MOODY'S ABCP RATING ACTIONS FOR THE THREE WEEK PERIOD ENDED JANUARY 4, 2002 (PART II):

New York, January 07, 2002 -- THE RATINGS OF THE FOLLOWING ASSET-BACKED COMMERCIAL PAPER PROGRAMS WERE CONFIRMED AT PRIME-1 BY MOODY'S DURING THE THREE WEEK PERIOD ENDED JANUARY 4, 2002:

BGB'S BEST FUNDING ADDS NEW $400 MILLION SECURITIES POOL SUPPORTED BY ALTERNATE LIQUIDITY

Bankgesellschaft Berlin's (BGB) Best Funding Limited, a partially supported, multiseller conduit, has added a $400 million facility to purchase a portfolio of bonds which are rated Aaa by Moody's. Liquidity for this deal is provided by a special purpose vehicle which benefits from a committed repurchase agreement with a Prime-1 rated bank. Should Best be unable to reissue ABCP to pay off maturing commercial paper, it will exercise its option under the repurchase agreement. Various structural features ensure that ABCP issuance will not exceed the repurchase entitlement, and that Best will have a ready source of cash, either from the repurchase counterparty or from the program's swingline liquidity banks, to repay ABCP as it matures.

CITIBANK'S CHARTA INCREASES PROGRAM LIMIT TO $13 BILLION

Charta Corp., Citibank's partially supported, multiseller conduit, is increasing its program size from $5 billion to $13 billion. The increase is being put in place for future growth. Each transaction in Charta has its own separate liquidity facility, as well as access to a conduit-level $150 million committed liquidity facility. The only circumstance under which liquidity will not fund is the insolvency of Charta. Charta currently has just over $2 billion in ABCP outstanding.

CITIBANK'S CXC LLC MEDIUM TERM NOTES RATED Aaa

CXC LLC, Citibank's post- review, fully supported multiseller conduit which owns transactions which are 100% insured by Aaa-rated surety providers is now authorized to issue medium term notes (MTNs). The MTNs are rated Aaa. Unlike CXC's ABCP, which is fully supported by 100% liquidity, the MTNs have a liquidity backup line of $250 million, representing one half of the program's $500 million general liquidity facility. Because of this restriction, the maximum amount of MTNs that can mature in any thirty-day period is limited to $250 million. In the event MTNs cannot be rolled over or financed by the issuance of ABCP, the repayment of the MTNs would be covered by asset collections or the sale of asset pools (which all benefit from a Aaa surety bond). CNAI, as program administrator, has detailed administrative procedures governing the sale of the assets backing the Aaa-rated MTNs to third parties. Any shortfall in the price of the assets sold to repay maturing MTNs is covered under a derivative contract issued by Citibank NA. Simultaneous with this transaction, CXC also converted itself to a Delaware-based LLC. CXC has just over $13 billion of ABCP outstanding and is now authorized to issue up to $3 billion of MTN's.

WEST LB'S COMPASS ADDS $150 MILLION CREDIT CARD TRANSACTION

Compass Securitization LLC, a partially supported multiseller ABCP conduit sponsored by Westdeutsche Landesbank Girozentrale (WestLB), purchased a floating rate asset-backed note backed by credit card receivables. Compass purchased an unrated $150 million Class B note from the master trust of a seasoned credit card issuer. The purchase is supported by credit enhancement of the Class C piece of about 25.81% and a funded 0.5% reserve account. In addition, Compass increased its program wide credit enhancement by 5%. Compass is authorized to issue up to approximately $12 billion of ABCP.

JPM CHASE'S DELAWARE FUNDING CORP. ENTERS $650 MILLION AUTO LOAN FACILITY

Delaware Funding Corp., a JPM Chase-sponsored, partially supported, multiseller conduit, entered into a $650 million revolving auto loan facility that will fund a portfolio of installment sale contracts related to the sale of new and used vehicles. The loans will be made to a subsidiary of a foreign, investment-grade automobile manufacturer that owns the installment sale contracts. Credit enhancement for the transaction will be 8%, while the conduit will add incremental program credit enhancement of 10% of the amount of this deal. DFC currently has a program limit of $17.5 billion, with about $9.63 billion of commercial paper outstanding.

GECC'S EDISON INCREASES MAXIMUM ISSUANCE TO $44.38 BILLION

In addition to the synthetic lease facility co-purchased with Black Forest described above Edison added two new facilities and increased an existing facility, to achieve a total authorized amount of $44.38 billion. It is the largest single ABCP program in the market. The first addition is a $500 million revolving trade receivables facility generated by a highly-rated industrial products manufacturer. The transaction is supported by a liquidity facility provided by Prime-1-rated GECC. Investors benefit from transaction-specific credit enhancement, in the form of both dynamic overcollateralization, which fluctuates based on the receivables' performance, as well as seller recourse. Program level credit enhancement was increased by 7% of outstandings.

The second addition is a $1 billion equipment lease facility backed by office, medical and telecommunication equipment. The originator, a division of a highly-rated company, manages finance programs and originates loans and leases to end-users for vendors of various equipment categories. Three amortizing pools were added to the facility, totaling $591 million. The first was a $437 million pool of office equipment leases, backed primarily by copiers and faxes. The second was a $95 million facility, backed primarily by medical equipment and the third was a $59 million facility backed primarily by telecommunication equipment. Transaction-specific credit enhancement, in the form of a demand note provided by GECC, equals 15% of the initial loan amount and is fungible across all pools. This amount will remain fixed throughout the life of the deal in order to cover any tail-end risk.. As additional credit enhancement, GECC provides a letter of credit to Edison equal to 7% of outstandings, with a floor of 1.5%.

Edison also added six pools to an existing equipment and real estate loan facility. The six new pools, totaling approximately $2.5 billion, consist of equipment leases, franchise finance for equipment and real estate, small business loans and aircraft loans. With the addition of these pools, the facility limit increased from $6.5 billion to $8.5 billion. The current outstanding amount of the facility is now approximately $8.3 billion. The combination of the pool-specific and program-level credit enhancement for the new pools equals 17% of the initial loan amount. With the additional portfolios, the pool-specific credit enhancement, a demand note issued by GECC, is 10.21% of outstanding loans, or $861 million. Program-level credit enhancement, sized at 7% of the outstanding loans, is in the form of a letter of credit (LOC). The LOC will freeze at 1.5% of the initial amount to mitigate any tail end risk.

Edison is now authorized to issue $44.380 billion of ABCP.

BMO NESBITT BURNS' FAIRWAY ADDS $104 MILLION DEAL BACKED BY HEALTHCARE LOAN RECEIVABLES

Fairway Finance Corp., a partially supported, multiseller conduit sponsored and administered by BMO Nesbitt Burns, entered into a facility to fund $104 million of notes issued by a speculative-grade-rated healthcare finance company. Proceeds from the notes will fund the revolving purchases of healthcare loan receivables from middle-market healthcare companies. The notes consist of a Class A and a Class B. Approximately $94 million in these Class A Notes are wrapped by Aaa-rated XL Financial Assurance, whose financial guaranty insurance policy guarantees scheduled payments of the principal and interest on the Class A Notes. In the unlikely event of a default by XL, liquidity for the Class A Notes, which is provided by BMO, will fund for non-defaulted assets. About $8 million in Class B Notes is fully supported by a liquidity facility provided by Prime-1- rated BMO. Fairway is authorized to issue up to approximately $12 billion of ABCP.

BNP PARIBAS' ELIOPEE LTD PURCHASES JPY 56 BILLION OF JAPANESE STRUCTURED SECURITIES

Eliopee Limited, a partially supported, multiseller ABCP conduit sponsored by BNP Paribas, has invested in JPY 56 billion (Euro 490 million equivalent) of the senior tranche of a Japanese asset-backed transaction. Eliopee issues Billets de Tresorerie (French ABCP). The transaction is fully supported by a JPY 57.12 billion liquidity facility provided by BNP Paribas ( Aa3/Prime-1). There is no currency risk associated with this asset addition, since Eliopee will be issuing yen-denominated Billets de Tresorerie against this asset. Eliopee is now authorized to issue up to Euro 877 million and JPY 57.12 billion of ABCP.

COMMERZBANK'S FOUR WINDS FUNDING INCREASES ITS PROGRAM AUTHORIZED AMOUNT TO $10 BILLION AND PURCHASES $80 MILLION INTEREST IN CLO

Four Winds Funding Corp., a partially supported, multiseller ABCP program sponsored by Commerzbank AG, increased its authorized issuance amount from $7.5 billion to $10 billion. Also, Four Winds purchased an $80 million interest in a senior note of a CLO. The senior note is rated Aaa by Moody's. Four Winds is authorized to issue up to $10 billion of ABCP.

GENERAL FUNDING LIMITED INCREASES EXISTING ASSET BY $80 MILLION

General Funding Limited, a multiseller, partially supported conduit which can issue U.S. dollar-denominated Euro commercial paper and Euro-denominated Billets de Tresorerie, increased an existing asset by Euro 80 million.

Moody's confirmation of the Prime-1 rating assigned to General Funding Limited is primarily based upon the full support for the Billets de Tresorerie (French ABCP) provided by the Prime-1 rated banks Bayerische Landesbank Girozentrale, Caja Madrid, Credit Industriel et Commerciel and Rabobank. Support in the form of asset-specific purchase and sale agreements absorbs all liquidity and credit risk associated with the underlying assets. General may syndicate the liquidity facility with other Prime-1-rated banks, subject to Moody's ratings confirmation. General Funding is now authorized to issue up to Euro 825 million of ABCP.

BAYERISCHE LANDESBANK'S GIRO BALANCED FUNDING PURCHASES $150 MILLION FLOATING RATE SENIOR NOTE FROM NEW CREDIT ARBITRAGE PROGRAM

Giro Balanced Funding Corp., Bayerische Landesbank's (BLB) partially supported, multiseller conduit, added a $150 million floating rate senior note to its portfolio. The note, which is rated Aaa by Moody's, was issued to fund a newly established, Prime-1-rated synthetic credit arbitrage program. The senior note is supported by a junior note that represents 0.5% of the total funding. Giro Balanced Funding is now authorized to issue approximately $7.5 billion of ABCP.

BAYERISCHE LANDESBANK'S GIRO MULTI-FUNDING ADDS $120.44 MILLION AIRCRAFT LOAN, AND INCREASES FACILITY LIMIT TO $124.01 MILLION IN ANOTHER, EXISTING AIRCRAFT LOAN TRANSACTION

Giro Multi-Funding Corp. (GMFC), Bayerische Landesbank's (BLB) partially supported, multiseller conduit, has purchased a $120.44 million interest in an aircraft financing loan to a European-based airline. The loan will finance the purchase of three airplanes. The transaction will be fully supported through liquidity provided by BLB.

GMFC also increased the facility limit in an existing aircraft financing loan provided to an unrated airline. This approximately $85 million increase in the loan amount will be used to purchase additional aircraft. The transaction continues to be fully supported by BLB liquidity. To date, Giro Multi-Funding has $2.8 billion in outstanding ABCP, with program-wide credit enhancement at $396 million.

ABN AMRO'S GRAND FUNDING II ADDS EURO 262.5 MILLION SUBORDINATE CLASS OF CLO TRANSACTION

Grand Funding Corp. II, ABN Amro's Prime-2- rated, multiseller ABCP conduit, added an investment in a Euro 262.5 million A1-rated Class C Note. The Class C Note is a subordinate class in a Euro 12.5 billion synthetic CLO transaction issued by a global P-1/Aa2-rated commercial bank.

Grand II purchased U.S. dollar-denominated loan notes from a bankruptcy-remote trust ("Trust"), thus funding the Trust's purchase of the entire Class C Note on the closing date of the CLO transaction. The principal amount of loan notes purchased by Grand II is equal to the dollar equivalent of the Euro 262.5 million Class C Notes on the closing date of the CLO transaction.

A liquidity facility provided by Prime-1-rated ABN Amro partially supports the loan notes issued by the Trust to Grand II. A total return swap, between the Trust and ABN Amro as swap counterparty, covers the Trust's principal and interest obligations on the loan notes as well as its operating expenses.

Prior to this transaction, Grand II's portfolio was comprised of investments in two subordinate classes of a CLO transaction. In December 2001, Grand II's investment in an approximately $310 million Baa1-rated subordinate class of a synthetic CLO transaction was paid in full. Grand II is currently authorized to issue up to $630 million in ABCP.

BLB'S INDIGO FUNDING REPAYS SERIE CRYSTAL AND INCREASES SERIE COGEVOLT TO EURO 871 MILLION

Indigo Funding, Bayerische Landesbank's (BLB), Paris Branch serialized, partially supported ABCP conduit has repaid in full all of its outstanding Serie Crystal ABCP. The last repayment date was November 20, 2001, and the series was terminated on December 3rd. Subsequently, Moody's withdrew its Prime-1 rating.

Meanwhile, Indigo Funding's Serie Cogevolt was increased to Euro 871 million (plus interest) from its previous amount of Euro 577 million. The ABCP of Serie Cogevolt is fully supported by a liquidity facility provided by BLB, Paris Branch (Aaa/Prime-1).

BANK OF NOVA SCOTIA'S LIBERTY STREET ADDS $87.5 MILLION REVOLVING TRADE RECEIVABLES TRANSACTION

Liberty Street Funding Corp., Bank of Nova Scotia's partially supported, multiseller ABCP conduit, added a $87.5 million trade receivables facility. The seller is a manufacturer of heating, ventilation and air conditioning systems. Liquidity provided by Prime-1-rated Bank of Nova Scotia fully supports this transaction.

CREDIT LYONNAIS' LMA PURCHASES NEW ASSETS

LMA S.A., the multiseller, fully supported ABCP program sponsored by Credit Lyonnais, has added a pool to the program for a maximum amount of Euro 275 million. An existing pool was increased and amended. Both asset pools consist of Fonds Communs de Creances senior units (French ABS). Full liquidity and credit support is provided through liquidity asset purchase commitments that ensure that LMA will have sufficient funds to pay maturing French ABCP.

The support providers for the LMA program are Bayerische Hypo-Und Vereinsbank (Aa3/Prime-1), Caisse Nationale des Caisses d'Epargne et de Prevoyance (Aa2/ Prime-1), Commerzbank (Aa3/ Prime-1), Credit Commercial de France (Aa2/Prime-1), Credit Industriel et Commercial (A2/ Prime-1), KBC Bank N.V. (Aa3/ Prime-1), Natexis Banques Populaires (Aa3/Prime-1), and Rabobank (Aaa/ Prime-1). LMA is currently authorized to issue Euro 1425 million plus $230 million of ABCP.

SUMITOMO MITSUI'S MANHATTAN ASSET FUNDING UNWRAPS $100 MILLION INTEREST IN $300 MILLION CO-PURCHASE OF REVOLVING DEALER FLOORPLAN PURCHASE FACILITY

Manhattan Asset Funding Company LLC (Manhattan), a partially supported, multiseller conduit sponsored by Sumitomo Mitsui Banking Corporation. (SMBC) unwrapped its $100 million interest in a club revolving dealer floorplan receivables purchase facility. The other co-purchasers in this deal are Bank of Tokyo-Mitsubishi's Victory Receivables Corp. and Parthenon Receivables Funding LLC.

The facility finances the dealer floorplan receivables of a variety of equipment, including recreational marine products, motorcycles, all-terrain vehicles and recreational vehicles, generated by an unrated financing company. This deal is now partially supported by a minimum of 12% deal-specific credit enhancement that will adjust dynamically depending upon asset performance. Also, 10% incremental program-level credit enhancement is provided. Manhattan is now authorized to issue up to $5 billion of ABCP.

PNC BANK'S MARKET STREET ADDS $50 MILLION CONSUMER CREDIT RECEIVABLES PURCHASE FACILITY

PNC Bank's Market Street Funding Corp. (Market Street), a partially supported, multiseller conduit, added a $50 million three-year revolving consumer credit receivables purchase facility. The receivables are generated from credit sales of an unrated apparel and home products company. Pool-level credit enhancement is provided in the form of overcollateralization equal to a minimum of 32% of the eligible receivables. 10% incremental program-level credit enhancement is also provided. Market Street is authorized to issue up to $6.7 billion of ABCP. Currently, Market Street has about $4.9 billion in outstanding ABCP, with $642.7 million in program-level credit enhancement.

ING-BARINGS' MONT BLANC IS RESTRUCTURED

Mont Blanc Capital Corp., ING-Barings' partially supported, multiseller conduit, was restructured. Three major changes were made. All nine assets formerly in ING's Monte Rosa ABCP program, representing close to $6 billion in authorized amounts, have been assigned to Mont Blanc. The floor level of program credit enhancement was increased to $300 million from $150 million. Also, a framework to add Euro and floating rate ABCP was incorporated, subject to rating agency review. All liquidity agreements pertaining to the assigned assets were also assigned to benefit Mont Blanc.. Unlike Monte Rosa, Mont Blanc's ABCP investors are secured creditors. Monte Rosa's rating will now be withdrawn as a result of the asset transfers.

Mont Blanc is authorized to issue up to $8.4 billion of ABCP.

CHASE'S PARCO ADDS $250 MILLION TRADE RECEIVABLES TRANSACTION

Park Avenue Receivables Corp. (PARCO), a partially supported, multiseller conduit sponsored and administered by The Chase Manhattan Bank, purchased an interest in a $250 million securitization backed by trade receivables from a non-investment-grade-rated supplier of automotive components and systems. The transaction is supported by dynamic reserves with a floor of 15%, as well as liquidity provided by Prime-1 rated Chase Manhattan Bank.

ABCP investors in PARCO benefit from program- level credit enhancement equal to 10% of purchase commitments. The program enhancement in PARCO also has a $300 million floor. PARCO is now authorized to issue up to approximately $16 billion of ABCP.

BARCLAYS' SHEFFIELD ADDS $200 MILLION TRADE RECEIVABLES DEAL

Sheffield Receivables Corp., Barclays Bank Plc's partially supported, multiseller conduit, has entered into a commitment to purchase up to $200 million of the trade receivables originated by an unrated electronics distributor. The transaction is supported by a minimum of 8% deal-specific credit enhancement and 10% program enhancement. The calculation of the pool-specific overcollateralization is dynamic, depending upon asset performance.

Sheffield may now issue up to $19.2 billion of ABCP.

CIBC'S SPARC ADDS $50.6 MILLION OF WRAPPED CDO NOTES

Special Purpose Accounts Receivable Corp. (SPARC), a partially supported, multiseller conduit sponsored by Canadian Imperial Bank of Commerce (CIBC), has added $50.6 million of the Class A-3 notes in a CDO. The notes are wrapped by a Aaa-rated monoline. Liquidity provided by Prime-1-rated CIBC will advance against the monoline guaranty policy, due to the potential timing mismatch in payments under the policy by the monoline guarantor. Since the deal is fully supported, no incremental program credit enhancement will be added.

BNP PARIBAS' STARBIRD FUNDING CORP. INCREASES PROGRAM LIMIT TO $5 BILLION

Starbird Funding Corp., the partially supported, multiseller ABCP conduit sponsored by BNP Paribas (Aa3/Prime-1/B), increased its program limit from $2 billion to $5 billion. The conduit is also a credit arbitrage ABCP program. Starbird issues ABCP to invest in asset-backed securities initially rated Baa3 or higher, and to purchase or finance trade, term and other receivables. The increase in program limit was made in anticipation of future deal flow. Starbird currently has $1.16 billion in total commitments.

BNP PARIBAS' THESEE ADDS TRADE RECEIVABLES POOL

Thesee Limited, a partially supported, multiseller ABCP conduit sponsored by BNP Paribas, has invested in Euro 150 million of trade receivables originated by an European chemical corporate. Thesee issues Billets de Tresorerie (French ABCP). The transaction is fully supported by a liquidity facility provided by BNP Paribas (Aa3/Prime-1). Thesee is now authorized to issue up to Euro 1.422 billion of ABCP.

ROYAL BANK OF CANADA'S THUNDER BAY FUNDING INC. UNWRAPS $75 MILLION INTEREST IN REVOLVING TRADE RECEIVABLES PURCHASE FACILITY

Thunder Bay Funding Inc. (Thunder Bay), Royal Bank of Canada's partially supported, multiseller ABCP program, unwrapped its $75 million interest in a revolving trade receivables purchase facility. The facility finances the trade receivables of an investment-grade truck leasing and transportation logistics provider company and its subsidiaries. Now that it has been unwrapped, the deal is partially supported by a minimum of 6.5% deal-specific credit enhancement that will adjust dynamically depending upon asset performance. Also, incremental program-level credit enhancement of 10% of purchased receivables is provided. Thunder Bay is authorized to issue up to $3.6 billion of ABCP. Currently, Thunder Bay has about $ 2.6 billion in outstanding ABCP, with $1.1 billion in program-level credit enhancement.

ABN AMRO'S TULIP EURO FUNDING CORP. ADDS EURO 1.25 BILLION PORTFOLIO OF TELECOM RECEIVABLES

Tulip Euro Funding Corp., the fully supported, multiseller ABCP conduit administered by ABN AMRO Bank N.V. (ABN AMRO), has added a facility of Euro 1.25 billion to finance receivables originated by a German telecommunications company. This transaction was funded by Tulip's Euro funding vehicle. (Tulip program also has another issuer: Tulip Funding Corp., which issues U.S. dollar-denominated ABCP and ECP (European commercial paper)..

Tulip's ABCP is fully supported through both liquidity, for 90%, and a standby letter of credit, for 10%. The letter of credit is provided by Prime-1-rated ABN AMRO. The letter of credit serves as both liquidity and credit enhancement. Tulip is now authorized to issue approximately $8.4 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