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Rating Action:

MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED APRIL 10, 2003:

11 Apr 2003

New York, April 11, 2003 -- MOODY'S RATES EURO-DENOMINATED CLASS A NOTES ISSUED BY HOUSE OF EUROPE FUNDING I LTD. PRIME-1:

Moody's Investors Service has assigned a Prime-1 rating to Euro 915,000,000 of Class A House of Europe Funding I Notes (the Notes) due March 26, 2004 and issued on March 28, 2003 by issuer House of Europe Funding I Ltd.

The rating reflects Moody's judgment as to the timeliness of payments by the issuer as well as the expected losses posed to the investors in the rated class. The rating is primarily based on the issuers' ability to rely on a put option and a cash flow swap entered into with WestLB AG (WestLB) as put option agent and cash flow swap counterparty. The put option is designed to fund the principal repayment of any notes that are not successfully remarketed at maturity, and the cash flow swap is structured to fund any shortfall between the issuers' collections from its assets and the amount of interest due on the Class A notes. The amount WestLB is required to pay under its support obligations cannot be reduced for defaults on the issuers' underlying assets. The combined amounts of the put option and cash flow swap are designed to provide the investor the full amount of principal and interest due on the Notes. The rating of the Notes is highly correlated to the short term deposit rating of West LB. WestLB has a short-term deposit rating of Prime-1, a long term senior deposit rating of Aa1 and a bank financial strength rating of D. Any replacement support provider would be required to carry a Prime-1 rating. Moody's notes that the short-term rating of the Class A Notes is applicable only to those Class A Notes issued on the Closing Date.

Westfalische Hypothenbank Dortmund ("WestHyp") will be the portfolio manager, while Wells Fargo Bank Minnesota, N.A. (Aa1/Prime-1/A) will serve as indenture trustee.

For further details, please see Moody's press release dated April 1, 2003.

MOODY'S RATED THE FOLLOWING ABCP PROGRAM PRIME-1 DURING THE SEVEN-DAY PERIOD ENDED APRIL 10, 2003:

MOODY'S RATES SEDONA CAPITAL FUNDING CORPORATION ABCP PRIME-1

Moody's has assigned a Prime-1 rating to the asset-backed commercial paper (ABCP) of Sedona Capital Funding Corp. (Sedona). Sedona is a partially supported, multiseller program administered by Deutsche Bank AG (DB, Aa3/Prime-1/B). Sedona will be able to fund three asset types: (a) term and trade receivables transactions subject to prior review by Moody's, (b) asset-backed securities under a securities arbitrage program and (c) securities rated either Prime-1 or at least Aa2 and covered by a surety bond (with a $500 million sub-limit) provided by a Aaa-rated surety bond provider. Asset types (b) and (c) are not required to be reviewed by Moody's prior to their purchase. Like its sister conduit, Tahoe Funding (Tahoe), Sedona does not issue ABCP to investors. Instead, all ABCP issued by Sedona will be issued by Gemini Securitization Corp. (Gemini), another DB-administered program that is rated Prime-1 by Moody's. Sedona ABCP is match-funded by Gemini ABCP.

As of March 31, 2003, Sedona had commitments over $3.08 billion in asset interests that were all purchased on a prior review basis prior to its rating by Moody's. It has over $1.81 billion of ABCP outstanding.

Sedona's Prime-1 rating is based on, among other factors: the quality of the assets which are subject to review by Moody's prior to purchase; the quality of the securities to be purchased on a post-review basis, based on the ratings guidelines and limits or required coverage under a surety bond policy; liquidity support provided by Prime-1 rated banks; and certain structural protections intended to preserve the bankruptcy remote nature of Sedona.

Unlike many general-purpose multiseller ABCP programs, Sedona's ABCP will not have "program-level" credit enhancement. Program credit enhancement although calculated or determined by Sedona's assets, will be provided at the Gemini program level. The amount of the credit enhancement is dynamic and fluctuates with the credit quality and composition of Sedona's asset portfolio. As of March 31, 2003, the required program credit enhancement for Sedona was $138.4 million, which is included within Gemini's required program credit enhancement amount of $513.5 million.

Liquidity support for Sedona's ABCP will be provided at the Sedona level by liquidity loan agreements provided by Prime-1-rated banks. The liquidity agreement for prior review asset purchases will typically have a borrowing base test, which means funds will be available up to the amount of non-defaulted assets. It is contemplated that each post-review asset purchase will have a separate liquidity agreement. Liquidity will not be required to fund for the asset interests covered by a surety bond, if the monoline surety bond provider becomes insolvent or has failed to make a payment under the surety bond. Also, liquidity will not fund for asset interests purchased under the securities arbitrage program when the asset is rated below Caa1. The commitment amount under the liquidity agreements will equal 102% of the purchase limit of the transaction.

Due to the match-funding of Sedona ABCP with Gemini ABCP, a failure to re-issue Gemini ABCP due to a market disruption would result in a failure to re-issue Sedona ABCP. Sedona's liquidity would have to be drawn to repay Gemini's ABCP. Moody's has reviewed Deutsche Bank's role as administrator of the two conduits, and believes this arrangement is consistent with the Prime-1 rating of Sedona's ABCP.

Moody's will review each term and trade asset interest prior to purchase to assess its effect on both the Sedona and Gemini Prime-1 ratings. Because Gemini is the sole purchaser of Sedona's ABCP, it is anticipated that such asset pools in Sedona's portfolio will be reviewed as if they were purchased under the Gemini investment policy and program enhancement guidelines. Any significant deterioration in the credit quality of any asset pool in Sedona's portfolio is likely to have a negative impact on the Prime-1 ratings of both Gemini and Sedona.

Please see Moody's press release dated April 7, 2003 for further details.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD APRIL 4, 2003 THROUGH APRIL 10, 2003:

BANK OF NOVA SCOTIA'S LIBERTY STREET AND CREDIT LYONNAIS' LA FAYETTE EACH ADD $50 MILLION PIECE OF CLUB TRADE RECEIVABLES DEAL

Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, and Credit Lyonnais' (A1/Prime-1/B-) La Fayette Asset Securitization LLC each added a $50 million share in a co-purchase trade receivables transaction. This is a co-purchase facility with Bank One's Falcon Asset Securitization Corp. This quick-turning transaction is backed by short-term receivables originated by a paper products company rated in the Baa category. Investor protections include funding with liquidity should the seller/servicer become insolvent as well as a 20% floor level of reserves. Historically, the receivables have performed well, demonstrating low levels of losses. Other structural enhancements include fairly tight performance triggers which, if violated, would cause the transaction to wind down relatively quickly. Liquidity provided by The Bank of Nova Scotia and Credit Lyonnais for their respective conduits funds for non-defaulted assets (defined as greater than sixty days past due). Liberty Street's investors, in addition to deal reserves, will also benefit from a increase in the program letter of credit of 10% of the amount of this transaction. La Fayette's investors will benefit from an increase in its program enhancement of 8% of the amount of this transaction. Liberty currently has approximately $5 billion in ABCP commitments and close to $3 billion in ABCP outstanding. Giving effect to the transaction, La Fayette is now authorized to issue $1.2 billion in ABCP.

FLEET'S EAGLEFUNDING ADDS $90 MILLION TRADE RECEIVABLES TRANSACTION

EagleFunding Capital Corp., Fleet National Bank's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, has added a $90 million revolving trade receivables facility to its portfolio. The receivables are originated by a Baa3-rated utility company, which provides electricity and natural gas service primarily to residential customers. Pool-specific credit enhancement, in the form of overcollateralization, fluctuates depending on pool performance. The minimum amount of enhancement is equal to 15% of eligible receivables. In addition to pool-specific credit enhancement, the program-wide letter of credit was increased by 5% of outstandings. The size of the credit support compares favorably to the amount of defaulted receivables, which have averaged under 2% per month. With the addition of this asset pool, EagleFunding is now authorized to issue up to $3.8 billion of ABCP.

WESTLB'S PARADIGM ADDS $30 MILLION TRADE RECEIVABLES PURCHASE FACILITY

WestLB's (Aa1/Prime-1/D) Paradigm Funding LLC (Paradigm), a partially supported, multiseller conduit, has added a $30 million revolving purchase facility of trade receivables originated by an unrated German supplier of automotive chassis parts. A minimum of 20% of deal-specific credit enhancement is provided. However, the amount will adjust upward dynamically depending upon asset performance. Program-level credit enhancement has been increased by 10% of the purchase facility. Currently, Paradigm has about $7.2 billion in ABCP outstanding, with $541.7 million in program-level credit enhancement. Paradigm is now authorized to issue about $ 9.3 billion of ABCP.

For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly. This information is also available at http://www.moodys.com.

New York
Samuel Pilcer
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED APRIL 10, 2003:
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S 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. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER 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. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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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 its 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 CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."

Additional terms 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 investors.

Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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