Moody's Global Credit Research

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description PDL - Reserve Fund - Reduction: The reserve fund starts amortising in July #### when PDL is zero. Reserve Fund - Target Amortisation: Target amortisation occurs on or after July #### if the reserve fund is at it's target level of Eur #,###,###. PDL - Target Amortisation: Target amortisation starts after July ####, when the PDL is...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description PDL - Reserve Fund - Reduction: The reserve fund starts amortising in July #### when PDL is zero. Reserve Fund - Reserve Fund - Reduction: The reserve fund starts amortising in July #### when the reserve fund is at its target level of #.##%. Reserve Fund - Target Amortisation: Target Amortisation occurs from July #### when the reserve...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary #...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # The missing Excess Spread is a structural feature of this transaction. Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Footnotes - Trigger Description Delinquencies - Other: Product switches only allowed if # month arrears do not exceed #% PDL - Reserve Fund - Reduction: Reserve Fund amortisation only allowed if # PDL Delinquencies - Reserve Fund - Stop Release: RF Amorisation stops if # month arrears is greater than #% Losses - Reserve Fund - Stop Release: RF Amortisation is only allowed if all Losses on the Portfolio does not exceed #.##% of the original outstanding principal balance of the Loans as at the Closing Date; Foreclosures - Reserve Fund - Stop Release: RF Amortisation only allowed if Foreclosures do not exceed #.#% of the original outstanding principal balance of the Loans as at the Closing Date. Principal - Other: Product switches...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - Rating Opinion and General Commentary # In monitoring the performance of this trust, Moody's has adjusted the reported charge-off rate to take into account the impact of accounts currently in Barclaycard's debt management programmes which are considered, for the purposes of the securitisation, as performing accounts. Moody's currently considers an increase of between #.#% to #% to the reported charge-off rate as being necessary to reflect the true credit performance of the portfolio. # The servicing fee percentage that is shown is based on a calculation that Moody's applies to all its trusts. Footnotes - Capital Structure Footnotes - Portfolio and Performance Data Footnotes - Trigger Description Excess Spread - Early Amortisation: Early amortisation occurs when, amongst others, excess spread is less than # for three consecutive periods (yield less expense rate). Seller Share - Early Amortisation: Early amortisation occurs when, amongst others, the transferor interest is less...

...Footnotes - Rating Opinion and General Commentary # In monitoring the performance of this trust, Moody's has adjusted the reported charge-off rate to take into account the impact of accounts currently in Barclaycard's debt management programmes which are considered, for the purposes of the securitisation, as performing accounts. Moody's currently considers an increase of between #.#% to #% to the reported charge-off rate as being necessary to reflect the true credit performance of the portfolio. # The servicing fee percentage that is shown is based on a calculation that Moody's applies to all its trusts. Footnotes - Capital Structure Footnotes - Portfolio and Performance Data Footnotes - Trigger Description Excess Spread - Early Amortisation: Early amortisation occurs when, amongst others, excess spread is less than # for three consecutive periods (yield less expense rate). Seller Share - Early Amortisation: Early amortisation occurs when, amongst others, the transferor interest is less...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # Please note that the principal collected and not immediately reinvested is kept in a collection account (operating account). Thus, the notes balance may differ from the pool balance. # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure #Tranches with underlying ratings are wrapped in the primary market. Footnotes - Portfolio and Performance Data...

...Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A: EUR - RUB = #.#### Footnotes - Portfolio and Performance Data # Defaulted amounts were not correctly reported by the servicer for previous reporting periods. The issue has been corrected and correct default data will be reported going forward. # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Reserve Fund - Increase: The reserve fund increases to #.##% of outstanding balance when delinquencies >## days exceed #% of portfolio....

Pool A Chart #: Delinquencies, Cum Defaults and Portfolio O/S ...

Pool A Chart #: Delinquencies, Cum Defaults and Portfolio O/S ...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. A#: USD - EUR = #.#### Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Reserve Fund - Increase: The reserve fund increases to #.##% of outstanding balance when delinquencies >## days exceed #% of portfolio....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Switch to sequential:...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Switch to pro rata: Amortisation is switched to pro rata when delinquencies >## days do not exceed #.#%. PDL - Reserve Fund - Reduction: The reserve fund starts amortising in Jan #### when PDL is zero. Delinquencies - Reserve Fund - Increase: The Reserve Fund will increase to #.##% of the Notes balance at closing...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # Please note that from now on, the delinquency figures as shown in the chart and in the table will not include outstanding defaults anymore. The outstanding defaults are reported monthly and may therefore exceed the cumulative default estimates updated quarterly. Rounding error may also make cumulative default estimates appear smaller than the amounts of outstanding defaults. # Please note that the CPR displayed is the monthly CPR as provided by the servicer and not Moody's calculation. Please note that more triggers will be displayed soon. # Please note that this is a true sale transaction. The values shown under 'Cum Credit Events/OB' therefore correspond to the cumulative amount of loans that became ## days delinquent as a proportion of the original portfolio. This value counts each loan...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # The Gestora, Ahorro y Titulizacion S.G.F.T., is currently revising the WALTV for this deal. Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#,...

... Sebastian Hoepfner, ####-####-####, Sebastian.Hoepfner@moodys.com Olimpia da Silva, ####-####-####, Olimpia.DaSilva@moodys.com Client Service Desk London: ####-####-####, csdlondon@moodys.com Monitoring Monitor.ABS@moodys.com...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Switch to pro rata: Amortisation is switched to pro rata when delinquencies >## days do not exceed #.#%. PDL - Reserve Fund - Reduction: The reserve fund starts amortising in April #### when PDL is zero....

Pool A Chart #: Delinquencies, Cum Defaults and Portfolio O/S ...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Reserve Fund - Stop...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#, A#: USD - GBP = #.#### A#: EUR - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Footnotes - Trigger Description PDL - Principal Distribution: Principal is distributed to Funding when, amongst others, the PDL is greater than zero. Delinquencies - Stop Substitution: Substitution is stopped when, amongst others, delinquencies >## days exceed #%....

CREDIT RATINGS ARE MOODY'S INVESTORS SERVICE, INC.'S (MIS) CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MIS DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Switch to sequential: Amortisation of Class B is switched to sequential when delinquencies >## days exceed #.#%....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Footnotes - Trigger Description...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # The revolving period for Series ####-A will continue until the start of a Partial Amortisation Period (and prior to recommencement of the Revolving Period following such Partial Amortisation Period), or if earlier the start of the Rapid Amortisation Period or Regulated Amortisation Period. The Partial Amortisation Period for Series ####-A is scheduled to begin on the Transfer Date on which the investor interest of each of Series ##-#, Series ##-#, Series ##-#, Series ##-#, Series ##-#, Series ##-# and ##-# will be reduced to zero. Each time a Partial Amortisation Period commences to reduce the Series ####-A investor interest, the Revolving Period is suspended for the duration of the Partial Amortisation Period, unless the Series ####-A investor interest is reduced to zero by the partial amortisation, or the Regulated Amortisation Period or the Rapid Amortisation...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Reserve Fund - Reserve Fund - Stop Release:...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # Please note that from now on, the delinquency figures as shown in the chart and in the table will not include outstanding defaults anymore. The outstanding defaults are reported monthly and may therefore exceed the cumulative default estimates updated quarterly. Rounding error may also make cumulative default estimates appear smaller than the amounts of outstanding defaults. # Please note that the CPR displayed is the monthly CPR as provided by the servicer and not Moody's calculation. # Please note that this is a true sale transaction. The values shown under 'Cum Credit Events/OB' therefore correspond to the cumulative amount of loans that became ## days delinquent as a proportion of the original portfolio. This value counts each loan only once, and for its outstanding value the first...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...El desempeño de las transacciones respaldadas por créditos hipotecarios (RMBS) en todos los sectores (Sofoles ...

...Moody's has assigned a provisional rating of (P)Aaa to the three tranches of the senior secured transition bonds to be issued by Entergy Texas Restoration Funding, LLC ("Issuer") based on the State of Texas legislation, referred to as the Financing Act, and the state's non-impairment pledge; the irrevocable Financing Order by the Public Utility Commission of Texas ("PUCT"), the remote likelihood of a successful legislative challenge to the transition charge; the size and diversity of the ratepayer base from whom the transition charges will be collected; the cash equity equal to #.##% of the initial principal balance of the bonds in the capital subaccount; the dynamic adjustment mechanism for the transition charges, and Entergy Texas Inc. (Issuer/Senior Secured: Ba#/Baa#)("ETI")'s ability and experience as a servicer. The likelihood of legal, political or regulatry challenge to ETI's securitization, a critical issue for this transaction, is relatively remote. It is estimated that the transition...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # The peak in delinquency for ##/##/#### is due to a reporting error' # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Delinquencies - Switch to sequential: Amortisation is switched...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Excess Spread - Cash Trap: Cash is trapped to #.#% of the notes outstanding amount when excess spread is less than or equal to #.#% but greater than #.#%. Excess Spread - Cash Trap: Cash is trapped to #.#% of the notes outstanding amount when excess spread is less than or equal to #.#%. Seller Share - Early Amortisation: Early amortisation occurs when, amongst others, the transferor interest is less than #.#% for three consecutive periods. Excess Spread - Early Amortisation: Early amortisation occurs when, amongst others, excess spread is less than # for three consecutive periods (yield less expense rate)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary...

...Bolivia's foreign and local currency government bond ratings were upgraded to B# on September ##, ####, based on improved credit metrics and a reduction of the (still high) domestic political turmoil. The outlook remains stable. Looking forward, further reductions in domestic political differences could lead to a positive rating action. A significant increase in political turmoil that leads to policy missteps, on the other hand, could result in a downgrade. Bolivia's low economic strength is a key ratings constraint. The country remains one of the poorest nations in the world despite over two decades of reforms and substantive support by international multilateral institutions. Heavy dependence on external revenues and a lack of formal rules governing fiscal savings rank Bolivia as having a low level of government financial strength, although this is balanced by a substantial increase in fiscal savings. Bolivia's ratings incorporate the country's high susceptibility to event risk, which...

...The uncertain credit market conditions that characterized much of the last year have significantly reshaped the banking environment for investor-owned utilities and other power companies, ending an era of easy credit and low priced bank facilities and generally favorable bank market conditions. The relatively few companies that had bank facilities expiring in #### faced a highly constrained bank credit market and had to pay significantly higher fees for renewing their bank facilities. Despite these market conditions, it doesn't appear that terms and conditions have become materially more restrictive with regard to either covenant restrictions or security requirements. In addition, there has been no resurgence of the "material adverse change" or MAC clause as a condition to draws in any of the renewed bank facilities....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - Rating Opinion and General Commentary # The Class A protection level has reached ##%. The reserve fund has therefore begun to amortise along with the notes, subject to a floor of Eur #.## million, representing #.#% of initial rated notes. Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##,...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the level of protection against losses to the class A was achieved by the subordination of #% of the collateral value at closing. Class B benefits from #.#% of the collateral value at closing. Footnotes - Capital Structure...

...Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Defaults - Cumulative - Interest C subordination: Interest on Class C is deferred when cumulative gross defaults exceed...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#: USD - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Footnotes - Trigger Description PDL - Principal Distribution: Principal is distributed to Funding when, amongst others, the PDL is greater than zero. Delinquencies - Stop Substitution: Substitution is stopped when, amongst others, delinquencies >## days exceed #%....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # No target reserve fund is in place since the reserve fund is variable, depending on the size of the excess spread that is captured in each period....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#: USD - GBP = #.#### A#: EUR - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Footnotes - Trigger Description PDL - Principal Distribution: Principal is distributed to Funding when, amongst others, the PDL is greater than zero. Delinquencies - Stop Substitution: Substitution is stopped when, amongst others, delinquencies >## days exceed #%....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Please note that the original amount indicated for Class #### A issued in EUR (EUR ###.###.###) and Class #### A (EUR ###.###.###) is already converted from EUR to USD although the currency description is EUR. - Class #### A = exchange rate applied for original amount (# EUR = USD #,####) and floating rate for current balance - Class #### A = exchange rate applied for original amount (# EUR = USD #,##) and floating rate for current balance # Please note that the following tranches are backed by a financial guarantee. Hence the current rating of each tranche was prompted by the rating action taken on the respective financial guarantor. MBIA Insurance Corporation: #### A and #### A; Ambac Assurance Corporation: #### C and #### A; Assured Guaranty Corp: #### D; CIFG Assurance North America #### G; Financial Guaranty Insurance Company: #### B and #### B, Financial...

...Moody's provisional ratings of (P)Aaa and (P)Aa# for the Series ####-# Class A and Class B notes, respectively, to be issued by the Navistar Financial Dealer Note Master Owner Trust are based on the following factors:...

...Comments from the U.S. Treasury last week suggest that Chrysler Financial Services Americas LLC (Chrysler Financial) could be on an accelerated track to liquidate its business. Our ratings on Chrysler Financial, upgraded on October ## (corporate family rating to Caa# from Ca with a stable outlook; see separate press release here), would not be affected by an accelerated pace of portfolio liquidation, unless the anticipated cash proceeds were to fall materially below our current expectations. Our base expectation is that Chrysler Financial pursues an orderly liquidation, with the potential that holders of the firm's bank loans could experience less than full recovery. Our ratings give no effect to any potential new business opportunities Chrysler Financial may develop. On October ##, U.S. Treasury's Kenneth Feinberg, special master over executive pay at companies receiving government bail-out funds, said that Chrysler Financial is "pursuing a successful wind down of its operations by December...

Moody's Investors Service, a leading global credit rating, research and risk analysis firm, publishes credit opinions, research, and ratings on fixed-income securities, issuers of securities and other credit obligations. Credit ratings and research help investors analyze the credit risks associated with fixed-income securities. Ratings also create efficiencies in fixed-income markets and similar obligations, such as insurance and derivatives, by providing reliable, credible, and independent assessments of credit risk.

Moody's Investors Service, a leading global credit rating, research and risk analysis firm, publishes credit opinions, research, and ratings on fixed-income securities, issuers of securities and other credit obligations. Credit ratings and research help investors analyze the credit risks associated with fixed-income securities. Ratings also create efficiencies in fixed-income markets and similar obligations, such as insurance and derivatives, by providing reliable, credible, and independent assessments of credit risk.

...% of Current % of Current Amount at Pool at Loan Current Origination Number of Loan Name Closing Closing Amount Pool Date...

...Type of transaction: CMBS - Small Multi-borrower, Partially funded synthetic / Sequential pay Issuer: GECO #### Limited Servicer: Deutsche Pfandbriefbank AG Trustee: Deloitte & Touche GmbH Cash Deposit Account Bank: Deutsche Bank AG (Aa#, P-#)...

...Type of transaction: CMBS - Sale and lease-back / Credit tenant lease Issuer: Midgaard Finance Ltd Trustee: Citicorp Trustee Company Ltd Swap counterparty: Citibank N.A. (A#, P-#) All Amounts in EUR Million Information as of October ####...

...Type of transaction: CMBS ­ Single Borrower / pro-rata pay Issuer: Marlin (EMC-II) B.V. Servicer: Citibank International plc Liquidity Facility Provider: Barclays Bank plc (Aa#/ P-#) Swap Provider: Citibank, N.A. (A#/ P-#) Trustee: The Law Debenture Trust Corporation p.l.c. All Amounts in EUR Million Information as of September #### (provided on ## October ####)...

...Overview Legal Framework Programme closing date : September #### Does a specific Covered Bonds Law apply for this programme : Yes Total outstanding liabilities : EUR #,###,###,### Total Assets in the Cover Pool : EUR #,###,###,### Country in which Collateral is based : Spain Issuer Name : Country in which issuer is based : Spain Group / Parent Name : Main Collateral Type (>##%) : Public Sector Timely Payment Ratings Refinancing period for principal payments of # months or greater: No Aa# / Negative Outlook Liquidity reserve to support timely payments on all issuances : No Group / Parent Senior Unsecured rating : n/d Timely Payment Indicator ("TPI") (note #) : Probable-High Covered Bonds Rating : Aaa Maximum Leeway given TPI, Issuer Rating and CB Rating : # notch(es)...

...All Amounts in ZAR Closing Date Information as of: Programme Name: Synthesis Funding Limited Sponsor/Administrator: Nedbank Limited (Aa#.za/P-#.za) Contacts Type: Hybrid...

...All Amounts in EUR Closing Date Information as of: Programme Name: Lake Constance Funding Limited, Lake Constance Funding LLC Sponsor/Administrator: Landesbank Baden-Württemberg (Aa#/P-#/C-) Contacts Type: Hybrid...

...Type of transaction: CMBS ­ Small Multi-borrower / Sequential pay switching to pro- rata Issuer: Private Commercial Mortgages (Proprietary) Limited Servicer: Investec Bank Limited Trustee: Maitland Trustees (Proprietary) Limited Hedging Provider: Investec Bank Limited (Aa#.za/P-#.za) Liquidity Facility Provider: Absa Bank Limited (Aa#.za/P-#.za) Redraw Facility Provider: Absa Bank Limited (Aa#.za/P-#.za)...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # R & S short term extendible notes are issued on a monthly basis as private placement; The non-rated C & T notes are retained by the originator and provide credit enhancement. Footnotes - Capital Structure...

Moody's Investors Service, a leading global credit rating, research and risk analysis firm, publishes credit opinions, research, and ratings on fixed-income securities, issuers of securities and other credit obligations. Credit ratings and research help investors analyze the credit risks associated with fixed-income securities. Ratings also create efficiencies in fixed-income markets and similar obligations, such as insurance and derivatives, by providing reliable, credible, and independent assessments of credit risk.

...Moody's provisional ratings for the Series ####-# securities to be issued by GE Dealer Floorplan Master Note Trust ("GEDFT") are based on the following factors:...

...EEC's Baa# senior unsecured rating reflects the fact that virtually all of its material activities relate to regulated electric and gas utility operations and our evolving view of the company's business risk profile, which has historically been generally acceptable for the Baa rating category. More recently, the challenges created by the unsettled national economic and financial market conditions and execution risks associated with the utility subsidiaries' capital spending plans have tempered this view somewhat and our overall assessment will continue to evolve as we observe how the programs are carried out. Another key rating concern relates to regulatory relationships, especially in New York and Connecticut. The New York Public Service Commission (NYPSC) and interveners have at times been unsympathetic to the company's views about the need for rate relief and both the Department of Public Utility Control (DPUC) in Connecticut and the NYPSC have been demonstrating a tendency to rely upon...

...Sanofi-aventis (rated A#/stable) is the world's fifth-largest pharmaceutical company. It reported revenues of ##.# billion...

... RATINGS Primary Servicer of Second Lien Loans SQ#- RELATED RATINGS First Tennessee Bank National Association Issuer Rating A# First Horizon National Corporation Issuer Rating Baa#...

...Total Credit Amount % of Legal Final Subordi- Reserve Enhance- Series Rating (million) Notes Maturity Coupon nation Elise Lemaire +### #### ####...

...Moody's provisional ratings of the securities to be issued by Ally Auto Receivables Trust ####-B ("AART ####-B") are based on the following factors:...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # Early amortisation triggers that are not relevant anymore due to the end of the revolving period are not displayed on this performance overview. # Class A #, class B and class C are guaranteed by the European Investment Fund. Footnotes - Capital Structure # Residual tranches are not considered for any of the total amount or total % calculations. Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # For December, #### no delinquency ## plus and ## plus available # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Footnotes - Trigger Description Delinquencies - Switch to sequential: Amortisation is switched to sequential when, amongst others, delinquencies >## days but less ## months exceed #.#%. Delinquencies - Reserve Fund - Stop Release: The reserve fund stops amortising when, amongst others, delinquencies >## days but less ## months exceed #%....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # The difference between the notes and the portfolio is hold in the cash account. Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) # TRR (Total Redemption Rate) Footnotes - Trigger Description Defaults - Net Cumulative - Interest B&C subordination: Class B interest are deferred if the net cum default ratio is higher than the indicated level. Defaults - Net Cumulative - Accelerated Amortisation: Occurs when the net cumulative default ratio is higher than the indicated level. PDL - Accelerated Amortisation: Occurs when the unpaid PDL is equivalent or greater than #%. Defaults - Net Cumulative - Interest C subordination: Class C interest are deferred if the net cum default ratio is higher than the indicated level. Defaults - Net Cumulative - Cash Trap: Occurs when cumulative net defaults exceed the required...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure Footnotes - Portfolio and Performance Data # CPR (Constant Prepayment Rate) Moody's CPR calculation = #-(#-(Current Period Unscheduled Principal Payments divided by Current Period Outstanding Pool Balance plus Unscheduled Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#). Footnotes - Trigger Description Defaults - Cumulative - Early Amortisation: Early amortisation will start when the defaults ratio exceeds #% of the portfolio balance....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary # An early amortisation event is triggered if the Commingling or the VAT reserve is not funded within ## days after CEB is downgraded below Baa#. # An early amortisation event is triggered if the relevant rating of any credit insurance company falls below Baa# or BBB+ as applicable. # An amortisation of the transaction is triggered if a suitable back up servicer is not appointed within the stipulated ## days after CEB is downgraded below Baa#. # The reserve account with a target level of #,###,### refers to the liquidity reserve account while the reserve account with a target level of #,###,### refers to the cash collateral account. # The right hand axis in Chart # refers to amounts in Millions. # Given that the transaction is in rapid amortisation and that all cash flows are directed to Class A, the PLD mechanism is not relevant anymore. Footnotes - Capital Structure...

...% of Current % of Current Amount at Pool at Loan Current Origination Number of Loan Name Closing Closing Amount Pool Date...

... Total ##.# Available Liquidity Facility ##.# #.#% Next Liquidity Facility Renewal Date: Classes subject to Available Funds Cap (AFC): Class E Sequential payment trigger hit: Y AFC triggered last IPD: N Liquidity draw last IPD: Y Amount of Liquidity draw: #.##...

...% Partially Supported: ###.#% Website % Fully supported: #.#% www.moodys.com Monoline Supported: #.#%...

Global Credit Research Announcement ## OCT #### Announcement: Moody's Fully Supported Municipal & IRB Deals New York, October ##, #### -- ASSIGNMENTS Barclays Capital Inc. (Muni. Deriv.) Floating Rate Trust Receipts US$ ##.##M Ser....

Global Credit Research Announcement ## OCT #### Announcement: Supplement to Moody's worldwide rating actions for October ##, #### New York, October ##, #### -- Moody's Investors Service has issued press releases on the following rating...

...The bank financial strength rating (BFSR) of Caixa Geral de Depósitos, S.A. ("CGD"), which captures the bank's intrinsic creditworthiness and does not take into account any form of support that it may receive, was last downgraded in September #### following the recalibration exercise for Portuguese financial institutions' BFSRs ...

Moody's Investors Service, a leading global credit rating, research and risk analysis firm, publishes credit opinions, research, and ratings on fixed-income securities, issuers of securities and other credit obligations. Credit ratings and research help investors analyze the credit risks associated with fixed-income securities. Ratings also create efficiencies in fixed-income markets and similar obligations, such as insurance and derivatives, by providing reliable, credible, and independent assessments of credit risk.

...Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

CREDIT RATINGS ARE MOODY'S INVESTORS SERVICE, INC.'S (MIS) CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MIS DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT...

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#, A#, A#: EUR - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#, A#, A#, A#: EUR - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...Footnotes - General Information # Date format throughout report is DD/MM/YYYY. Footnotes - Rating Opinion and General Commentary Footnotes - Capital Structure A#: USD - GBP = #.#### # The Percentages may not add up to ###% due to rounding or a tranche(s) having a rating not in the categories displayed. Footnotes - Portfolio and Performance Data # TRR (Total Redemption Rate) Moody's TRR calculation = #-(#-(Current Period Total Principal Payments divided by Current Period Outstanding Pool Balance plus Total Principal Payments))^[reporting frequency] where reporting frequency equals (monthly reporting=##, quarterly reporting=#, semi-annual=#, annual=#)....

...The high level of subordination of the transaction. The credit quality of the portfolio of corporate loans. The pool of loans is well diversified across industries....

...% of Current % of Current Amount at Pool at Loan Current Origination Number of Loan Name Closing Closing Amount Pool Date...