections than the Class A notes, to keep the Class A notes from

exceeding their target.

Jinwen Chen Associate Analyst Moody’s Investors Service +1.212.553.7242 jinwen.chen@moodys.com

Tracy Rice Vice President - Senior Analyst Moody’s Investors Service +1.212.553.4115 tracy.rice@moodys.com

STUDENT LOANS

23 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

As an example, Exhibit 2 shows the note amortization over time for the SLM 2002-A transaction, whose Class C notes began to amortize in September 2007. Based on our base case cash flow analysis, we project full repayment of the Class C notes in late 2015, well before the full repayment of the Class B notes in mid-2017 and the Class A notes in mid-2021.

EXHIBIT 2

Class C Notes in SLM Private Credit Student Loan Trust 2002-A Will Pay Off Before Senior Classes

Source: SLM servicing reports for historical performance information and Moody’s Investors Service for projected performance

Of the six transactions whose Class C notes will likely pay off before the senior notes, we do not expect the priority of principal payments among the classes to revert to a sequential pay structure, owing to our projections that cumulative net losses will remain lower than the thresholds as Exhibit 3 shows. Our projected cumulative net losses of the three 2003 deals also will not exceed the thresholds, although those transactions will continue to pay sequentially. Our loss projections, as well as cumulative losses to date for the 2002-A through 2005-A securitizations, are lower than those for the other transactions, because of loan insurance. HEMAR Insurance Company of America insured the principal and interest on the two transactions’ loans that defaulted before November 2008.

EXHIBIT 3

Cumulative Net Loss Projections for Nine Transactions Will Not Exceed Threshold

Sources: SLM servicing reports; Moody’s Investors Service

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

Nov

-02

Aug-

03

May

-04

Feb-

05

Nov

-05

Aug-

06

May

-07

Feb-

08

Nov

-08

Aug-

09

May

-10

Feb-

11

Nov

-11

Aug-

12

May

-13

Feb-

14

Nov

-14

Aug-

15

May

-16

Feb-

17

Nov

-17

Aug -

18

May

-19

Feb-

20

Nov

-20

Aug-

21

Curr

ent N

ote

Bala

nce

as %

of I

nitia

l Not

e Ba

lanc

e

Class A Actual Class B Actual Class C Actual

6%7% 9%

9% 10%11%

15%17% 18%

20%22% 21%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

2002-A 2003-A 2003-B 2003-C 2004-A 2004-B 2005-A 2005-B 2006-A 2006-B 2006-C 2007-A

Projected Cum. Net Losses % Original Balance Cum. Net Losses % Original Balance Threshold

STUDENT LOANS

24 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Class C notes in six other 2002-07 securitizations will likely paid down last Although SLM’s 2003 transactions and the 2006-B, 2006-C and 2007-A transactions also have the same structure, their Class C notes are unlikely to receive any principal payments until the classes senior to them have paid down in full, owing to weak securitization performance.

Our cumulative net loss projections for the loan pools underlying the 2006-B, 2006-C and 2007-A securitizations equal24 or exceed the specific thresholds, as Exhibit 3 shows. Therefore, the priority of payments in these transactions will likely revert to a sequential pay structure and the Class C notes will pay down last.

The Class C notes in the 2003-A, B and C securitizations will also likely receive payment last, because the transactions will not have enough credit enhancement to return the Class A and B notes to target. Credit enhancement is eroding in these deals owing to the high funding cost of the auction-rate securities currently in failed auction mode. Because we expect the Class C notes in these transactions will remain under-collateralized until their legal final maturities, these notes will likely incur a loss, which their Caa3 ratings reflect.25

SLM’s other outstanding private loan transactions, those issued in 2009-14, do not have this structural feature. They either have one class of notes or two classes of notes whose principal payments are all sequential.

Appendix: Class C Notes Pay Off First The table below is hypothetical example showing how the SLM transactions shift a disproportionately high allocation of collections to pay down the Class C notes to maintain the Class B notes’ enhancement target. As a result, the Class C notes pay off before the Class A and B notes.

At Inception At 50% Pool Factor* At 19.8% Pool Factor*

Asset Balance $100 $50 $20

Note Balance

Class A $85 $43 $17

Class B $5 $3 $1

Class C $8 $3 $0

Over-Collateralization $2 $2 $2

Credit Enhancement as % of Current Asset Balance

Class A 15% 15% 15%

Class B 10% 10% 10%

Class C 2% 4% N/A **

* The pool factor is equal to the current asset balance divided by the initial asset balance.

** Class C notes have paid down in full.

Source: Moody’s Investors Service

24 The 2006-B transaction’s projected cumulative net loss of 20% is equal to the threshold. 25 See “Moody's takes rating actions on SLM private credit student loan securitizations,” 25 February 2014.

COMMERCIAL & ESOTERIC

25 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Small Business ABS: Improving Real Estate Trends Point to a Turn in Performance The recent pick-up in the real estate market for commercial properties backing small business ABS represents a turning point for the sector, because faster property sales will help existing transactions significantly reduce their delinquency pipelines. Better property market conditions will also foster an environment more conducive to new issuance of small business ABS. Although the rate of recovery on liquidated properties remains relatively low, particularly for the 2005-08 small business vintages that came to market when property prices were near their peak, the recovery rate for the sector as a whole has been fairly steady. Other indicators of small business performance, such as loan delinquencies and business owner sentiment, are also improving.

Small business ABS are backed by mortgage loans to small business owners for the financing of small-balance commercial real estate (SBC). Loan amounts are typically up to $1.5 million. Performance of the sector depends heavily on the values of properties backing the mortgages, but the overall health of the small business sector also drives performance, particularly rates of loan default.

Improvement in small balance commercial real estate represents a turning point for sector We expect the improvement in the SBC market over the past few months, which marks a turning point for small business ABS, to continue. The SBC market has become more liquid owing to faster property sales, and recoveries are low but holding steady. These two trends suggest that quick property sales are not the result of reduced sales prices.

The average time that properties are in real estate owned26 (REO) status is dropping, reflecting a strong pick-up in the pace of sales in recent months. As Exhibit 1 shows, the average aging of REO loans had dropped to around 10 months as of January 2014, down from around 15 months a year earlier.

EXHIBIT 1

Aging of REO Inventory is Declining, Reflecting a Pick-Up in Property Sales

Source: Moody’s Investors Service, based on data from servicer reports for Bayview and Lehman small business ABS deals

26 Once the mortgage foreclosure is complete, the securitization trust directly owns the underlying properties, which it then classifies

as REO.

5

7

9

11

13

15

17

Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14

Amy Tobey Vice President - Senior Credit Officer Moody’s Investors Service +1.212.553.7922 amelia.tobey@moodys.com

Yalan Tao Associate Analyst Moody’s Investors Service +1.212.553.5158 yalan.tao@moodys.com

COMMERCIAL & ESOTERIC

26 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Recoveries are holding steady, an indication that speedier sales have not come at the expense of sales prices. As the time spent in REO continues to drop, recovery rates will climb modestly owing to lower expenses as a result of the shorter REO periods, although extended foreclosure timelines in judicial states27 will continue to hamper recoveries in those states. In addition, small loans, relative to foreclosure and REO expenses, will generally keep recoveries low.

Exhibit 2 illustrates that recovery rates have been fairly steady, hovering in the area of 15% to 20% since 2011, with a recent rise to nearly 25% in January 2014.

EXHIBIT 2

Recovery Rate for Liquidated Properties is Climbing Modestly

Source: Moody’s Investors Service, based on data from servicer reports for Bayview and Lehman small business ABS deals

Property values will remain stable or even improve further, another positive trend Stable property values will help support the improvement in performance of small business ABS. Commercial property values have appreciated steadily over the past couple of years, although they are still shy of their 2007 peaks, and property prices overall will remain stable for the next few years.

Exhibit 3 shows the recent improvement in the non-major market Moody’s/RCA Commercial Property Price Index (CPPI), which covers properties outside the major markets and which we use as a barometer for values of properties in small business ABS deals. Values for the index are currently at mid-2005 levels and 15.5% below their 2007 peaks. Owing to the gap, the value of properties backing these deals could rise even more.

27 Judicial states are those in which foreclosures must go through the courts.

0%

5%

10%

15%

20%

25%

30%

35%

Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14

COMMERCIAL & ESOTERIC

27 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 3

Growth in Moody’s/RCA Non-Major Markets Commercial Property Price Index Bodes Well for Small Business Loan Performance

Source: RCA and Moody’s Investors Service

Residential property values are also an important indicator of performance for small business ABS, because many of these deals are backed by small-balance multi-family properties. Moody’s Analytics expects that, over the next year, nationwide home prices will rise 5%, as they did last year.

Existing small business ABS will improve modestly, less so the 2005-08 vintage deals For existing sector deals, performance will stabilize, although the real estate market rebound will not be substantial enough for a large turnaround in recovery rates, especially for the 2005-08 vintages. Recovery rates on liquidated properties will remain low for the rest of 2014, although they will likely improve modestly.

The 2005-08 vintage transactions, which came to market when property prices were near their peaks, will benefit less from the improved recovery rate environment than other deals. According to Moody’s/RCA Non-Major Market CPPI, commercial property prices have recovered partially from the recession but are still at or below 2005-08 levels.

Improving small business trends also support transactions in the sector Other factors also point to improving business conditions for the sector, including a decline in the rate of new loan delinquencies and an increase in optimism among small business owners. New delinquencies will likely remain stable or decline slightly. Exhibit 4 shows the slight but steady decline in monthly new delinquency rates28 since January 2011.

28 Monthly new delinquency rate represents the percentage of loans that have never been modified and never been delinquent for

more than 59 days that become 60 days or more past due.

80

100

120

140

160

180

Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14

COMMERCIAL & ESOTERIC

28 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 4

New Loan Delinquencies are Declining Monthly rate of new delinquencies (% outstanding pristine loans)

Source: Moody’s Investors Service, based on data from servicer reports for Bayview and Lehman small business ABS deals

A key measure of small business sentiment, the Small Business Optimism Index,29 has crept up gradually since the height of recession. However, small business owners are still cautious, with lingering pessimism about the overall economic outlook, and complaints about taxes and governmental requirements dampening their optimism.

In another signal of future growth of the sector, small business owners are borrowing to expand their businesses because accessing credit has become easier since the recession. Thomson Reuters/PayNet Small Business Lending Index30 has risen 5% per year for the last two years and reaching its highest level since March 2007 in December 2013. The loan approval rate climbed to 19.1% in February 2014, from 15.9% in February 2013, according to Biz2Credit, an online lending platform.

Issuers are responding to new environment with plans for new loan production According to discussions we have held with servicers and issuers, purchase offers have risen over the past six months and sales are occurring faster, compared with the slow pace of REO liquidation following the financial crisis, which corroborates our statistical data showing an improvement in the pace of sales. Several issuers have lined up funding and have committed to a high volume of loan production for 2014.

29 The Small Business Optimism Index is compiled from a monthly survey of National Federation of Independent Business

members on their business environments. Categories include “Expect Real Sales Higher,” “Expect Economy to Improve” and “Expected Credit Conditions.”

30 The index measures the new origination of small business loans with balances lower than $1 million. Major lenders provide the data.

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14

COMMERCIAL & ESOTERIC

29 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

New Player Enters Equipment ABS Market Abstracted from pre-sale report published 14 April 2014.

Kubota Credit Corporation, U.S.A. (KCC) is about to issue its first asset-backed securities (ABS) transaction, which is backed by equipment loans and leases and is unique in its high concentration of loans to prime consumers. The securitization, Kubota Credit Equipment Trust 2014-1 (KCET 2014-1), is backed by agricultural, turf and construction equipment used predominately for consumer purposes. The Class A-1 notes, rated (P)P-1 (sf), and the Class A-2, A-3 and A-4 notes, rated (P)Aaa (sf), benefit from 4% hard credit enhancement plus excess spread. The 2014-1 transaction securitizes approximately $343 million of Kubota’s $3 billion portfolio.

Prime consumers support collateral quality of the loan pools The profile of the borrowers backing KCET 2014-1 is more diverse than that of typical agricultural and construction equipment transactions. Roughly 70% of the loans backing this transaction are to consumer borrowers as opposed to commercial enterprise borrowers. As such, the borrowers must make monthly payments, compared with the annual payments typical of commercial agricultural borrowers.

Furthermore, these borrowers are generally older, established homeowners who own large properties but do not farm for an income. Since they do not rely on farming for their main source of income, they are not subject to the economic uncertainty particular to the agricultural subsector of the economy. Furthermore, the pool is well diversified, with the top obligor accounting for just 0.08% of the pool.

The equipment backing KCET 2014-1 consists largely of compact tractors, mowers and smaller construction equipment as opposed to the larger ticket equipment found in other agriculture and construction equipment deals, where the obligors are entirely commercial enterprises.

Credit enhancement supports transaction performance The structure of the transaction complements the prime profile of the borrowers and mitigates concerns in the event of poor performance. The 2014-1 transaction has enough credit enhancement to provide more than 12 times coverage, relative to an expected loss of 0.50%, for the Class A notes. The high coverage should provide ample enhancement in the event the performance is worse than expectations. In addition, the transaction’s short weighted average life (expected to be about two years) is likely to mitigate much of the volatility. Enhancement for the notes will include over-collateralization of 3.50%, a reserve account of 0.50% and estimated annualized excess spread of 2.34% of the initial note value. The notes will pay down sequentially.

Strong servicing background a credit positive Although this is Kubota’s first ABS transaction, the company has serviced retail finance loans since 1982 for customers of Kubota Tractor Corporation. As of 31 December 2013, KCC serviced a portfolio of approximately 232,951 equipment receivables with an aggregate outstanding balance of approximately $2,955,475,655, of which approximately 75% consisted of consumer contracts and approximately 25%, commercial contracts.

Mike Labuskes Assistant Vice President - Analyst Moody’s Investors Service +33.1.5330.7411 michael.labuskes@moodys.com

ECON DASHBOARD & COMMENTARY

30 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

2012 2013 Most

Recent 2014F 2014F

Real GDP YoY 2.8 1.9 2.6 3.0 4.1

Unemployment rate Avg. % 8.1 7.3 6.7 6.5 6.1

Consumer Confidence Avg. (Index) 67.1 73.2 82.3 82.8 88.2

Moody's Analytics Survey of Business Confidence Avg. (Index) 20.5 28.2 33.5 NF NF

CPI-Core3 YoY 2.1 1.8 1.6 1.8 2.3

CPI-Top line YoY 2.1 1.5 1.5 1.8 2.0

Consumer non-revolving debt Avg. ($ bil) 1.9 2.1 2.2 2.3 2.4

1-Month LIBOR Avg. % 0.2 0.2 0.2 0.2 0.5

Consumer bankruptcy filings YE (000s) 1181.0 1038.7 1038.7 905.9 863.8

Business bankruptcy filings YE (000s) 40.1 33.2 33.2 30.9 29.7

Financial obligations ratio Avg. 15.5 15.4 15.4 15.5 15.7

Autos

Commercial bank lending rate, new cars Avg. % 3.8 3.9 4.7 4.0 4.0

Repo rate, direct loan Year-end (#/Month/1,000) 0.4 0.3 0.3 0.4 0.4

Repo rate, indirect loan Year-end (#/Month/1,000) 0.8 1.1 0.9 1.5 1.5

Vehicle Sales: Cars Avg. (mil) 7.2 7.6 7.5 7.6 7.7

Vehicle Sales: Light trucks Avg. (mil) 7.2 7.9 8.8 8.8 9.4

Manheim Used Vehicle Value Index Avg. (Jan. 1995 = 100) 123.6 121.3 124.4 118.7 117.5

Used vehicle sales by dealers Avg. (mil) 29.0 29.9 28.0 30.1 29.8

Gasoline price, retail Avg. (¢/gallon) 368.2 357.5 372.5 361.0 385.5

Total incentives $ 5108.7 5547.6 5888.0 NF NF

Credit Cards

Interest rates on cards Avg. % 12.1 11.9 11.8 11.7 11.5

Consumer revolving debt Avg. ($ bil) 537.6 536.6 540.3 546.4 556.2

Total retail sales YoY 5.3 4.3 3.8 4.1 6.1

Total retail sales ex-autos YoY 4.8 3.3 2.6 3.7 6.1

Real consumer spending YoY 2.2 2.0 2.3 3.1 4.4

Student Loans

Prime/LIBOR spread Avg. 3.0 3.1 3.1 3.0 2.9

LIBOR/CP spread Avg. -0.2 -0.1 -0.2 0.0 0.2

LIBOR/T-Bill spread Avg. 0.1 0.1 0.1 0.2 0.2

Unemployment rate: College grads Avg. % 4.0 3.7 3.4 NF NF

Unemployment rate: 20-24 year-olds Avg. % 13.3 12.8 12.2 NF NF

Equipment

ISM Non-Manufacturing Composite Index Avg. 54.6 54.7 53.1 NF NF

Equipment Leasing and Finance Foundation Monthly Confidence Index (MLFI)

Avg. 54.7 57.3 65.1 NF NF

Small Business Optimism Index Avg. 92.2 92.4 93.4 NF NF

Capacity utilization Avg. % 76.3 77.0 77.3 77.8 79.5

Building permits Avg. (mil) 0.8 1.0 1.0 1.3 2.0

Prices received by farmers Avg. (index) 191.0 194.4 180.0 185.9 189.1

NF = No forecast.

Sources: American Bankers Association, British Bankers' Association, Bureau of Economic Analysis, Bureau of Labor Statistics, Census Bureau, CNW/Marketing Research, Comerica Bank, The Conference Board, Department of Agriculture, Department of Labor, Energy Information Administration, Equifax, Equipment Leasing and Finance Foundation, Federal Reserve Board, Institute of Supply Management, Manheim Auctions, Moody's Analytics, National Federation of Independent Businesses, US District Courts

ECON DASHBOARD & COMMENTARY

31 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

The US economy is reviving after the past winter’s deep freeze. Consumer spending, industrial activity and, most importantly, the job market, rebounded in March. Employment is again increasing at rate of about 200,000 jobs per month, and the average workweek has lengthened nearly to its recovery high.

Even labor-force participation appears to be on the rise for the first time in years, as workers who had previously dropped out of the job market find employment. And they are doing so despite the expiration of emergency unemployment insurance benefits, a change that prompted many retirements, putting downward pressure on participation rates.

Real GDP is still on track to expand to nearly 3% this year. Given that GDP likely grew at no more than half that rate in the first quarter because of bad weather, growth should reach a stronger pace, above 3.5% through the remainder of the year.

Key to a stronger US economy is the freer flow of credit. The deleveraging that weighed heavily on the recovery is over, which, combined with rock-bottom interest rates, means that business and household debt service burdens are near historic lows. Even when interest rates rise, debt burdens will rise slowly, given that many borrowers have refinanced into longer-term, fixed-rate debt.

Household lending is rebounding smartly. Close to $1 trillion of consumer loans were originated last year, according to Equifax data. These include everything from credit-card and auto loans to home-equity lines of credit and student loans. The total is still far from the $1.4 trillion originated at the height of the housing bubble in 2006, but there is no going back to that frenzied time.

Only first mortgage lenders remain notably cautious, demanding high credit scores before granting loans. Lenders will have to ease this standard, particularly for first-time homebuyers, to ensure that the fragile housing recovery continues. There is evidence that underwriting standards are returning to more typical levels, but this needs to happen more quickly if the important spring selling season is to generate good results.

For the first time since the Great Recession, negative and positive risks to the economic outlook are equally balanced. To be sure, there are many things to be nervous about: Whether the Federal Reserve can gracefully manage raising interest rates consistent with an improving job market; the success of European bank stress tests; Chinese economic growth; and events in Ukraine are among the upcoming events that could result in negative shocks.

But there are also potential upside surprises. According to the US Census, more than one million more twenty-somethings are living with their parents today than just before the recession, because they can’t find jobs. These young adults will eventually get work, and when they do they will form households, which will support increased homebuilding, primarily rental units, and consumer spending. There also appears to be plenty of pent-up demand for vehicles, healthcare and travel.

Arguably, demand for business investment is pent up as well. All the ingredients for much stronger investment are in place, save for the risk-taking spirit evident by this time in past economic recoveries. Nerve-wracking political vitriol and policy uncertainty emanating from Washington are to blame. But with Washington’s battles now fading from the front pages, confident businesses will soon begin the investment they have long put off.

Scott Hoyt Senior Director - Economic Research Moody’s Analytics +1.610.235.5128 scott.hoyt@moodys.com

SURVEILLANCE RECAP

32 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Quick Stats, by Number of Tranches 15 March 2014 to 14 April 2014

Upgrades Downgrades

Sector*

Upgrades Current

Period Upgrades

RTM

Average Notch

Upgrade RTM**

Under Review

as of 14 April

Downgrades

Current Period

Downgrades RTM

Average Notch

Downgrade RTM**

Under Review

as of 14 April

Autos 42 210 2.7 1 0 0 0.0 0

Credit Cards 0 4 1.5 0 0 0 0.0 1

Student Loans 5 116 3.2 36 0 113 2.6 2

Equipment 2 47 2.6 0 0 0 0.0 0

Other ABS 13 115 2.4 19 12 92 2.1 2

ABS Total 62 492 12.4 56 12 205 4.7 5

* “Autos” comprises auto loans, leases, motorcycles, dealer floor-plan, marine and recreational vehicles; “Credit Cards,” general purpose and retail credit cards, and charge cards; “Student Loans,” FFELP and private student loans; “Equipment,” small and mid-ticket equipment, transportation equipment, and agriculture and industrial equipment loans and leases; and “Other ABS,” all other asset classes.

** We calculate the average notch change using a simple average.

RTM = Rolling twelve months.

Source: Moody’s Investors Service

RESEARCH & RATING ACTION HIGHLIGHTS

AUTO ABS

UPDATED AUTO LOAN, LEASE AND FLOORPLAN SECTOR SUMMARIES We have published our quarterly updates to the auto sector summaries.

» Auto Loan ABS Sector Summary

The modest decline in loan credit quality continued into the first quarter of 2014. The average loan maturities and credit scores of first-quarter 2014 prime auto loan ABS pools were weaker than the prior year. Loan maturities lengthened by half a month, to 64.3 months, while the average FICO declined four points, to 739. Prime loan APRs continued to rise marginally, reflecting the weaker credit. Our initial lifetime cumulative net loss expectation of at 1.1% for first-quarter prime pools is thus marginally higher than our 2013 vintage expectation of 1%.

» Auto Lease ABS Sector Summary

Credit and residual performance remains robust. Credit losses are very low and actual average residual realizations on matured leases remain low percentage gains relative to the securitized residual value. The average gain is still slightly higher than the securitized residual value, by approximately 3.9%, up from 1.6% as of our last report, but down from 6.4% as of a year earlier. The slight increase in the last quarter corresponds with a market in which used car prices have also increased, resulting in higher proceeds on turned-in vehicles.

Sanjay Wahi Vice President - Senior Analyst Moody’s Investors Service +1.212.553.7828 sanjay.wahi@moodys.com

SURVEILLANCE RECAP

33 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Transactions continue to perform better than our original loss expectations in terms of both credit and market (residual) value. The fact that recent residual value realizations have entailed gains rather than anticipated losses has been a positive credit development over the past several years. An expected decline in used vehicle prices, as well as a higher setting of securitized residual values in recent transactions, will turn recent residual value gains into marginal residual losses that will remain within our original expectations. Credit losses on lease payments will remain low given the strong credit profile of lessees and the persistently strong, though marginally weakening used vehicle market.

» Auto Floorplan ABS Sector Summary

During the first quarter of 2014, monthly payment rates for most floorplan trusts leveled off after declining in Q4 2013 because of the seasonality of auto sales. Payment rates remain well above early amortization levels, and excess spread remains within historical ranges. Floorplan ABS issuance in first-quarter 2014 was $4.1 billion in five transactions, compared to $4.7 billion in seven transactions in first-quarter 2013. Total floorplan ABS issuance in 2013 was $9.9 billion in 17 transactions, less than the $15 billion issued in 19 transactions in 2012. Though 2013 fell short of 2012 levels, issuance remained high relative to recent years. 2011 was $7.1 billion in 10 transactions, and in 2010, $5.5 billion in 10 transactions. 2014 issuance levels could continue to be supported by new transactions issued to replace expiring transactions, namely from Ally and Ford.

The floorplan ABS summary includes approximately $34 billion outstanding securities we rate. Most of these are currently rated Aaa(sf) and none are on review for upgrade or downgrade. The issuance is heavily weighted towards auto floorplan transactions sponsored by domestic auto captive finance companies. As of March 2014, Ally and Ford Credit were the top issuers in the sector, with approximately $13 billion and $11 billion of outstanding securities.

CREDIT CARD ABS » No ratings impact on Citibank card ABS following account addition

We made no changes to our rating on Citibank Credit Card Master Trust I following the trust’s 22 March addition of a receivables balance of around $2.0 billion related to 755,000 new accounts. Because the credit quality of the related receivables is similar to that of those previously backing the outstanding notes, we do not believe that the addition will have an adverse effect on the credit quality of the securities.

» Moody's confirms Citibank's 2005-A1 card ABS Aaa (sf) rating

On 21 April 2014, we confirmed the Aaa (sf) rating on the Citiseries Class 2005-A1 Notes issued by the Citibank Credit Card Issuance Trust (CCCIT). The confirmation reflects (1) the execution of amendments to the 2005-A1 Notes' swap documentation on 21 April 2014, which increases the counterparty's collateral posting requirements for the 2005-A1 Notes and (2) the improved credit strength of Citibank, N.A. (the swap counterparty for the 2005-A1 Notes), as reflected by our 14 November 2013 upgrades to Citibank's long-term rating to A2 and short-term rating to P-1.

The confirmation resolves our 12 November 2013 rating action, when we placed the rating on the 2005-A1 Notes on review for downgrade following the introduction of our Approach to Assessing Swap Counterparties in Structured Finance Cash Flow Transactions, published in November 2013.

SURVEILLANCE RECAP

34 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

OTHER ABS/CORPORATE » Moody’s places Glenn Pool oil and natural gas volumetric production payments securitization under

review for downgrade

We placed on review for downgrade the the Baa3 (sf) ratings on the senior secured loan and senior secured notes issued by Glenn Pool Oil & Gas Trust I and Trust II. The gas and oil production for the securitizations has been lower than the original forecast. At closing, reserve estimates by DeGolyer and MacNaughton, an independent engineering firm, indicated a production coverage ratio (90% of PDP production over required deliveries under the VPPs) of 1.29x over the life of the VPPs. Although their October 2013 report stated that total gas and oil reserves securing the transaction have not declined materially from the original estimates, the monthly production of natural gas and oil over the last six months has averaged approximately 12% lower than the original projections. Consequently, the coverage ratio has declined to 1.18x as of the February 2014 reporting date, from the original expectation of 1.29x over the life of the VPPs.

» Moody's takes actions on Bayview’s small business ABS

We upgraded the ratings on six tranches and downgraded the ratings on 11 tranches, in nine securitizations of small business loans issued by Bayview Commercial Asset Trusts. The loans are secured primarily by small commercial real estate properties in the US owned by small businesses and investors. The upgrades were prompted by a build-up in credit enhancement because of non-declining over-collateralization (in the case of Bayview 2006-SP1, non-amortization of the subordinate tranches), and the availability of excess spread in combination with relatively stable collateral performance. The downgrades were generally due to ongoing realized losses on the underlying pools along with a decline in credit enhancement from over-collateralization and subordinate tranches.

» Moody's upgrades Castle 2003-1 aircraft lease backed ABS

We upgraded the ratings on the Class A-1, A-2, B-1, B-2, and D-1 Notes issued by Castle 2003-1 Trust. The upgrades reflect the ongoing decline in the loan to value ratio (LTV) of the notes and our expectation about the pace of future note amortization. The outstanding Class A note balance is currently ahead of its scheduled target principal balances by approximately $95 million (LTV based on Adjusted Portfolio Value of 16%), the B note balance by $11 million (20%), and the D note balance, by $6 million (29%).

SURVEILLANCE RECAP

35 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

OTHER RATING ACTIONS AND RESEARCH - LINKS TO PRESS RELEASES & REPORTS AUTO LOAN ABS » Moody's upgrades Santander subprime auto loan ABS from 2011 to 2013

» Moody's: No ratings impact on commercial paper program of FCAR owner trust following the sale of FABs

» Moody's withdraws rating on Capital Auto Receivables Asset Trust 2011-A and B (Amended as of September 6, 2012) issued by Ally Financial Inc.

» Moody’s: No ratings impact on two Variable Funding Asset-Backed Notes issued by Nissan Warehouse LLC

» Moody's upgrades AmeriCredit subprime auto loan ABS from 2013

» Moody’s affirms Fifth Third prime auto loan ABS from 2013

STUDENT LOAN ABS » Moody’s reviews for upgrade student loan securitizations issued by National Collegiate Trusts

» Moody’s reviews and upgrades senior notes issued by National Collegiate Student Loan Trust Securitizations

» Moody's: No Negative Ratings Impact on North Texas Student Loan Revenue Bonds From Release of Cash

» Moody's: No Ratings Impact On Iowa Student Loan Notes From Servicer Change

» Moody's reviews for upgrade Access 2008-1 student loan securitization

OTHER ABS » Moody’s says the downgrade of an interest rate guarantor does not affect ratings of the Virgin Island’s

tobacco settlement bonds

» Moody’s upgrades GE Capital’s small ticket equipment backed ABS from 2011 and 2012

» Moody’s downgrades trademark royalty securitization issued by KCD IP, LLC

» Moody's: No Negative Rating Impact on several Lehman Brothers Small Balance Commercial Mortgage Transactions Due to Amendments to Hedge Agreements

» Moody's upgrades securities issued by Aircraft Certificate Owner Trust 2003-A

SURVEILLANCE RECAP

36 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Ratings Transition Tables, by Number of Tranches EXHIBIT 1

Auto ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15

April 2013 Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 553

191 744 Aa (sf) 77 112

11 200

A (sf) 17 31 70

5 123 Baa (sf)

17 11 43

2 73

Ba (sf)

13 2 21

36 B (sf)

13

13

Caa (sf)

4

1 5 Ca/C (sf)

4

4

Totals 647 160 94 45 21 13 4 4 210 1,198

EXHIBIT 2

Credit Card ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15

April 2013

Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 133 44 177 Aa (sf)

1

7 8

A (sf)

45

15 60 Baa (sf)

31

10 41

Ba (sf)

8

3 11 B (sf)

1 1 Caa (sf)

1 2 3 6 Ca/C (sf)

2 3 5 Totals 133 1 45 31 8 2 2 2 85 309

EXHIBIT 3

Student Loan ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15

April 2013

Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 800 8

66 874 Aa (sf) 35 302 3

1

17 358

A (sf) 3 16 253 2 31 305 Baa (sf) 9 6 8 38 8 5 3 77 Ba (sf)

3 2 74 12 4 1 7 103 B (sf)

1

18 4 3 12 38

Caa (sf)

1

6 20 11 17 55 Ca/C (sf)

1 39 3 43

Totals 847 332 269 42 82 42 29 54 156 1,853

* WR = Withdrawn ratings. The transition tables are a ratings summary of instruments that Moody’s Structured Finance group rates and could include instruments that may not fall under the definition of a structured finance instrument.

Source: Moody’s Investors Service

Sanjay Wahi Vice President - Senior Analyst Moody’s Investors Service +1.212.553.7828 sanjay.wahi@moodys.com

SURVEILLANCE RECAP

37 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 4

Equipment ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15

April 2013 Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 114 31 145 Aa (sf) 17 13

1 31

A (sf) 3 12 14

1 30 Baa (sf)

2 2 6

10

Ba (sf)

1 2 3

6 B (sf)

1 1 Caa (sf)

1 1 Ca/C (sf)

1 1 Totals 134 27 17 9 3 0 1 1 33 225

EXHIBIT 5

Other ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15 April 2013 Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 204 1

27 232 Aa (sf) 2 79

13 94

A (sf) 22 9 174 7 2

46 260 Baa (sf)

12 141 10

18 181

Ba (sf)

7 98 5

9 119 B (sf)

13 125 14 2 5 159

Caa (sf)

6 70 22 15 113 Ca/C (sf)

3 115 44 162

Totals 228 89 186 155 123 136 87 139 177 1,320

EXHIBIT 6

All ABS Rating Transitions, as of 14 April 2014

Ratings as of 14 April 2014

Ratings as of 15

April 2013 Aaa (sf) Aa (sf) A (sf) Baa (sf) Ba (sf) B (sf) Caa (sf) Ca/C (sf) WR* Total

Aaa (sf) 1,804 9 359 2,172 Aa (sf) 131 507 3 1 49 691 A (sf) 45 68 556 9 2 98 778

Baa (sf) 9 25 33 259 18 5

33 382 Ba (sf)

17 13 204 17 4 1 19 275

B (sf)

1 1 13 157 18 5 17 212 Caa (sf)

1

13 97 33 36 180

Ca/C (sf) 4 161 50 215

Totals 1,989 609 611 282 237 193 123 200 661 4,905

* WR = Withdrawn ratings. The transition tables are a ratings summary of instruments that Moody’s Structured Finance group rates and could include certain instruments that may not fall under the definition of a structured finance instrument.

Source: Moody’s Investors Service

ISSUANCE TOTEBOARD

38 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

March 2014 Issuance Outpaces March 2013 Issuance volume in March 2014 ABS amounted to $21.1 billion, outpacing the $13.6 billion in March 2013. Auto ABS continued to dominate issuance, with more than $9 billion in twelve transactions. Credit card issuance amounted to $6.6 billion (nine transactions), student loan issuance, $2.8 billion (four transactions), commercial and esoteric, $2.2 billion (five transactions).

EXHIBIT 1

Recent ABS Transactions* Closing Date Deal Name

Issuance ($ mil) Asset Collateral

4/2 Chase Issuance Trust, CHASEseries Class A (2014-2) Notes

625 Credit Cards Credit Card Receivables

4/2 Chase Issuance Trust, CHASEseries Class A (2014-3) Notes

1,425 Credit Cards Credit Card Receivables

4/9 First Investors Auto Owner Trust 2014-1 220 Autos Subprime Auto Loans

4/9 Mercedes-Benz Auto Lease Trust 2014-A 2,000 Autos Auto Leases

4/9 John Deere Owner Trust 2014-A 1,000 Commercial Equipment Lease 4/9 GE Equipment Small Ticket, LLC, Series 2014-1 689 Commercial Equipment Lease

4/9 ARI Fleet Lease Trust 2014-A 535 Commercial Fleet Lease

4/9 Rhode Island Student Loan Authority 2014-A 55 Student Loans Private Student Loans 4/9 SNAAC Auto Receivables Trust 2014-1 210 Autos Subprime Auto Loans

4/10 Capital One Multi-asset Execution Trust (COMET), Class A(2014-2) Card series Notes

1,050 Credit Cards Credit Card Receivables

4/10 Capital One Multi-asset Execution Trust (COMET), Class A(2014-3) Card series Notes

450 Credit Cards Credit Card Receivables

4/10 GM Financial Automobile Leasing Trust 2014-1 705 Autos Auto Leases

4/16 BMW Vehicle Lease Trust, 2014-1 1,000 Autos Auto Leases 4/16 Chase Issuance Trust, CHASEseries Class A(2014-4)

Notes 925 Credit Cards Credit Card Receivables

4/16 Harley-Davidson Motorcycle Trust 2014-1 850 Autos Motorcycle Loans

4/16 Credit Acceptance Auto Loan Trust 2014-1 299 Autos Subprime Auto Loans

4/16 DT Auto Owner Trust, 2014-2 289 Autos Subprime Auto Loans 4/17 Element Rail Leasing 2014-1A 340 Commercial Equipment Lease

4/17 Flagship Credit Auto Trust 2014-1 266 Autos Subprime Auto Loans 4/17 OneMain Financial Issuance Trust 2014-1 760 Credit Cards Consumer Loans 4/23 Santander Drive Auto Receivables Trust 2014-2 1,432 Autos Subprime Auto Loans 4/23 World Omni Auto Receivables Trust 2014-A 849 Autos Prime Auto Loans 4/23 Capital Auto Receivables Asset Trust 2014-2 778 Autos Non-prime Auto Loans 4/23 MMCA Auto Owner Trust 2014-A 215 Autos Prime Auto Loans 4/23 Kubota Credit Owner Trust 2014-1 300 Commercial Equipment Lease 4/24 American Credit Acceptance Receivables Trust

2014-2 259 Autos Subprime Auto Loans

Total 17,525

Source: Moody’s Investors Service

Brian Whelan Associate Analyst Moody’s Investors Service +1.212.553.0371 brian.whelan@moodys.com

ISSUANCE TOTEBOARD

39 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

EXHIBIT 2

Year-to-Date 2014 ABS Transactions Announced Through 18 April 2014

Asset Class Total ($ Millions)

Autos 34,556 Credit Cards 19,115 Student Loans 4,668 Commercial & Esoterics 8,757 Total 67,096

Source: Moody’s Investors Service

EXHIBIT 3

Cumulative Issuance, 2013 - 2014

Source: Moody’s Investors Service

EXHIBIT 4

Cumulative Issuance by Asset Class, 2014

Source: Moody’s Investors Service

0

50

100

150

200

$bill

ions

2013 2014

Autos53%Credit

Cards17%

Student Loans13%

Commercial17%

40 MOODY’S ABS SPOTLIGHT 22 APRIL 2014

Sources of Information in This Publication: Moody’s Investors Service Moody’s Analytics

American Bankers Association GM Financial

American Express Hertz

Bank of America Inside Higher Ed

Bloomberg Institute of Supply Management

British Bankers' Association Kubota

Bureau of Economic Analysis Manheim Consulting

Bureau of Labor Statistics National Association of Attorneys General

Canadian Imperial Bank of Commerce National Automobile Dealers Association

Capital One Bank National Collegiate Student Loan Trust

Census Bureau National Federation of Independent Businesses

Chase Bank USA Nelnet, Inc.

Citibank N.A. PHH

CNW/Marketing Research Sallie Mae

Comerica Bank Santander Consumer USA

The Conference Board S&P

Consumer Financial Protection Bureau State of New York

Discover Financial Services US Census Bureau

Energy Information Administration US Department of Agriculture

Equifax US Department of Education

Equipment Leasing and Finance Foundation US Department of Labor

Experian US District Courts

Experian Automotive US Energy Information Administration

Federal Reserve US Financial Stability Oversight Council

FIA Card Services USDA Economic Research Service

Fitch USDA Risk Management Agency

MOODYS.COM

Report: SF365059

© 2014 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. (“MIS”) AND ITS AFFILIATES ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY’S (“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. 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 FOR RETAIL INVESTORS TO CONSIDER MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS IN MAKING ANY 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.

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 SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

MIS, 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 MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. 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 “Shareholder Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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 clients. It would be dangerous for “retail clients” to make any investment decision based on MOODY’S credit rating. If in doubt you should contact your financial or other professional adviser.

STRUCTURED FINANCE EDITORIAL BOARD

William Black Managing Director +1.212.553.4563 william.black@moodys.com

Debash Chatterjee Associate Managing Director +1.212.553.1329 debashish.chatterjee@moodys.com

Mack Caldwell Senior Vice President +1.212.553.4106 mcginnis.caldwell@moodys.com

Barbara Lambotte Associate Managing Director +1.212.553.1094 babara.lambotte@moodys.com

Luisa De Gaetano Vice President - Senior Credit Officer +1.212.553.3847 marialuisa.degaetanopolverosi@moodys.com

Amy Tobey Vice President - Senior Credit Officer +1.212.553.7922 amelia.tobey@moodys.com

Andrew Jones Vice President - Director of Research +1.212.553.0380 andrew.jones@moodys.com

Peter McNally Vice President - Senior Analyst +1.212.553.3610 peter.mcnally@moodys.com

EDITORS

Alexis Alvarez Senior Editor Communications, Americas

Laura Kahn Senior Editor Communications, Americas