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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN-DAY PERIOD ENDED DECEMBER 20, 2004

22 Dec 2004

New York, December 22, 2004 -- THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE AFFIRMED BY MOODY'S AT PRIME-1 DURING THE PERIOD DECEMBER 14, 2004 THROUGH DECEMBER 20, 2004:

FIVE CONDUITS ENTER INTO $1 BILLION TAX REFUND ANTICIPATION LOAN FACILITY

Five conduits have co-purchased a $1 billion loan facility backed by tax refund anticipation loans originated by an unrated state-chartered bank. Tax refund anticipation loans are short-term loans based on the taxpayer's anticipated tax refund from the U.S. Treasury's Internal Revenue Service.

The following Prime-1-rated ABCP conduits participated in this transaction:

• ABN AMRO's Windmill Funding Corp. acquired a $350 million commitment with an 8% increase to its program-level credit enhancement.

• Bayerische Landesbank's Giro Balanced Funding Corp. added a $130 million commitment.

• Calyon's Atlantic Asset Securitization Corp. added a $130 million commitment with a 10% increase to its program-level credit enhancement.

• Bayerische Hypo -und Vereinsbank's Black Forest Funding Corp. added a $130 million commitment.

• WestLB's Paradigm Funding LLC acquired a $130 million commitment.

This transaction was either fully supported by a liquidity facility sized at 102% of the conduit's commitment or by the conduit's program-level credit enhancement.

BTM'S ARCADIA AMENDS PROGRAM STRUCTURE

Moody's has affirmed the Prime-1 rating of Arcadia Funding Corp.'s ("Arcadia") ABCP, following the program amendment that allows for the issuance of paperless securities ("Paperless CP"). Arcadia is a fully supported, multiseller Japanese Yen ABCP program administered by The Bank of Tokyo-Mitsubishi, Ltd. ("BTM", rated A1/Prime-1/D-). Arcadia issues only yen-denominated ABCP in the Japanese market. The proceeds from the issuance of ABCP are used to purchase primarily yen-denominated trade receivables, promissory notes, and loan receivables or beneficial interests backed by assets from various sellers.

With this amendment, Arcadia now has the ability to issue Paperless CP as well as ABCP in the form of promissory notes. Such paperless issuance is common in U.S.-based ABCP programs.

For further details, please see Moody's press release dated December 19, 2004.

DZ BANK'S AUTOBAHN ADDS $200 MILLION HOME EQUITY LOAN FACILITY

Autobahn Funding Company LLC ("Autobahn"), a partially supported, multiseller conduit administered by DZ Bank Deutsche Zentral-Genossenschaftsbank Frankfurt AM MAIN ("DZ Bank", rated A2/Prime-1/C-), has acquired a $200 million interest in a revolving senior warehouse facility. The seller is a specialty finance company that provides financing to correspondent banks that originate residential, conforming and nonconforming, home equity loans.

This transaction is fully supported through a liquidity facility provided by DZ Bank. Autobahn is currently authorized to issue up to $2.2 billion of ABCP.

DEUTSCHE BANK'S GEMINI PURCHASES NANTUCKET ABCP BACKED BY TWO FACILITIES TOTALING $475 MILLION AND ADDS SEDONA ABCP BACKED BY $500 MILLION MORTGAGE FACILITY

Gemini Securitization Corp., LLC, ("Gemini"), a partially supported, multiseller conduit sponsored by Deutsche Bank AG (Aa3/Prime-1/B-), has purchased ABCP from its sister conduit, Nantucket Funding Corp., LLC ("Nantucket"). The Nantucket ABCP is backed by two facilities: (i) a $200 million share in an $800 million co-purchase real estate construction receivable facility and (ii) a $275 million share of a $550 million co-purchase student loan facility.

Transaction-specific credit enhancement in the real estate construction facility is in the form of overcollateralization and excess spread. In addition, the transaction benefits from an ABCP tenor limitation, which varies between 60 to 90 days. The transaction is partially supported through a liquidity facility provided by Deutsche Bank. With this facility, Gemini's program-level credit enhancement was increased by 8% of its purchase limit.

The student loan facility is fully supported by a liquidity facility provided by Deutsche Bank. Gemini's program-level credit enhancement will not be increased with the addition of this transaction.

In addition, Gemini has purchased has purchased ABCP from its sister conduit, Sedona Funding Corp., LLC ("Sedona"). The Sedona ABCP is backed by a $500 million residential mortgage facility originated and serviced by an A2-rated financial institution. The transaction is fully supported through a liquidity facility provided by Deutsche Bank. Gemini's program-level credit enhancement will not be increased with the addition of this transaction.

With these transactions, Gemini's total asset commitments are $11.3 billion, with $5 billion of outstanding ABCP. Gemini's total program-level credit enhancement is $616.82 million (with a floor of $250 million).

BANK OF NOVA SCOTIA'S LIBERTY STREET ACQUIRES $75 MILLION INTEREST IN EXISTING AUTO FLEET RENTAL FINANCING FACILITY

Liberty Street Funding Corp. ("Liberty Street"), a partially supported, multiseller ABCP program sponsored by The Bank of Nova Scotia ("BNS", rated Aa3/Prime-1/B), has acquired a $75 million interest in an existing facility backed by auto fleet rentals. The transaction is part of a $700 million co-purchase facility with five other conduits: WestLB's Paradigm Funding LLC, Deutsche Bank's Gemini Securitization Corp., LLC, Citicorp's Charta, LLC, JPMorgan Chase's Delaware Funding Company LLC, and Barclays' Sheffield Receivables Corp.

Transaction-specific credit enhancement is in the form of overcollateralization, sized at 22.25%. This transaction is partially supported by a liquidity facility provided by BNS.

With this transaction, Liberty Street's program-level credit enhancement was increased by 10% of its commitment. Liberty Street has about $6.9 billion in total purchase commitments and $694.9 million in program-level credit enhancement.

ROYAL BANK OF CANADA'S OLD LINE ACQUIRES $300 MILLION INTEREST IN EXISTING STUDENT LOAN FACILITY

Old Line Funding LLC ("Old Line"), a partially supported, multiseller ABCP conduit sponsored by Royal Bank of Canada ("RBC", rated Aa2/Prime-1/B+), has acquired a $300 million interest in a $750 million revolving student loan facility. This facility is currently financed in Thunder Bay Funding LLC ("Thunder Bay"), RBC's other multiseller ABCP conduit. Thunder Bay's commitment is $450 million.

The student loans financed in this facility include PLUS, Stafford, proprietary and consolidated loans that are originated by the seller under the Federal Family Education Loan Program ("FFELP"). A liquidity facility provided by RBC funds for non-defaulted loans and also covers for the FFELP guarantee for defaulted student loans.

With this transaction, Old Line's program-level credit enhancement was increased by 10% of its purchase commitment. Currently, Old Line has about $8.8 billion in total purchase commitments, with $878 million in program-level credit enhancement.

BARCLAYS' SHEFFIELD FUNDS $1.794 BILLION OF SECURITIES

Sheffield Receivables Corp. ("Sheffield"), a partially supported, multiseller conduit sponsored by Barclays Bank PLC (Aa1/Prime-1/A-), has entered into a commitment to fund $1.794 billion of asset-backed securities. This transaction is fully supported by a liquidity facility provided by Barclays. With this transaction, Sheffield's program-level credit enhancement was increased by 10% of its commitment. Sheffield is currently authorized to issue up to $26.26 billion of ABCP.

ROYAL BANK OF SCOTLAND'S TAGS ADDS STERLING 200 MILLION CO-PURCHASED CONSUMER CATALOGUE TRANSACTION

Thames Asset Global Securitization No.1, Inc. ("TAGS"), a partially supported, multiseller conduit sponsored by the Royal Bank of Scotland plc (Aa1/Prime-1/A-), has added a Sterling 200 million consumer catalogue facility to its portfolio. The receivables are originated by a U.K.-based home shopping retailer. This transaction is part of a Sterling 600 million co-purchased facility with two other conduits, Citibank's Eureka Securitisation and Dresdner's Beethoven Funding Corp.

This transaction was financed through a purchasing special purpose vehicle, which finances the receivables on a revolving basis. Transaction-specific credit enhancement is in the form of overcollateralisation, sized at a minimum of 28% of the eligible receivables. The level of overcollateralization is based on a dynamic formula that responds to changes in both defaults and dilutions. The transaction also benefits from structural protections such as an immediate draw under the liquidity facility upon the event that defaulted receivables exceed 2.25% of eligible receivables at any time within six months from the closing date, or 2% afterwards.

A liquidity facility provided by Prime-1-rated RBS will fund against non-defaulted receivables and also covers the risks of failure of true sale, commingling of collections, dilutions and breach of warranties in relation to receivables, plus yield on TAGS' ABCP.

With this transaction, TAGS' program-level credit enhancement was increased by 5% (Sterling 10 million) of its funding commitment. TAGS is now authorized to issue up to approximately $12.1 billion of ABCP.

SUNTRUST BANK'S THREE PILLARS AND BNP PARIBAS' STARBIRD ACQUIRE INTEREST IN EXISTING TRADE RECEIVABLE FACILITY

Three Pillars Funding Company LLC ("Three Pillars") and Starbird Funding Corp. ("Starbird") have each acquired a $125 million interest in an existing revolving trade receivable facility. Three Pillars is a partially supported, multiseller ABCP program sponsored by SunTrust Bank (Aa2/Prime-1/B+), while Starbird is a partially supported, multiseller ABCP program sponsored by BNP Paribas (Aa2/Prime-1/B+). The receivables are originated by a global manufacturer and distributor of pulp, paper, packaging and building products and its subsidiaries. The transaction is part of an $800 million co-purchase facility with two other conduits, Citicorp's CRC Funding, LLC and BTM's Gotham Funding Corp.

Transaction-specific credit enhancement is in the form of overcollateralization, sized at a minimum of 13.32%. The overcollateralization level adjusts dynamically depending on the performance of the transaction. This transaction is partially supported through liquidity facilities provided by SunTrust Bank and BNP Paribas.

With this transaction, Three Pillars' program-level credit enhancement was increased by 10% of its purchase interest, while Starbird's program-level credit enhancement was increased by 8%.

Three Pillars has about $9.3 billion in total purchase commitments and $726.9 million in program-level credit enhancement. Starbird has about $7.1 billion in total purchase commitments and $471.2 million in program-level credit enhancement.

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
Associate 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 20, 2004
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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