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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 10, 2004

12 Aug 2004
MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED AUGUST 10, 2004

New York, August 12, 2004 -- MOODY'S PUBLISHES EMEA ABCP MARKET UPDATE

Moody's Investors Service has published its Europe/Middle East/Africa ("EMEA") ABCP market update report, "EMEA ABCP Market Update: Recent Seller Additions and New Conduits." The special report comments on the state of the EMEA ABCP market for the first half of 2004.

According to the report, the EMEA ABCP market showed a decrease of 1% in ABCP outstandings at the end of second quarter 2004. This slight decrease in volume was mainly due to the decline in the ABS volume financed through EMEA conduits, which is due to tight spreads on Aaa-rated ABS and increased competition for Aaa-rated ABS among CDO securitizations, structured investment vehicles, and credit arbitrage conduits.

The "EMEA ABCP Market Update: Recent Seller Additions and New Conduits," Special Report is available on Moody's website, http://www.moodys.com.

MOODY'S RATES SENIOR CLASS OF SIERRA MADRE FUNDING CDO PRIME-1

Moody's has assigned ratings to seven classes of notes issued by Sierra Madre Funding, Ltd. The ratings assigned to the respective tranches are as follows: (i) Prime-1 rating to the $945,000,000 CP Notes, (ii) Aaa to the $400,000,000 Class A-1LT-a Floating Rate Notes Due 2039, (iii) Aaa to the $57,500,000 Class A-2 Floating Rate Notes Due 2039, (iv) Aa2 to the $40,500,000 Class B Floating Rate Notes Due 2039, (v) A3 to the $24,000,000 Class C Floating Rate Notes Due 2039, (vi) Baa2 to the $15,000,000 Class D Floating Rate Notes Due 2039, and (vii) Ba1 to the $18,000,000 Class E Shares.

Moody's ratings on this cash flow ABS CDO reflect the credit quality of the underlying assets, which consist primarily of structured finance securities, as well as the credit enhancement for the notes inherent in the capital structure and the transaction's legal structure.

The Prime-1 rating assigned to the CP Notes addresses the timely payment of the principal and interest of the notes within three business days from the due date. Sources of payment include cash payments received from the underlying assets, or cash paid by Prime-1-rated Societe Generale under the terms of a put option.

Western Asset Management Company is the collateral manager for the transaction.

For further details, please see Moody's press release dated July 30, 2004.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD AUGUST 4, 2004 THROUGH AUGUST 10, 2004:

WESTLB'S COMPASS SECURITISATION AND DRESDNER BANK'S SILVER TOWER ACQUIRE INTERESTS IN EURO 175 MILLION LEASE FACILITY

Compass Securitisation Limited and Compass Securitization LLC (together, "Compass Securitisation") have joined with Silver Tower Funding Limited/Silver Tower US Funding LLC ("Silver Tower") in financing a Euro-denominated 175 million lease facility. Compass Securitisation, a partially supported, multiseller ABCP conduit administered by WestLB AG (Aa2/Prime-1/D-), has acquired a Euro 100 million interest. Silver Tower, a partially supported, multiseller ABCP conduit administered by Dresdner Bank AG (A1/Prime-1/C-) has acquired a Euro 75 million interest. This facility finances auto and equipment lease installments. The residual values are not included.

In this transaction, Compass Securitisation and Silver Tower make advances under funding agreements to their respective purchasing companies, which finance leases on a revolving basis. The leases are originated by a German leasing company.

Transaction-specific credit enhancement is provided through a combination of excess spread and a cash reserve. Furthermore, the transaction benefits from additional structural protections provided in each conduit.

With this transaction, Compass Securitisation will increase its programme-level credit enhancement, which is in the form of a surety bond provided by Ambac. Additionally, the transaction has a minimum level of credit enhancement, and various default and delinquency trigger events that would result in amortisation of the facility.

Silver Tower does not have any programme-level credit enhancement. In Silver Tower, the transaction benefits from default and delinquency trigger events. The occurrence of such trigger events would result in the cessation of ABCP issuance followed by an immediate put to the liquidity facility.

Liquidity facilities provided by WestLB and Dresdner Bank partially support this transaction.

Compass Securitisation is authorised to issue approximately $15 billion of ABCP and Silver Tower is authorized to issue up to Euro 15 billion of ABCP.

CDC'S EIFFEL FUNDING ADDS NEW PURCHASING SUBSIDIARY AND ACQUIRES INTERESTS IN THREE Aaa-RATED NOTES

Eiffel Funding LLC ("Eiffel Funding"), a partially supported multiseller conduit sponsored and administered by CDC Financial Products (Aaa/Prime-1) has added a new purchasing subsidiary, Eiffel Euro Funding, Ltd., to its program and acquired interests in three Aaa-rated notes.

Eiffel Euro Funding, Ltd. ("Eiffel Euro"), a limited purpose corporation organized under Cayman law, is a newly created purchasing subsidiary of Eiffel Funding. Eiffel Funding is the sole owner of Eiffel Euro. Eiffel Euro was created to purchase Euro-denominated assets from clients of CDC and to finance the purchase of assets through a loan agreement from Eiffel Funding or through liquidity facilities. Eiffel Funding will fund the loans to Eiffel Euro through the issuance of Euro-denominated ABCP in the Euro market or the U.S. market. If Eiffel Funding issues U.S. dollar-denominated ABCP to finance loans to Eiffel Euro, a foreign exchange hedge will be required to mitigate currency risk. A liquidity facility, denominated in Euros, is available at the Eiffel Euro level as well as the Eiffel Funding level. Maples Finance Ltd. will perform the role of administrator for Eiffel Euro and will rely on CDC, as sub-agent, to provide most of the administrative functions. CDC's duties will include ensuring the proper management of Eiffel Euro and maintaining its bankruptcy-remote structure.

Along with the addition of Eiffel Euro, Eiffel Funding has acquired interests in three Aaa-rated notes. The first transaction is a $140 million interest in a Aaa-rated Class A-2 note issued from a CDO structure. The underlying assets are primarily U.S. loans, which consist of a mix of middle market, primarily senior secured, leveraged loans. The $140 million note is supported by a surety bond provided by Aaa-rated MBIA. A liquidity facility provided by CDC will fund for maturing ABCP as long as there is no payment default on the underlying note and as long as MBIA has not defaulted on its payment obligations. Eiffel Funding's program-level credit enhancement was increased by 5% of outstandings.

The second transaction is a $75 million interest in a Aaa-rated Class A-2 note issued from a CDO structure. The underlying assets are primarily U.S. loans, which consist of a mix of middle market, mostly senior secured, leveraged loans. Similar to the first transaction, the $75 million note is supported by a surety bond provided by Aaa-rated MBIA. A liquidity facility provided by CDC will fund for maturing ABCP as long as there is no payment default on the underlying note and as long as MBIA has not defaulted on its payment obligations. With this transaction, Eiffel Funding's program-level credit enhancement was increased by 5% of outstandings.

The third transaction is a Euro 75 million interest in a Aaa-rated variable funding note ("VFN"), which was purchased by Eiffel Euro, Eiffel Funding's subsidiary. Like the first two transactions, the Aaa-rated VFN is issued from a CDO structure. The underlying assets consist of European leveraged loans and mezzanine loans denominated in both Euro and Sterling. Eiffel Funding will issue Euro ABCP and use the proceeds to provide a loan to Eiffel Euro. This transaction benefits from two liquidity facilities - one at the Eiffel Euro level and the other at the Eiffel Funding level. Both liquidity facilities are sized at 102% of the transaction, or Euro 76.5 million. Eiffel Euro's liquidity facility will be available to: (i) purchase new notes if Eiffel Funding is unable to make a loan to Eiffel Euro, or (ii) repay outstanding loans to Eiffel Funding. Eiffel Euro's liquidity facility will not fund if the principal and interest payments on the note are not paid when due or if the rating of the VFN is downgraded below Caa3. Eiffel Funding's liquidity facility will be available to: (i) fund for maturing ABCP, or (ii) fund new loans to Eiffel Euro. Eiffel Funding's liquidity facility will not fund if the principal and interest payments on the note are not paid when due or if the rating of the VFN is downgraded below Caa3. With this transaction, Eiffel Funding's program-level credit enhancement will increase by 5% of outstandings.

Eiffel Funding is now authorized to issue approximately $7 billion of ABCP.

GEORGETOWN FUNDING INCREASES PROGRAM SIZE TO $12 Billion

Georgetown Funding Company, LLC ("Georgetown"), a partially supported, single-seller securities program sponsored by Friedman Billings Ramsey Group, Inc., has increased its authorized program size from $5 billion to $12 billion. Georgetown finances agency-backed hybrid adjustable rate mortgage-backed securities ("hybrid ARMS") through the issuance of extendible ABCP in the form of Extendible Commercial Notes ("ECNs"). The conduit funds the securities through a repurchase agreement with the seller. Liquidity is provided by issuing ECNs that are match-funded to the scheduled maturity of the repurchase agreement, with the ability to extend the maturity of the ECNs and sell the collateral during the extension period. All of the financed securities are of Aaa-equivalent credit quality by virtue of guarantees supplied by Fannie Mae, Freddie Mac or Ginnie Mae. Credit enhancement for the market value risk, upon the sale of the hybrid ARMS, is provided in the form of overcollateralization at levels determined by Moody's to be consistent with a Prime-1 rating.

The larger program size means that more securities would have to be sold if the program were to be wound down. In order to mitigate the potential for constrained liquidity in the market for hybrid ARMS, Georgetown increased the extension period from 10 days to 20 days to allow more time to conduct the sale of securities and increased the credit enhancement levels to accommodate greater price volatility. While the extension period has been increased, the maximum initial maturity of the ECNs has been reduced from 250 to 240 days, so that all notes issued by Georgetown will have a legal final maturity of 260 days or less.

Georgetown is now authorized to issue up to $12 billion of ECNs.

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.
© 2019 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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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.”

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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