Assessment Announcement: Moody's: No adverse rating impact on the ABCP issued by Plaza Trust and Pure Grove Funding following the addition of a new retail auto loan securitizationGlobal Credit Research - 24 Mar 2022Toronto, March 24, 2022 -- Moody's announced today that the addition of a CAD779 million amortizing retail auto loan securitization facility would not, in and of itself and as of this point in time, result in a reduction, placement on review for possible downgrade or withdrawal of Moody's current rating of Prime-1(sf) of the Series 1 notes (ABCP) issued by Plaza Trust (Plaza) and Pure Grove Funding (Pure Grove).Plaza and Pure Grove are prior review, partially supported, multi-seller, Canadian ABCP programs sponsored and administered by Royal Bank of Canada (RBC). The programs co-fund a new CAD779 million amortizing prime auto loan securitization. The auto loans were originated by the captive finance subsidiary of a non-investment-grade rated auto manufacturer. Plaza and Pure Grove each hold a secured interest in an unrated single-class note issued out of a master trustTransaction-specific credit enhancement is comprised of non-declining overcollateralization sized at 6.75% of the initial discounted pool balance, a fully funded non-declining cash reserve account sized at 0.25% of the initial discounted pool balance, and minimum excess spread. The transaction is partially supported by the transaction specific liquidity facilities provided by Prime-1(cr) rated RBC. The liquidity facilities are sized to cover 102% of outstanding ABCP issued by Plaza and Pure Grove under this facility.Plaza's program-level credit enhancement is available in the form of a committed facility provided by Prime-1(cr) rated RBC. The facility is sized at a minimum of 10% of the face amount of ABCP, excluding fully-supported transactions.Pure Grove's program-level credit enhancement is available in the form of a committed facility provided by Prime-1(cr) rated RBC. The facility is sized at the greater of the largest facility funded in Pure Grove or 10% of the face amount of the partially-supported notes.Plaza has purchase commitments of CAD2.5 billion and ABCP outstanding of CAD1.2 billion. Its program-level credit enhancement is approximately CAD113 million.Pure Grove has purchase commitments of CAD1.3 billion and ABCP outstanding of CAD742 million. Its program-level credit enhancement is CAD500 million.The principal methodology used in these ratings is "Moody's Approach to Rating Asset-Backed Commercial Paper" published in July 2020. For a more detailed explanation of Moody's approach please refer to the report https://ift.tt/Yy2uFti opinion addresses only the credit impact associated with the proposed addition, and Moody's is not expressing any opinion as to whether the proposed addition has, or could have, other non-credit related effects that may have a detrimental impact on the interests of holders of rated obligations and/or counterparties.This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history. Zulaikha Khurram, CFA Asst Vice President - Analyst Structured Finance Group Moody's Canada Inc. 70 York Street Suite 1400 Toronto, ON M5J 1S9 Canada JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Harrison Hendrix Associate Analyst Structured Finance Group JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 Releasing Office: Moody's Canada Inc. 70 York Street Suite 1400 Toronto, ON M5J 1S9 Canada JOURNALISTS: 1 212 553 0376 Client Service: 1 212 553 1653 © 2022 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 CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. 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