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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 13, 2001:

14 Dec 2001

New York, December 14, 2001 -- MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 13, 2001:

MOODY'S RATED THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAM PRIME-1 DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 13, 2001:

MOODY'S ASSIGNS PRIME-1 RATING TO HVB'S HARP LLC

Moody's Investors Service has assigned a Prime-1 rating to the asset-backed commercial paper notes (ABCP) issued by Hudson-American Realty Protection LLC ("Harp"), a $2 billion fully supported program sponsored by Bayerische Hypo- und Vereinsbank AG ("HVB") (Aa3/Prime-1/B).

Harp has been established to act as swap counterparty on a credit default swap with HVB. In its normal course of business, HVB finances a revolving pool of commercial real estate mortgages ("reference assets") to its banking clients. Moody's has reviewed the initial pool of reference assets and will also periodically review the performance of these assets as well as that of any additional mortgages added to the pool.

Moody's Prime-1 rating for the ABCP is based on full liquidity support and credit enhancement provided by a combination of a liquidity facility from HVB, certain maturity- matched high quality investments and premium payments made through the credit default swap, credit enhancement in the from of unrated subordinated medium-term notes issued by Harp for the greater of 27% of the total program size and $250 million, and an insurance policy provided by Aaa-rated MBIA. Other strengths of Harp include the capability and experience of HVB in its role as the administrative agent and Harp's bankruptcy-remoteness. Moody's believes that HVB is a capable and experienced administrator for asset-backed commercial paper programs.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE SEVEN-DAY PERIOD ENDED DECEMBER 13, 2001:

BANK ONE'S MULTISELLER, POST-REVIEW ABCP CONDUITS INCREASE PROGRAM SIZE

Falcon Asset Securitization Corp., Preferred Receivables Funding Corp (PREFCO) and Jupiter Securitization Corp., each a post-review, partially supported, multiseller ABCP conduit sponsored by Bank One, have all increased their respective authorized issuance amounts. Falcon is now authorized to issue up to $23 billion, up from $17.5 billion, PREFCO may issue up to $20 billion, up from $15 billion, and Jupiter may issue up to $17 billion of ABCP, up from $15 billion.

Program-level credit enhancement, which is in the form of an AMBAC surety and a subordinated loan provided by Bank One, was increased for each conduit according to its individual program requirements.

CREDIT LYONNAIS' ATLANTIC ADDS $125 MILLION TRADE RECEIVABLES DEAL

Atlantic Asset Securitization Corp., Credit Lyonnais' partially supported, multiseller conduit, added a $125 million transaction backed by trade receivables originated by a major packaging products manufacturer with a low investment grade rating by Moody's. Obligor concentration risk is minor since the originator's business is highly diversified, both by obligor size and geographical location. Investors are protected by a minimum of 12% deal-specific credit enhancement that is reset each month based on multiples of certain pool performance ratios and a liquidity commitment that absorbs all risks relating to the receivables other than defaulted receivables. In addition, investors benefit from program-wide credit enhancement equal to 10% of the authorized amount of this facility. Atlantic is now authorized to issue up to $3.6 billion of ABCP.

HVB'S BLACK FOREST ADDS $230.3 MILLION SYNTHETIC LEASE TRANSACTION

Black Forest Funding Corp., Bayerische Hypo-und Vereinsbank's partially supported, multiseller ABCP conduit, funded a $230.3 million, fully supported synthetic lease transaction. The lessee is an investment-grade-rated oil company. Black Forest supported this transaction with an increase to program level credit enhancement sized to cover the face amount of commercial paper notes issued to fund this deal. Black Forest is now authorized to issue approximately $2.7 billion of ABCP.

STATE STREET'S CLIPPER RECEIVABLES CORPORATION PURCHASES $85 MILLION MUNICIPAL BOND

Clipper Receivables Corp., a partially supported, multiseller ABCP program sponsored by State Street Bank and Trust Co., purchased a $85 million municipal bond. The security is fully supported through an increase to a program-level letter of credit. No program-level credit enhancement was added for this deal. Clipper is now authorized to issue up to $3.04 billion of ABCP.

COMMERZBANK'S FOUR WINDS PURCHASES $500 MILLION INTEREST IN AUTO RECEIVABLES

Four Winds Funding Corp., a partially supported, multiseller ABCP program sponsored by Commerzbank AG, purchased a $500 million interest in receivables originated by an automobile manufacturer. This deal is fully supported through liquidity. Four Winds is authorized to issue up to $7.5 billion of ABCP.

STATE STREET'S GALLEON PURCHASES GBP16 MILLION OF CERTIFICATES BACKED BY CREDIT CARD RECEIVABLES, EURO 12 MILLION OF SECURITIES BACKED BY NETHERLAND MORTGAGE LOANS AND $70 MILLION OF CERTIFICATES BACKED BY CONSUMER AUTO LOANS

Galleon Capital Corp. is a partially supported, multiseller ABCP program sponsored by State Street Bank and Trust Co. Under its British Pound Global Liquidity Asset Purchase Agreement, Galleon purchased a GBP16 million interest in certificates backed by credit card receivables. Moody's rates these certificates A1. No incremental program credit enhancement is being added for this asset.

Galleon purchased two classes of securities backed by Netherland mortgage loans. The first class, a class in the amount of Euro 32 million, is rated Aaa. Moody's rates the second class, amounting to Euro 12 million, A1. Both classes are fully supported through an increase to a program-level letter of credit.

Under its Global Liquidity Purchase Agreement, Galleon also purchased two classes of securities backed by consumer auto loans, aggregating $70 million. Both classes are rated Aaa by Moody's. No incremental program credit enhancement is being added for these assets. Galleon may now issue up to $2.01 billion of ABCP.

DEUTSCHE BANK'S GEMINI SECURITIZATION INCREASES INTEREST IN CLASS A NOTE TO $324.25 MILLION

Gemini Securitization Corp., (formerly Twin Towers Inc.), a partially-supported, multi-seller conduit sponsored by Deutsche Bank AG, increased its holding in Class A notes from a credit card master note trust from an established issuer that offers MasterCard and Visa credit cards. The Class A Note is rated Aaa. In addition to Gemini's investment increase, the deal was amended to include additional payout events, such as a servicer ratings trigger and new performance related triggers. Gemini may now issue up to $7.5 billion of ABCP.

THE BANK OF NOVA SCOTIA' S LIBERTY STREET ADDS $108 MILLION FULLY SUPPORTED LEASE DEAL

Liberty Street Funding Corp., The Bank of Nova Scotia's partially supported, multiseller ABCP conduit, will purchase a $108 million synthetic lease fully supported by liquidity. This is part of a $1.3 billion transaction representing a co-purchase with several other conduits. Liquidity also fronts for an AMBAC surety bond, which covers the credit risk on the underlying transaction. With the addition of this facility, Liberty Street is now authorized to issue up to $6.3 billion of ABCP.

MONTAUK ADDS THREE "C" PIECE CREDIT CARD TRANSACTIONS

Montauk Funding Corp., a limited post-review, partially supported, multiseller ABCP conduit administered by Westdeutsche Landesbank Girozentrale, purchased three "C" class pieces of floating rate asset-backed notes backed by credit card receivables. Montauk's first two purchases of Class "C" tranches, each in the amount of $10 million interests, are supported by subordination of the security's "D" class. Montauk's third "C-piece" purchase amounts to $18.6 million and is supported by 11.98% of pool-specific credit enhancement. In addition to this transaction- specific enhancement, each transaction is supported by program-level credit enhancement, in the form of a surety bond provided by Aaa-rated FGIC. The bond is currently at its floor of $400 million.

Montauk now funds a total of 31 "C" class asset interests totaling $1.5 billion, and is authorized to issue up to approximately $10 billion of ABCP.

ING's MONT BLANC PURCHASES $50 MILLION NOTE WRAPPED BY MBIA

Mont Blanc Capital Corp., ING Bank N.V.'s partially supported, multiseller ABCP conduit, added a $50 million lease-backed note wrapped by Aaa-rated MBIA. The issuer is an unrated rail car leasing company. The transaction is fully supported by liquidity provided by ING Bank (Aa2/Prime-1). Mont Blanc currently has approximately $7.3 billion in outstanding ABCP.

NATIONAL CITY'S NORTH COAST ADDS $100 MILLION POST- REVIEW CAPABILITY

North Coast Funding LLC, National City Bank's partially supported, multiseller ABCP conduit, may now enter into $100 million of commitments to finance unrated companies involved in equipment leasing without prior review by Moody's. These companies may borrow amounts up to $5 or $10 million each from North Coast on a post-review basis, up to a total of $100 million. This post-review capability is based on full liquidity support provided by National City Bank (Aa2/Prime-1). Each transaction, when added, will also benefit from a 10% incremental increase in the program letter of credit.

North Coast is now authorized to issue up to $ 4.5 billion of ABCP.

GECC'S REDWOOD RECEIVABLES ADDS $150 MILLION TRADE RECEIVABLES POOL

Redwood Receivables Corp. is a GECC sponsored and administered, partially supported multiseller ABCP program. Redwood added a $150 million, 5-year revolving trade receivables facility backed by receivables generated from the prescription benefit services of a non-investment grade-rated health service manager and provider. Pool-specific credit enhancement, in the form of dynamic asset overcollateralization, is equal to a minimum of 15% of the eligible receivables. The program-level letter of credit will also increase by at least 5% of outstandings and will fluctuate, depending on portfolio performance, to a maximum of 15% of outstandings. With the addition of this asset pool, Redwood is now authorized to issue up to $2.39 billion of ABCP.

BARCLAYS' SHEFFIELD ADDS $650 MILLION AUTO LOAN DEAL

Sheffield Receivables Corp., Barclays Bank PLC's partially supported, multiseller trade and term receivables program, added a $650 million purchase of notes collateralized by an amortizing pool of auto loans originated by an unrated automobile finance company. The transaction is supported by 18% overcollateralization and a reserve account set at a minimum of 2% of the transaction. Sheffield will add $65 million in program credit enhancement for this transaction. Sheffield may now issue up to $19.029 billion of ABCP.

SUN TRUST'S THREE PILLARS ADDS $15 MILLION LOAN RECEIVABLES PURCHASE FACILITY

Three Pillars Funding Corp., Sun Trust Bank's partially supported, multiseller ABCP conduit, added a $15 million fully supported revolving loan receivables transaction. The seller is a consumer finance company that originates short-term loans, collateralized by individuals' automobiles. The obligors are mostly subprime quality borrowers. Liquidity, provided by Prime-1 rated SunTrust Bank, fully supports this transaction. Three Pillars is authorized to issue up to $3.045 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 J. Hanson
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 DECEMBER 13, 2001:
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.

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