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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED JUNE 21, 2001:

22 Jun 2001
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDED JUNE 21, 2001: New York, June 22, 2001 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE SEVEN DAY PERIOD ENDED JUNE 21, 2001:

RESIDENTIAL MORTGAGE WAREHOUSE FINANCE FACILITY FINANCED BY NINE ABCP PROGRAMS IS INCREASED AND AMENDED
A club deal which provides financing to an unrated company in the mortgage lending business has been amended and increased from $4.3 billion to $5.338 billion. The borrower has an investment grade-rated parent. The facility is a co-purchase arrangement among nine ABCP programs: ABN Amro's Amsterdam Funding Corp. and Windmill Funding Corp., CIBC's Asset Securitization Cooperative Corp. (ASCC), Societe Generale's Barton Capital Corp, West LB's Compass Securitization LLC and Paradigm Funding Corp., Bank One's Falcon Asset Securitization Corp.and Preferred Receivables Funding Corp. (PREFCO), and Barclay's' Sheffield Receivables Corp. Sheffield's commitment is $1.813 billion, Barton's $.7 billion, Amsterdam and Windmill's $.8 billion, Prefco and Falcon $.725 billion, Compass' $500 million, ASCC $.7 billion, and Paradigm's, $300 million.

The facility is used to finance two lines of the company's business. The first involves short-term lending to mortgage bankers, in which the advances to the mortgage bankers are secured by recently originated mortgage loans. The second line of business for the company is the securitization of mortgage loans it purchases directly from loan originators in the whole loan market. The amendments, which have been reviewed by Moody's, affect concentration limits in the mortgage banker part of the facility only. No changes were made with respect to the other direct loan purchase part of the transaction.

AESOP FUNDING CORP. RENEWS LIQUIDITY COMMITMENTS
AESOP Funding Corp., the single-seller rental car-backed ABCP program, has renewed its liquidity commitments for one year. The program has $450 million of liquidity provided by a syndicate of Prime-1 rated banks agented by Chase Manhattan Bank and a letter of credit in the amount of $53,750,000 provided by HypoVereinsbank. The program is authorized to issue up to $500 million of ABCP.

RABOBANK'S ATLANTIS ONE FUNDING CORP AND ATLANTIS TWO FUNDING CORP REPLACES PARTICIPATION AGREEMENTS WITH CREDIT DEFAULT SWAPS
In London, Moody's confirmed the Prime-1 and Prime-2 ratings of Atlantis One Funding Corp.(Atlantis One) and Atlantis Two Funding Corp. (Atlantis Two), respectively, following the restructuring of these ABCP programs. The asset analysis and monitoring responsibilities in respect of the underlying loan portfolio are undertaken by Rabobank in its role as Portfolio Advisor. Rabobank is also program administrator.

Under the original Atlantis structure, two special purpose purchasing vehicles (the Atlantis Finance Companies) purchased interests in certain commercial loans (the Loans) from Rabobank pursuant to Participation Agreements. The Atlantis Finance Companies issued CLO Notes (backed by the Loans) to further intermediary special purpose vehicles (the Intermediary Companies) which, in turn, were financed by Atlantis One and Atlantis Two (together the Issuing Companies). The Intermediary Companies had the benefit of certain liquidity facilities provided by Rabobank, which were available to repay ABCP.

Pursuant to the restructuring of the programs, the Participation Agreements have been terminated and replaced by credit default swaps. Each Atlantis Finance Company is a credit protection seller, with Rabobank as credit protection buyer. The reference obligations under the credit default swaps are subject to the same eligibility criteria as applied to the Participation Agreements, and the initial portfolio of reference obligations comprises the same Loans which were securitized immediately before the restructuring took effect.

Under the new structure, the Intermediary Companies are no longer required as the ABCP proceeds are advanced by the issuing companies directly to the Atlantis Finance Companies pursuant to loan agreements. Such proceeds are deposited in certain accounts (the Collateral Accounts) held with Rabobank Netherlands and are available as collateral in respect of the credit default swaps. The Collateral Accounts are also available for the purpose of repaying ABCP and thereby provide 100% liquidity support. The separate liquidity loan facilities previously provided by Rabobank are therefore no longer required and have been terminated.

The swaps assume a recovery rate of 50% in respect of any defaulted loans. Therefore, on each occasion that a loan becomes defaulted, an amount equal to 50% of such loan will be transferred from the Collateral Accounts in order to make a credit protection payment.

Subordination is provided by way of a 2% loss threshold which must be reduced to zero before any amount becomes payable to Rabobank under the credit default swaps. Furthermore, the proceeds of Prime-2 ABCP issued by Atlantis Two provide additional subordination for Prime-1 Atlantis One investors.

For further details, please see Moody's press release dated June 19, 2001.

BUDGET FUNDING CORP. RENEWS LETTER OF CREDIT AND LIQUIDITY COMMITMENTS
Budget Funding Corp., a single seller rental car ABCP program, has renewed its letter of credit and liquidity commitments for the coming year. Liquidity commitments, provided by a syndicate of Prime-1 rated banks agented by Deutsche Bank, currently amount to $400 million. The letter of credit issued by Credit Suisse First Boston, has a stated amount of $85 million. Budget is now authorized to issue up to $485 million of ABCP.

GECC'S EDISON ADDS A SECOND CLOSED-END MUTUAL FUND LOAN TO ITS PORTFOLIO
Edison Asset Securitization, LLC, a GECC-sponsored and administered ABCP program, added a $100 million facility backed by collateral which is part of a closed-end mutual fund. The majority of the assets in the fund consist of high yield senior secured corporate loans. The transaction is fully supported through a liquidity facility provided by Prime-1-rated GECC. Program credit enhancement has been increased by 5% of the outstanding ABCP for this deal. Edison is now authorized to issue up to $28.004 billion.

BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING PURCHASES A £150 MILLION INTEREST IN A UK STERLING-DENOMINATED POOL OF TRADE RECEIVABLES
Giro Balanced Funding Corp.(GBFC), Bayerische Landesbank's partially supported, multiseller ABCP conduit, purchased a £150 million interest in a £400 million trade receivables transaction from an unrated UK-based home shopping/retailing entity. GBFC is one of two co-purchasers in this deal that originally closed in August 2000. Transaction-specific credit enhancement of 25.6% is in the form of overcollateralization. At the same time, program-level credit enhancement was increased by 10%. Giro Balanced Funding is now authorized to issue up to $1.45 billion of ABCP and has $324 million in program credit enhancement.

FORTIS' SCALDIS CAPITAL LIMITED FUNDS $55 MILLION SHIP CONSTRUCTION AND LEASE DEAL
Fortis Bank's Scaldis Capital added a $55 million loan for construction and leasing of container ships. Repayment of this junior tranche in a $175 million facility is guaranteed by an insurance policy from a highly-rated multi-line insurer. However, repayment of Scaldis' ABCP is covered by a liquidity facility from Fortis (USA) Finance LLC which fully supports the transaction. The only out to liquidity funding is the insolvency of either Scaldis or the insurer. Scaldis currently funds $1.027 billion of term and trade receivables transactions, and is authorized to issue additional ABCP for securities purchases, up to $8 billion in total.

ABN AMRO'S TULIP ADDS $25 MILLION PORTFOLIO OF TRADE RECEIVABLES
Tulip Funding Corp., the fully supported, multiseller ABCP conduit administered by ABN AMRO Bank N.V. (ABN AMRO), this week financed a $25 million portfolio of trade receivables originated by a UK tire manufacturer. Tulip's ABCP is supported by way of liquidity for 90% of the transaction and a standby letter of credit for 10% of the deal, provided by Prime-1 rated ABN AMRO. The LOC serves as both liquidity and credit enhancement. The authorized issuance amount for Tulip is now approximately $7 billion.

DEUTSCHE BANK'S TWIN TOWERS PURCHASES A $178.5 MILLION ACROSS THREE CLASSES OF A PREMIUM FINANCE LOAN MASTER TRUST
Twin Towers Inc., a partially supported multiseller conduit sponsored by Deutsche Bank AG, purchased a Class A ($148.5 million), Class B ($12 million) and collateral interest amount (CIA) ($18 million) from a new series of a premium finance loan master trust. As with term certificates being issued simultaneously, all three classes are explicitly rated -- Class A, Aaa, Class B, Aa3 and CIA, Baa2. The asset-backed and term certificates are backed by insurance premium loans from a wholly-owned subsidiary of a Aa3-rated financial institution. Twin Towers' ABCP tenor for the Class B and CIA pieces is limited to a maximum of 30 days, and these pieces must be removed from Twin Towers should certain performance triggers be violated. Twin Towers will increase its program-level credit enhancement by 8% of the amount of the Class B and CIA transaction. However, for the Class A purchase, with its Aaa rating, no additional program-level credit enhancement will be required and no liquidity triggers are in place.

Twin Towers may now issue up to $7.5 billion of ABCP. The conduit has about $2.91 billion in outstanding ABCP with $243.4 million in program-level credit enhancement.

UNIBANK'S VIKING ACQUIRES $42 MILLION PORTFOLIO OF ASSET- BACKED SECURITIES
Viking Asset Securitisation Limited, the multiseller ABCP conduit administered by Unibank A/S, has financed a $42 million portfolio of Aaa- rated securities backed by a portfolio of U.S. dollar-denominated debt obligations.

Liquidity funds against the outstanding principal of the purchased bonds, less any amount of interest or principal which is not paid when due under the terms and conditions of the bonds. Viking has entered into a swap agreement with Unibank under which Viking pays an amount equal to interest earned on the bonds and Unibank pays an amount equal to ABCP funding costs and associated expenses. Due to the Aaa rating of the purchased bonds, no additional program credit enhancement has been added for this transaction.

Viking is now authorized to issue up to $272 million 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.
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.

MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR  PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT.

MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

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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