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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED SEPTEMBER 19, 2002

20 Sep 2002
MOODY'S ABCP RATING ACTIONS FOR THE FOURTEEN DAY PERIOD ENDED SEPTEMBER 19, 2002

New York, September 20, 2002 -- THE FOLLOWING ABCP PROGRAM WAS ASSIGNED A PRIME-1 RATING BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED SEPTEMBER 19, 2002:

MOODY'S RATES ABCP OF HERTZ FLEET FUNDING LLC PRIME-1

Moody's has assigned a Prime-1 rating to Hertz Fleet Funding LLC (HFF), a new asset-backed commercial paper program (ABCP), for an authorized amount of approximately $1 billion. The commercial paper program will finance a portion of the daily rental fleet of The Hertz Corporation ( Baa2 - senior unsecured indebtedness, Prime-2 - commercial paper). Hertz is 100% owned by Ford Motor Company, which is rated Baa1 for senior unsecured indebtedness. Hertz will serve as servicer and administrative agent for the transaction. Deutsche Bank Trust Company Americas (A1/Prime-1/C) will serve as depositary and collateral agent for the transaction.

The HFF rating is based on the servicing and fleet management capabilities of Hertz, a letter of credit from a group of Prime-1-rated banks led by JPMorgan Chase Bank, a 58-day restriction on the maturity of the commercial paper, a restriction on the maximum interest rate at which the commercial paper can be issued of 10% per annum, the liquidity facility from a group of Prime-1-rated banks, also led by JPMorgan Chase, several triggers which stop ABCP from being issued, and the residual value of the vehicles financed.

ABCP issued by HFF is supported by a liquidity facility which is provided by a group of Prime-1-rated banks and a letter of credit (LOC) which is sized as needed to cover the required credit support for the level of commercial paper outstanding. The letter of credit may also be utilized for liquidity purposes. Minimum required credit support equals 14.5% and 9.5% of the net book value of non-program and program vehicles, respectively. The total required credit support will fluctuate based on the amount of ABCP outstanding and based on the mix of non-program and program vehicles. Required credit support which exceeds the minimum letter of credit amount on any date may be provided by additional letter of credit amounts or by overcollateralization.

Non-program vehicles are limited to 50% of the vehicle collateral pool.

Please see Moody's press release dated September 19, 2002 for further details.

THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED SEPTEMBER 19, 2002:

IN CLUB DEAL, SIX CONDUITS ACQUIRE INTERESTS IN $700 MILLION VARIABLE FUNDING NOTE BACKED BY RENTAL CAR FLEET

JP Morgan Chase Bank's (Aa2/Prime-1/B+, long-term deposit rating and bank financial strength rating on review for possible downgrade) Park Avenue Receivables Corp. ( PARCO), WestLB AG's (Aa1/Prime-1/C-, bank financial strength rating on review for possible downgrade) Paradigm Funding LLC (Paradigm), Bayerische Hypo-und Vereinsbank AG's (A1/Prime-1/B-) Black Forest Funding Corp. (Black Forest) and Bank of Nova Scotia's (Aa3/Prime-1/B-) Liberty Street, each a partially supported, multiseller conduit, purchased an interest in a $700 million variable funding note (VFN) backed by rental cars. PARCO and Paradigm each acquired a $150 million interest in the transaction and Black Forest and Liberty Street each acquired a $100 million interest in the transaction. Also, Bank One's (Aa2/Prime-1/B+) Jupiter Securitization Corp. and Bank of America's (Aa1/Prime-1/A-) Quincy Capital Corp., both post-review conduits, each purchased a $100 million interest in the VFN.

The transaction benefits from 22.25% pool-specific credit enhancement which can take the form of overcollateralization, a letter of credit, a reserve account, demand notes, or a cash collateral account. Liquidity providers also assume finance lease exposure that arises from the operating company's ownership of the finance leases. PARCO, Paradigm and Liberty Street are each providing 10% incremental program-level credit enhancement and Black Forest is providing 8% incremental program-level enhancement. Currently, PARCO is authorized to issue up to $11.9 billion of ABCP and has $1.6 billion of program-level credit enhancement; Paradigm is authorized to issue $8.7 billion of ABCP and has $467 million of program-level credit enhancement; Black Forest is authorized to issue $3.5 billion of ABCP and has $1.1 billion of program-level credit enhancement; and Liberty Street is authorized to issue about $5 billion of ABCP and has $435 million of program-level credit enhancement.

BAYERISCHE HYPO-UND VEREINSBANK'S ARABELLA ADDS EURO 400 MILLION AUTO LEASE TRANSACTION

Arabella Funding, LTD., a multiseller, partially supported ABCP conduit sponsored by Bayerische Hypo-und Vereinsbank AG (HVB) (A1/Prime-1/B-), has entered into a Euro 400 million revolving auto lease transaction. The leases, which include open-end and closed-end leases and which finance a mixed pool of vehicles (including new and used vehicles), are originated by the captive finance company of a German car manufacturer. There are several portfolio limitations in place, including a general obligor limit of 0.5% and a maximum residual value of 70% to be financed. Initial pool-specific credit enhancement is provided by a seller cash deposit of 2% and a subordinated loan of 7.25% granted by an affiliated company. Program-wide credit enhancement stems from a 10% letter of credit provided by HVB, of which 60% (i.e. 6% of purchased receivables) will be allocated to this pool.

This pool is the continuation of a program that the same seller had financed through the Bavaria Securitisation Limited program sponsored by HVB. The performance experienced during the last 1.5 years under the Bavaria program was taken into account by Moody's. This partially supported transaction benefits from delinquency triggers (greater than 3.5% for one month; greater than 3.2% on a three month rolling average basis) and default triggers (defaults greater than 2.75% for one month; greater than 2.5% on a three month rolling average basis). If the trigger events are realized, new receivables may no longer be purchased and ABCP may no longer be issued. In the event that the monthly default ratio exceeds 1.5%, the cash reserve will be increased to 4.75% by trapping excess spread in the transaction. Furthermore, ABCP maturity limits are linked to available pool-specific credit enhancement, which reduce risk exposure period for ABCP investors. The liquidity facility, which funds for non-defaulted receivables, is provided by Prime-1-rated HVB.

With this addition, Arabella is now authorized to issue ABCP of up to approximately Euro 5.3 billion.

BTM'S ARCADIA FUNDING CORP AMENDS YEN LIQUIDITY COMMITMENT.

In Tokyo, Moody's Investors Service confirmed the Prime-1 rating of Arcadia Funding Corporation ("Arcadia") following the execution of an amendment to raise the yen liquidity commitment by The Bank of Tokyo-Mitsubishi, Ltd. ("BTM," rated A2/ Prime-1/ D-).

Consequently, the authorized amount of Arcadia's program has increased from 700 billion yen to 900 billion yen.

Arcadia Funding Corp. is a multiseller, fully supported asset-backed commercial paper ("ABCP") program sponsored by BTM. The program finances yen-denominated assets by issuing ABCP in the Japanese ABCP market only. As of June 30, 2002, outstanding yen ABCP issued by Arcadia was 451.2 billion yen, funding trade and term receivables purchased from 35 sellers.

BARCLAY'S SHEFFIELD ADDS $200 MILLION AUTO LEASE DEAL

Sheffield Receivables Corp., a partially supported, multiseller conduit sponsored by Barclays Bank (Aa1/Prime-1/A-), extended a $200 million uncommitted facility to finance auto leases to an unrated regional automobile finance company. Its parent is investment grade-rated. The transaction's liquidity facility absorbs any residual risk to investors, so that the only risk the investor is taking is the credit risk of a diversified portfolio of lease obligors. Credit enhancement in the deal includes 6.5% in overcollateralization, plus 3.5% in cash reserves. Sheffield has added 10% program credit enhancement to support the asset. Sheffield is currently authorized to issue up to $19.140 billion of ABCP.

SUN TRUST'S THREE PILLARS ADDS $250 MILLION CLASS A VFC FROM CREDIT CARD MASTER TRUST

Three Pillars Funding Corp., Sun Trust Bank's (Aa2/Prime-1/B+) partially supported, multiseller ABCP conduit, has added a $250 million Class A variable funding certificate issued by a private-label credit card master trust. The originator of the credit card receivables is a department store chain with stores located primarily in the southern and mid-western regions of the United States.

A subordinate Class B Investor Certificate provides first loss protection to the Class A VFC. This subordinate certificate must always maintain a principal balance equal at least 17% of the aggregate outstanding principal balances of the Class A and Class B certificates, Also, Three Pillars' program-level credit enhancement was increased by $25.5 million. Liquidity partially supporting the transaction is provided by Prime-1 rated Sun Trust Bank. Three Pillars is now authorized to issue up to $3.46 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.

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

New York
Alexander Dill
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
© 2021 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. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S 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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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 $5,000,000. 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.

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

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