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By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 6, 2004

08 Jul 2004
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED JULY 6, 2004

New York, July 08, 2004 -- MOODY'S RATED THE FOLLOWING ABCP PROGRAMS PRIME-1 DURING THE PERIOD JUNE 30, 2004 THROUGH JULY 6, 2004:

MOODY'S ASSIGNS PRIME-1 RATING TO ABN AMRO'S NORTH SEA FUNDING EUROPE B.V. ABCP PROGRAMME

In London, Moody's has assigned a Prime-1 rating to the asset-backed commercial paper ("ABCP") issued by North Sea Funding Europe B.V. ("NSF Europe"). NSF Europe is a newly established, partially supported, credit arbitrage ABCP programme sponsored by ABN AMRO Bank N.V. (Aa3/Prime-1/B). NSF Europe has an authorised amount of Euro 10 billion.

NSF Europe is comprised of two issuers (North Sea Funding Europe B.V. and North Sea Funding LLC), and a purchasing company. While currently there is only one purchasing company in NSF Europe, additional purchasing companies may be included in the future. North Sea Funding Europe B.V. and the purchasing company are structured as bankruptcy-remote entities incorporated in The Netherlands, while North Sea Funding LLC is structured as a bankruptcy-remote entity incorporated in Delaware.

NSF Europe, with its two issuing entities, may issue ABCP in the U.S. or European market. NSF Europe will use the proceeds from the issuance of ABCP to purchase notes issued by a purchasing company, which will use those funds to purchase rated securities. The securities purchased by NSF Europe must be rated at least A3 by Moody's or the equivalent. As with other credit arbitrage conduits, NSF Europe's investors are not exposed to changes in the market value of the securities. The main risk to investors is a rapid decline in the credit quality of the securities.

NSF Europe also has the ability to issue extendable notes ("ECNs") and floating-rate ABCP. NSF Europe's ECNs have expected maturity dates of up to 185 days and final maturity dates of up to 270 days.

ABN AMRO acts as programme manager (through its Amsterdam office) and as investment manager (through its London office) for NSF Europe. ABN AMRO is experienced and capable in this respect and already acts as manager for nine other ABCP conduits.

For further details, please see Moody's press release dated July 5, 2004. The New Issue Report for NSF Europe is available on Moody's website, http://www.moodys.com.

MOODY'S ASSIGNS PRIME-1 RATING TO IAT'S SUPERLUMINA FUNDING N.A., LLC ABCP PROGRAM

Moody's has assigned a Prime-1 rating to the asset-backed commercial paper ("ABCP") issued by SuperLumina Funding N.A., LLC ("SuperLumina"). SuperLumina is a new multiseller ABCP program sponsored by International Asset Transactions LLC ("IAT"), a privately held New York-based investment firm. SuperLumina is a prior review program with a maximum program size of $12.5 billion. It currently funds no assets and is authorized to issue $0 of ABCP notes.

IAT has established SuperLumina, a Delaware limited liability company, to provide funding for third-party assets from a variety of sellers. The structure of this program is different from the typical multiseller ABCP conduit in that the rated entity, SuperLumina, issues ABCP to fund assets that are actually held by another entity, SuperLumina Assets Ltd., a special purpose vehicle organized under Irish law. IAT will identify and structure assets for purchase by SuperLumina Assets Ltd. The liquidity facility and credit enhancement will be provided at the SuperLumina Assets Ltd level. The assets will be funded by loans from SuperLumina to SuperLumina Assets, Ltd, which will be match-funded to the term of the SuperLumina's ABCP. If for any reason ABCP cannot be issued, SuperLumina Assets Ltd. is required to draw on the liquidity facility and/or any available credit enhancement to repay the loan from SuperLumina. The funds from SuperLumina Assets Ltd. to SuperLumina will in turn be used to repay maturing SuperLumina ABCP.

All assets funded by SuperLumina are subject to Moody's prior review and are required to be rated Aa2 or higher at time of purchase. Additionally, investment guidelines and issuance tests require each asset to have a liquidity backup funding facility equal to the face amount of ABCP issued. The liquidity facility must be provided by a Prime-1-rated entity. Upon a downgrade in the asset's ratings, there is a requirement for an increase in the level of credit enhancement based on a formula reviewed by Moody's to be consistent with a Prime-1 rating. Currently there are no assets funded by SuperLumina.

Deutsche Bank Trust Company Americas ("DBTCA") (A1/Prime-1/C) serves as administrator and collateral agent for both SuperLumina and SuperLumina Asset Ltd., as well as issuing and paying agent and depositary for SuperLumina.

IAT serves as facility agent for both SuperLumina and SuperLumina Asset Limited and origination agent for SuperLumina Asset Limited. As facility agent, IAT performs functions similar to a backup administrator to DBTCA in the operation of the program. As origination agent, IAT structures and recommends assets for funding by the program. IAT, located in New York City, is a privately held investment firm founded in 1988. It is engaged in a variety of activities, including securitization and funds management. IAT also owns an NASD broker/dealer, IATMarkets, which operates an automated trading system.

For further details, please see Moody's press release dated July 5, 2004.

MOODY'S ASSIGNS PRIME-1 RATING TO THORNBURG MORTGAGE CAPITAL RESOURCES LLC SECURED LIQUIDITY NOTE PROGRAM

Moody's has assigned a Prime-1 rating to Thornburg Mortgage Capital Resources, LLC, ("TMCR") a newly established asset-backed commercial paper program sponsored by Thornburg Mortgage, Inc. ("Thornburg," Ba2, negative outlook). TMCR will issue secured liquidity notes and use the proceeds to invest in repurchase agreements collateralized by Agency-backed and Aaa-rated private label adjustable rate mortgage securities. Thornburg will act as program administrator. Deutsche Bank Trust Company Americas ("DBTCA") (A1/Prime-1/C) will act as collateral agent and issuing and paying agent. TMCR is authorized to issue up to $5 billion of extendible ABCP.

TMCR has been established to fund a portion of Thornburg's portfolio of Agency-backed and private label mortgage-backed securities. Thornburg's portfolio is currently largely funded through repurchase commitments with commercial banks, investment banks, and other financial firms.

Thornburg is the administrator of TMCR. Moody's is familiar with Thornburg from reviewing the company's term mortgage securitizations and believes that Thornburg is capable of managing TMCR in a manner consistent with the Prime-1 rating assigned to the program. Operationally, TMCR is very similar to the funding vehicles that Thornburg currently manages through repurchase agreements with other parties.

Thornburg has a Moody's senior unsecured corporate rating of Ba2 (negative outlook), which is lower than the typical commercial bank program administrator. In order to mitigate the potential for operational risk, DBTCA, as the collateral agent, has agreed to provide additional services not normally provided by a collateral agent with respect to reviewing the eligibility of the collateral and with respect to the sale of the securities if required after a program default.

Thornburg, founded in 1993, is a single-family residential mortgage lender that originates, acquires and retains investments in adjustable and variable rate mortgage assets. Thornburg is organized as an externally advised REIT, and is managed under a management agreement with Thornburg Mortgage Advisory Corporation, both based in Santa Fe, New Mexico.

For further details, please see Moody's press release dated July 5, 2004.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD JUNE 30, 2004 THROUGH JULY 6, 2004:

DZ BANK'S AUTOBAHN ADDS $75 MILLION REVOLVING LOAN FACILITY

Autobahn Funding Company LLC ("Autobahn"), a partially supported, multiseller conduit administered by DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN ("DZ Bank") (A2/Prime-1/C-), has added a $75 million revolving loan facility. The seller of the facility is an unrated company that originates and purchases asset-based loans secured by accounts receivable, inventory, machinery, equipment, real estate and other tangible collateral. The company also originates asset-based loans to automobile rental agencies, which are secured by a first priority interest and title in the underlying automobiles. This transaction is fully supported through a liquidity facility provided by DZ Bank.

Autobahn is currently authorized to issue up to $2 billion of ABCP.

WESTLB'S COMPASS SECURITISATION ADDS EURO 100 MILLION AUTO LEASE TRANSACTION

Compass Securitisation Limited and Compass Securitization LLC (together, "Compass Securitisation"), a partially supported, multi-seller ABCP conduit administered by WestLB AG (Aa2/Prime-1/E), has added a Euro-denominated 100 million auto lease facility to its portfolio. This transaction is to finance auto lease installments. The residual values are not included in this facility.

Compass Securitisation Limited ("Compass Ireland") and Compass Securitization LLC ("Compass US") are co-issuers of Compass Securitisation. Compass Ireland issues ABCP in the European market, while Compass US issues in the U.S. market.

In this transaction, Compass Securitisation makes advances under a funding agreement to a purchasing company, Compass Variety Funding Limited, which finances leases on a revolving basis. The leases are originated by two wholly owned subsidiaries of German-based auto distributors.

Transaction-specific credit enhancement is provided through a combination of excess spread, a cash reserve, and program-level credit enhancement. The program-level credit enhancement is in the form of a surety bond provided by AMBAC. In addition, the transaction benefits from a minimum level of credit enhancement, and various default and delinquency trigger events that would result in amortisation of the facility. A liquidity facility, provided by WestLB, partially supports this transaction.

Compass Securitisation is authorised to issue approximately $12 billion of ABCP.

CALYON'S LMA ADDS EURO 250 MILLION OF FCC UNITS BACKED BY TRUCK LEASES

LMA S.A. ("LMA," also known as Liquidites de Marche) has added Euro 250 million of FCC units (French ABS) backed by a portfolio of truck leases. LMA is a fully supported, multiseller ABCP program sponsored and administered by CALYON (Aa2/Prime-1/C). LMA uses the proceeds of its Billets de Tresorerie and Euro commercial paper ("Euro ABCP") to fund the purchase of FCC units, asset-backed securities and bonds issued by French and U.S. corporate entities.

The Prime-1 rating assigned to LMA's Billets de Tresorerie and Euro ABCP is based primarily on: (i) the full liquidity support provided by Prime-1-rated banks through transaction-specific purchase and sale agreements, which allows for timely repayment of maturing Billets de Tresorerie and Euro ABCP, (ii) the integrity of the conduit's structure, and (iii) the operational ability of CALYON as the program administrator. Currently, LMA's liquidity facility is provided by a syndicate of seven Prime-1-rated banks.

LMA is authorized to issue up to Euro 4.77 billion, $190 million and GBP 70 million of ABCP.

For a more detailed description of these ABCP programs, see Moody's website at http://www.moodys.com.

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

New York
Wanda Lee
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

No Related Data.
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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 rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS 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.”

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