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Rating Action:

MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 6, 2003:

09 Jun 2003
MOODY' S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JUNE 6, 2003:

New York, June 09, 2003 -- MOODY'S LONDON REPORTS THAT POST-REVIEW STATUS FOR EUROPEAN ABCP CONDUITS ATTRACTS GROWING INTEREST

Moody's London says in a new Special Report that increased demand for efficient transaction execution in the European asset-backed commercial paper (ABCP) market is fuelling a growing interest on the part of European ABCP conduits to achieve "post-review" status from Moody's Investors Service for their transactions.

Moody's believes it is possible for Prime-1-rated European conduits to achieve post-review status for certain types of transactions, despite lacking the same characteristics as their US counterparts. "Moody's will prescribe detailed asset class-specific criteria for European post-review conduits, designed to ensure that each asset pool is structured to a Prime-1 standard notwithstanding the absence of a prior review by the rating agency," says Edward Manchester, a Moody's Vice President/Senior Analyst and author of the report.

The Special Report, entitled "Achieving Post-Review Status For Trade Receivables Transactions Financed By European ABCP Conduits," details the factors examined by Moody's in determining whether post-review status is warranted as well as the challenges conduits face in achieving this status. The report also notes other opportunities for transactions to be executed on a post-review, or limited-review, basis. The report may be found on Moody's web site, moodys.com.

MOODY'S RATES SENIOR CLASSES OF BLUE HERON VII CDO PRIME-1

Moody's has assigned ratings to three tranches of notes and one class of certificates issued by Blue Heron Funding VII Ltd. and co-issuer Blue Heron Funding VII Inc. (the "Issuers"). Moody's assigned Prime-1 ratings to the U.S.$738,750,000 Class A-1 Blue Heron Funding VII Notes, Series 2003-1, due May 28, 2004 (the "Class A-1 Notes"), and the U.S.$400,000,000 Class A-2 Blue Heron Funding VII Notes, Series 2003-1, due May 28, 2004 (the "Class A-2 Notes").

The short-term rating of the Class A-1 Notes is applicable only to those Class A-1 Notes issued on the Closing Date and maturing on May 28, 2004 and the short-term rating of the Class A-2 Notes is applicable only to those Class A-2 Notes issued on the Closing Date and maturing on May 28, 2004, and does not address any payments that may be made on any other dates.

Moody's explained that the ratings of the Class A-1 Notes and Class A-2 Notes (the "Class A Notes) are primarily based on the issuers' ability to rely on a put option entered into with WestLB AG, ("WestLB"), acting through its London branch and a cash flow swap entered into with WestLB, acting through its New York branch. The put option is designed to fund the principal repayment of any Class A Notes that are not successfully remarketed at their maturity, and the cash flow swap is structured to fund any shortfall between the issuers' collections from their assets and the amount of interest due on the Class A notes. In addition, 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 Class A Notes. The short-term rating of the Class A Notes is closely correlated to the short-term deposit rating of WestLB. 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. On May 15, 2003, Moody's placed on review for possible downgrade WestLB AG's bank financial strength rating (FSR) of D. Any replacement support provider would be required to carry a Prime-1 rating.

WestLB, through its New York branch, is also contracted as the manager of the Issuers' assets, which primarily consist of highly rated investment-grade structured finance securities. WestLB currently manages 7 other CDO transactions.

MOODY'S ASSIGNS PRIME-1 RATING ABCP ISSUED BY ARTH CAPITAL CORP.

Moody's has assigned a Prime-1 rating to the asset-backed commercial paper (ABCP) issued by Arth Capital Corp. Arth is an ABCP conduit financing backed by unalloyed base metals inventory, sold by Glencore AG and Glencore International AG (Baa2/Prime-2, on review for possible downgrade) to Base Metals Finance Company Limited and hedged at least once every three commodity business days. It is sponsored by Glencore, a leading global natural resources company, based in Baar, Switzerland, which is already the sponsor of another conduit, Albis Capital Corp. Albis is also rated Prime-1 by Moody's. Arth is authorized to issue up to $750 million of ABCP.

This transaction is innovative as an inventory securitization in that it relies not only on the intrinsic value and liquidity of the financed assets, which are commodities traded both on and outside an organized market, the London Metals Exchange, but also on hedging arrangements to mitigate the fluctuations in the value of the funded assets. The sophisticated hedging arrangements with the commodity departments of two Prime-1 banks constitute a major strength for the conduit.

Also, a syndicate of Prime-1 rated banks will provide liquidity. Moody's views the sizing, role and mechanics of the liquidity agreement as adequate. Enhancement was sized using conservative assumptions based on historical data. In relation to the physical inventory reserve, the limited amount of published premium data is mitigated by the inclusion of a dynamic adjustment mechanism.

The complex nature of this conduit means that ABCP investors will rely heavily on the high degree of competence of the servicer. One potential risk associated with this is reliance on certain key personnel. However, the adequate staffing, quality of the systems and well-documented procedures mitigate this risk adequately, in Moody's view.

Please see Moody's press release dated June 3, 2003 for further details.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD MAY 30, 2003 THROUGH JUNE 6, 2003:

DZ BANK'S AUTOBAHN FUNDING ADDS $75 MILLION FULLY SUPPORTED EQUIPMENT LEASE TRANSACTION

Autobahn Funding Co. LLC, DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN's (DZ Bank) (A2/Prime-1/D) partially supported, multiseller ABCP conduit, added a $75 million revolving loan facility. The seller, which is unrated, originates and services equipment leases and loans for its clients. The underlying equipment is primarily business equipment and machinery, such as dry cleaning, commercial car washing, construction, furniture and telecommunications equipment. Liquidity, sized at 102% of the loan facility, or $76.5 million, is provided by Prime-1-rated DZ Bank and fully supports this transaction in Autobahn. Autobahn is currently authorized to issue up to $2.73 billion of ABCP.

WACHOVIA'S BLUE RIDGE ADDS $200 MILLION REVOLVING LOAN FACILITY BACKED BY AUTOMOTIVE FLEET LEASE RECEIVABLES

Blue Ridge Asset Funding Corp. (Blue Ridge), Wachovia Bank's (Aa2/Prime-1/B+) partially supported, multiseller ABCP conduit, added a partially supported, $200 million revolving loan facility backed by automotive fleet lease receivables originated by one of the largest unrated corporate fleet leasing companies in the United States. 5.5% transaction-specific credit enhancement in the form of overcollateralization is provided, with a floor of $5 million. Program-level credit enhancement was increased by 10% of Blue Ridge's outstanding interest in this facility. Blue Ridge is authorized to issue approximately $6.2 billion of ABCP. Currently, Blue Ridge has about $3.1 billion in ABCP outstanding, with $75.27 million of program-level credit enhancement.

HSBC AMENDS BRYANT PARK PROGRAM

Bryant Park Funding is an HSBC conduit that was originally structured as a hybrid conduit. Thus, Bryant Park initially combined the features of several types of ABCP programs, including partially supported multiseller trade receivables program, securities credit arbitrage, and maturity-matched asset financing. During the second quarter of 2003, Bryant Park amended its program documents to remove the securities credit arbitrage and maturity matched financing features.

Bryant Park now may purchase traditional term and trade receivables, and may purchase highly rated securities subject to review by Moody's. The program will now be a more traditional ABCP program, and will issue only short term ABCP with maturities of up to 270 days.

Bryant Park's program-wide credit enhancement was increased from 5% of outstandings with a $20 million floor, to 8% of outstandings with a $50 million floor. This change strengthens the conduit. Other changes to the program include the addition of a requirement to cease issuing ABCP that will occur when 20% of the program wide credit enhancement has been drawn for a 5 business day period.

PRIME-1 RATING OF HUDSON CASTLE'S FENWAY FUNDING LLC'S ABCP CONFIRMED

Moody's has confirmed the Prime-1 rating of Fenway Funding LLC, an extendible asset-backed commercial paper (ABCP) program sponsored by Hudson Castle Group, Inc.

This action follows the confirmation of the Prime-1 rating of ZCM Matched Funding Corp. (ZCMMF), a liquidity provider for Fenway Funding. ZCMMF's Prime-1 rating, which is based upon a surety bond provided by Zurich Insurance Company, was confirmed on May 30, 2003. ZCMMF's Prime-1 rating had been placed on review for downgrade on February 27, 2003 following a similar rating action with respect to Zurich Insurance Company (ZIC) on February 27, 2003. Fenway has approximately $1.7 billion in outstanding ABCP.

WESTLB'S PARADIGM ADDS $200 MILLION REVOLVING LOAN FACILITY BACKED BY VEHICLE FLEET LEASE RECEIVABLES

WestLB AG's (Aa1/Prime-1/D, bank financial strength rating on review for possible downgrade) Paradigm Funding LLC (Paradigm), a partially supported multiseller conduit, added a $200 million revolving loan facility backed by automobile and truck fleet lease receivables originated by one of the largest unrated corporate fleet leasing companies in the United States. Seven per cent of deal-specific credit enhancement in the form of overcollateralization is being provided. Program-level credit enhancement has been increased by 10% of the purchase facility. Currently, Paradigm has over $7.1 billion in ABCP outstanding, with $563 million in program-level credit enhancement. Paradigm is now authorized to issue about $ 9.3 billion of ABCP.

COUNTRYWIDE'S PARK GRANADA LLC INCREASES AUTHORIZED AMOUNT TO $13.25 BILLION.

Park Granada LLC, a single-seller mortgage loan warehouse facility sponsored by Countrywide Home Loans Inc.(A3/Prime-2), a wholly owned subsidiary of Countrywide Financial Corp. (A3) has increased its authorized amount from $10 billion to $13.25 billion. With this $3.25 billion increase, Park Granada is now authorized to issue $12.667 billion in Prime-1-rated short term notes. The short term notes benefit from a total of 5% credit enhancement, provided in the form of a 0.60% cash collateral account and 4.4% in unrated subordinated variable funding notes.

CIBC'S SPARC ADDS $75 MILLION VFN BACKED BY PREMIUM FINANCE INSTALLMENT CONTRACTS

Special Purpose Accounts Receivable Corp. (SPARC), a partially supported, multiseller conduit sponsored by Canadian Imperial Bank of Commerce (CIBC)(Aa3/Prime-1/B), has purchased a $75 million variable funding note backed by premium finance installment contracts originated by one of the largest premium finance companies in the United States. The originator is unrated. Transaction-specific credit enhancement, in the form of overcollateralization and a letter of credit, is a minimum of 13%. The overcollateralization (minimum of 8%) increases dynamically based upon the performance of the pool of receivables. Liquidity provided by Prime-1-rated CIBC partially supports the transaction. Program credit enhancement was increased by 10% for this asset. SPARC is now authorized to issue approximately $4.3 billion of ABCP.

For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly 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

No Related Data.
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