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Rating Action:

MOODY'S ABCP RATING ACTIONS FOR THE SEVEN DAY PERIOD ENDING AUGUST 22, 2002:

30 Aug 2002

New York, August 30, 2002 -- MOODY'S WITHDRAWS PRIME-1 RATING OF CERTAIN FUNDING LIMITED

In Paris, at the issuer's request Moody's has withdrawn the Prime-1 rating of Certain Funding Ltd., an ABCP program sponsored by Societe Generale (Aa3/Prime-1/B).

As of August 8, 2002, all outstanding ABCP has been repaid in full and no further ABCP will be issued under this program.

THE RATINGS OF THE FOLLOWING ABCP PROGRAMS WERE CONFIRMED BY MOODY'S DURING THE PERIOD AUGUST 22, 2002 THROUGH AUGUST 29, 2002:

CLUB DEAL FOR CONFORMING MORTGAGE LOAN WAREHOUSE FACILITY INCREASED TO $4.25 BILLION AND AMENDED; BNP PARIBAS' STARBIRD FUNDING JOINS

A $3.5 billion warehouse facility financing conforming prime mortgage loans co-purchased by ten separate ABCP conduit programs was increased to $4.25 billion subsequent to the addition of Starbird Funding Corp., a BNP Paribas (Aa2/Prime-1/B+) multiseller conduit, as purchaser. The deal was also amended to allow increased concentration limits for take out investors which were offset by increased performance fees. The originator, which is rated A3, is one of the largest originators and servicers of residential mortgages in the US.

The facility currently provides alternative financing for the company for the period during which certain mortgage loans are transmitted to the applicable United States-government-sponsored agencies or identified to be included in a mortgage backed security (MBS) to the date on which the MBS is delivered to a third party investor. The mortgages are underwritten to conform to agencies' standards. Any potential market risk to the various conduits is covered through a performance fee and yield reserve depending on the type of loan. To date, the facility has performed as expected.

Co-purchasers for the facility and their commitments are CIBC's Asset Securitization Cooperative Corp. ($750 million); JP Morgan Chase's PARCO, Royal Bank of Canada's Old Line Funding Corp., Bank One's Prefco and Commerzbank's Four Winds Funding Corp. (at $500 million each); Bank of America's Quincy Capital Corp., Credit Lyonnais' Atlantic Securitization Corp., ABN Amro's Windmill Funding Corp., Deutsche Bank's Gemini Securitization Corp., Bayerische Landesbank's Giro Balanced Funding Corp. and BNPParibas' Starbird Funding (at $250 million each). Each purchaser provides liquidity for its own facility commitment. Also, each purchaser has increased its program-level credit enhancement, as required, according to its program documents.

IN CO-PURCHASE, SIX ABCP CONDUITS BUY UP TO $550 MILLION OF TIME SHARE RECEIVABLES

Six multiseller ABCP conduits, both partially and fully supported, entered into an agreement to purchase up to $550 million interests in a variable funding note (VFN) backed by time share loans. The conduits and their respective commitment amounts are: Bank of America's Enterprise Funding Corp.:$100 million; Fleet Bank's EagleFunding Corp., $125 million; Scotia Bank's Liberty Street Funding Corp., $75 million; CSFB's Alpine Securitization Corp, $75 million; Bank One's Jupiter Securitization Corp,.$100 million; and Credit Lyonnais' Lafayette Asset Securitization LLC Conduit, $75 million. The timeshare loans are originated by subsidiaries of one of the largest franchisers of hotels and provider of timeshare exchange services. The underlying transaction benefits from overcollateralization and a funded reserve. Investors are also protected against credit risk exposure from the underlying assets by highly structured liquidity at each conduit that absorbs substantially all the credit risk of the transaction.

STATE STREET'S CLIPPER MERGES WITH STATE STREET'S FRIGATE

State Street Bank & Trust Co. (Aa2/Prime-1/B+) has merged its Frigate Funding Corp. conduit into its Clipper Receivables Corp conduit, with Clipper as the surviving entity. Frigate was a Prime-1-rated program established in 1996, with outstandings of approximately $1.8 billion as of June 30, 2002. Clipper is a partially supported, multiseller program with outstanding ABCP of approximately $3.15 billion as of June 30, 2002. The combined entity will have a program size of $5.5 billion, and program-level credit enhancement of 8% except for securities rated Aa2 or higher and for fully supported transactions. All transferred assets will comply with Clipper's credit policies and guidelines.

The bulk of the assets coming from Frigate are securities rated between Aa3 and A2 which will require 8% program-level credit enhancement instead of the 10% required by the Frigate program documents. Moody's has reviewed the assets being transferred and concluded that the 8% enhancement level provided by the Clipper program documents for these assets remains consistent with Prime-1. The Clipper program has also been amended to permit Clipper to add transactions that are 100% wrapped by program-level credit enhancement with minimal information to the rating agencies.

IBEX'S FENWAY FUNDING INCREASES TRANSACTION BACKED BY CORPORATE LOANS BY $1 BILLION

Fenway Funding LLC, a fully supported ABCP conduit that issues extendible ABCP known as Secured Liquidity Notes ("SLNs"), sponsored by IBEX Capital Markets, increased the purchase limit of an existing transaction by $1 billion to $2.25 billion. This transaction is backed by a participation interest in corporate loans originated by a United States-based nonbank financial services company. Liquidity, which fully supports this transaction, is provided through a combination of a funding obligation for the principal amount of the SLNs and a cost of funds swap for the interest component of the SLNs, both provided by an A2/Prime-1-rated United States-based nonbank financial services company. Fenway is authorized to issue up to $7 billion of SLNs.

BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $75 MILLION FULLY SUPPORTED LEASE DEAL

Liberty Street Funding Corp., The Bank of Nova Scotia's (Aa3/Prime-1/B) partially supported, multiseller ABCP conduit, added a $74.9 million fully supported transaction. This transaction, backed by auto leases, is fully supported by liquidity provided by The Bank of Nova Scotia. In addition, a 10% incremental increase in the program letter of credit is provided. Separately, Liberty Street recently revised an existing $148 million transaction. This deal, which had been fully wrapped by a Aaa-rated surety provider, is now fully supported by bank liquidity. Liberty currently has just over $5 billion in ABCP commitments and approximately $3.4 billion in ABCP outstanding.

THE ROYAL BANK OF SCOTLAND'S TAGS ABCP PROGRAM ADDS GBP 600 MILLION TRANSACTION FINANCING UK AUTO RECEIVABLES

Thames Asset Global Securitization No. 1, Inc. (TAGS), a Prime-1 rated, partially supported multiseller conduit sponsored by The Royal Bank of Scotland (Aa1/Prime-1/A-), has funded a GBP 600 million auto receivables facility. The funding is in respect of a financing of a revolving portfolio of United Kingdom (UK) auto receivables. The underlying receivables are originated by the UK subsidiary of a large Prime-1-rated German car manufacturer. The portfolio comprises various types of auto receivables (predominantly consumer receivables). Portfolio composition is monitored via eligibility criteria. There are no limits by model or brand. The deal is partially supported by a liquidity facility provided by The Royal Bank of Scotland (Aa2/Prime-1/A-) and two other Prime-1-rated banks. The transaction benefits from pool-specific credit enhancement in the form of a subordinated loan. The transaction benefits from two performance triggers (delinquency and loss-to-liquidation ratio). If the trigger events occur, no further ABCP may be issued against this pool. The maturity of ABCP outstanding against this pool is limited to 1 month. The total authorized amount for the TAGS conduit is currently approximately $4.5 billion.

For a more detailed description of these ABCP programs, see Moody's GLOBAL ASSET-BACKED COMMERCIAL PAPER MARKET REVIEW, which is published quarterly.

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

New York
Letitia Accarrino
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 ENDING AUGUST 22, 2002:
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.

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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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