Fitch Ratings] Asset-Backed Commercial Paper Explained

8/8/2019 Fitch Ratings] Asset-Backed Commercial Paper Explained

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Asset-BackedCriteria Report

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Asset-Backed Commercial Paper Explained

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ABCP is short-term debt, generally limited to a tenor of

no more than 270 days and issued either on an interest-bearing or discount basis. Typically, ABCP is exemptfrom the registration requirements of the Securities Actof 1933 (the Act). The exemption may be based onSection 3(a)3 of the Act, which requires the proceeds ofCP issuance, which cannot have a maturity exceedingnine months, to be used to finance current transactions,or 4(2) of the Act, which applies to CP that does notinvolve a public offering and is generally sold only toaccredited investors. ABCP may also be exempt fromregistration if the CP is fully supported by a bankguarantee, as provided in Section 3(a)2 of the Act.

The proceeds of ABCP issuance are primarily used toobtain interests in various assets. Some commonassets financed through ABCP conduits include tradereceivables, consumer debt receivables, auto andequipment loans and leases, and collateralized debtobligations. Such financings may take the form of atraditional asset purchase or a secured loan. Often,transactions entered into by conduits represent theacquisition of undivided interests in revolving poolsof assets, as opposed to individual asset purchases.ABCP conduits may also invest in securities,including asset- and mortgaged-backed securities,corporate and government bonds, and CP issued byother entities. Some ABCP conduits may also makeunsecured corporate loans.

Repayment of ABCP is generally dependent on thecollections received from the asset interests containedin the programs underlying asset portfolio and theissuance of new CP. Additionally, ABCP conduitscan draw on liquidity facilities to repay maturing CP.

However, new CP issuance and liquidity fundings areusually conditioned upon the continued satisfactoryperformance of the assets financed through theoriginal issuance of the maturing CP.

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The term ABCP conduit is typically used whenreferring to the CP issuing vehicle of an ABCPprogram. Conduits are usually nominally capitalizedSPVs, owned by management companies independentfrom the sponsor and structured to be bankruptcyremote. Bankruptcy remoteness is accomplished bylimiting the scope of a conduits business activities,restricting the liabilities a conduit may incur, andrequiring nonpetition clauses in the agreementsexecuted by the key parties and sellers to the program.

Typically, ABCP conduits contract with various agentsto obtain services in connection with the administrationand operation of a program. Typical agents involved inan ABCP program are the administrative agent, theissuing and paying agent, the collateral agent, thereferral agent, and the manager.

While ABCP programs share certain features with termsecuritizations, they may differ in the following ways:

Conduits investments in assets can be revolvingand fluctuate in size.

Conduits may invest in various asset types,thereby creating diversified portfolios.

Conduits frequently fund long-term assets byissuing short-term liabilities, relying on liquiditysupport for potential repayment shortfalls causedby asset and liability timing mismatches.

In conduits, there is no scheduled amortization ofassets and liabilities since the additional issuance ofCP may be used to, and in most cases is expectedto, maintain the conduits investment in assets.

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*As of Sept. 30. ABCP Asset-backed commercial paper. Source: Federal Reserve Board.

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Growth of ABCP Market Outstandings

ABCP

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ABCP programs usually benefit from some combinationof credit enhancement on a transaction-specific andprogramwide level to protect against losses occurring inthe underlying asset portfolios. Credit enhancement mayexist in various forms and is generally sized based onthe type and credit quality of the underlying assets.Although credit enhancement is sized to ensure that thecredit quality of the underlying transaction is

commensurate with the credit rating of the CP issued bythe conduit, if losses exceed the amount of creditenhancement, the conduit may be unable to repaymaturing ABCP in full.

ABCP programs are also structured with liquidityfacilities to assist in the timely repayment of CP forreasons generally not associated with the credit risksof the underlying assets. These reasons include risksassociated with asset servicers or cash flow timingmismatches between the underlying asset portfolioand CP repayment obligations. Liquidity facilitiesmay also serve as alternative funding sources in the

event a conduit is unable to issue new CP to repaymaturing CP or to acquire additional asset interestsunder a committed transaction.

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ABCP programs are generally sponsored by financialinstitutions or large corporations and established tofinance the sponsors own assets or, if a sponsor is afinancial institution, to provide financing alternativesto the sponsors clients. ABCP programs may also be

used to move assets off of a sponsors balance sheet.Typically, there are three common structures of ABCPprograms, differentiated by the sponsors role inreferring the assets to be financed through the programand the purpose of the financing.

The first program structure is referred to as singleseller, in which the program sponsor is the soleoriginator of the financed assets. The program

sponsor of a single-seller program principally usesthe conduit as an alternative source of funding for itsown business activities.

The second program structure is referred to asmultiseller, in which the program sponsor isgenerally a financial institution seeking to providefinancing alternatives to its clients. The multisellerstructure provides the flexibility to purchase a varietyof assets from many different sellers. A variation ofthe multiseller structure is a loan-backed programthat makes short-term, unsecured loans to thesponsors corporate clients.

The third program structure is called securities backed,in which the program sponsor is a financial institutionseeking arbitrage opportunities or capital relief associatedwith moving assets off balance sheet. Securities-backedprograms invest in securities, including rated asset-backed, mortgage-backed, and corporate securities. Theseprograms may be cash flow structures that employ a buy-and-hold strategy or market value structures that aredesigned for more active trading.


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ABCP programs may be structured to incorporateelements of both securities-backed and multisellerstrategies, thus giving the sponsor the flexibility toserve its own needs, as well as those of its clients.

ABCP programs can be further classified as fullysupported or partially supported based on the level ofexternal credit support provided to the program. Whilepartially supported programs are evidenced by lessthan 100% credit enhancement, all CP issued by fullysupported programs is backed by 100% programwidecredit support. This full support can be in the form of,among other things, a guarantee, a letter of credit, asurety bond, a total rate of a return swap, or a liquidityfacility that provides credit protection. The creditquality of the assets purchased and the structure oftransactions entered into by fully supported programsare inconsequential to the rating of the CP since the

ultimate repayment of CP relies on the third-partycredit support provider. Despite this fact, most fullysupported programs maintain minimum credit qualitystandards approved by the program sponsors.

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A program sponsor initiates the creation of an ABCPprogram but typically does not provide the equity for

the conduit. Rather, ABCP conduits are usuallyowned by unaffiliated third-party equity providerswho many times will appoint an affiliate to serve asthe programs manager.

Financial institutions that sponsor ABCP programsoften refer assets and borrowers to the programs.Typically, transactions referred to programs must meetminimum credit quality standards based on thesponsors normal credit approval process. Fitchs initialreview of an ABCP program includes an examination ofthe sponsors internal credit approval process.

Despite not owning the conduit, sponsors usuallyretain a financial stake in the ABCP program byproviding credit enhancement, liquidity support, orboth. In single-seller programs, sponsors usuallyprovide credit enhancement in the form ofovercollateralization. In multiseller and securities-backed programs, sponsors usually provide creditenhancement in the form of a letter of credit,subordinated interest, or a purchase commitment.

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Most ABCP conduits enter into contractual agreementswith an administrative agent to conduct the day-to-dayoperations of the program. Often, the administrative

agent is the program sponsor or a subsidiary of theprogram sponsor or, in some cases, an independentthird-party entity. Duties of the administrative agentgenerally relate to the daily operations of the program;the issuance, sale, and repayment of CP; and creditadvisory services.

The administrative agents duties in connection withthe day-to-day operations of the program include:

Arranging for the execution and safekeeping ofthe program documents.

Maintaining operating accounts. Investing excess funds in permitted investments.

Maintaining general accounting records. Preparing financial statements and arranging audits. Preserving books and records. Giving notices to other key parties. Preparing monthly portfolio reports.

The administrative agents duties in connection withthe issuance and repayment of CP include:

Instructing the issuing and paying agent and thedepositary.

Purchasing and selling assets. Extending loans to borrowers. Determining when draws on liquidity and credit

enhancement facilities are necessary.

The administrative agents role may also includecredit advisory services such as:

Identifying and referring new sellers to the conduit. Conducting due diligence reviews of prospective

sellers.

Structuring the acquisition of asset interests andany necessary hedging arrangements.

Monitoring the ongoing performance of eachtransaction.

The duties of the administrative agent are typically setforth in a programs administration agreement or creditand investment policy, which may also outline thecredit review process that guides the administrativeagent in making investment decisions.

Given the importance of the administrative agent to aconduits operations, the rating process includes an on-site review of the administrative agent and its facilities.This review, which takes place every 18 months,includes interviews with management and staffpersonnel, as well as an assessment of operating policies


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and surveillance procedures. Fitch also examines theadministrative agents information systems, includinghardware and software configurations, system capacity,report generating ability, system security, data back-up

systems, and disaster recovery procedures.

If the administrative agent is engaged in providingcredit advisory services, the scope of Fitchs reviewincludes the administrative agents experience in theindustry, structuring capability, and credit approvalprocess. Furthermore, Fitch verifies the integrity of theadministrative agents underwriting policies andprocedures by randomly selecting and reviewing creditfiles of specific transactions.

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The manager of an ABCP program is typically anindependent third party, unaffiliated with the sponsoringinstitution, responsible for appointing a board ofdirectors, scheduling and holding board meetings,providing office space, and performing other tasks tomaintain a conduits independent corporate existence.

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The issuing and paying agent is responsible for thesettlement and record keeping pertaining to the issuanceand repayment of CP. The depositary is responsible formaintaining a special purpose trust account, into whichthe proceeds from the issuance of CP are deposited andfrom which funds to repay maturing CP are withdrawn.Often, the roles of issuing and paying agent anddepositary are assumed by the same third-party entityacting under a single agreement.

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Generally, all ABCP programs appoint one or moreCP placement agents to coordinate the actual sale ofCP. Placement agents usually work closely with theadministrative agent to determine the face or principalamount, maturities, interest or discount rates, anddenominations of CP to be issued. Placement agentsalso distribute offering materials to purchasers andprospective purchasers of CP.

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For programs in which the ABCP is a securedobligation, a collateral agent may be appointed tomaintain a first priority security interest in theconduits assets, property, rights, and interests for thebenefit of the secured parties, which include CPinvestors. In addition, a collateral agent may reservethe right to assume control of a programs operatingaccounts to ensure that collections are applied in

accordance with the programs payment priorityschedule. Furthermore, upon the occurrence ofcertain program termination events, a collateral agentmay be required to enforce a conduits rights under

purchase and lending agreements, which may includeseizing and liquidating asset interests.

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The analysis of transactions entered into by ABCPconduits focuses on the characteristics of thepurchased assets, the quality of sellers, and the creditrisk of obligors. The review process may involve areview of transaction documents, loss estimationbased on obligor distribution and historical assetperformance, seller credit quality and underwritingpolicies, servicer capabilities, legal opinions, and, incertain circumstances, an on-site review of the seller.

The primary objective of Fitchs transaction review isto determine the required amount of transaction-specific credit enhancement and structural protectionsnecessary to reduce the risk of the transaction to a levelcommensurate with the credit rating of the CP. Thiscredit enhancement may take the form ofovercollateralization, a third-party guarantee, recourseto a qualified seller, loss reserves, or another formacceptable to Fitch. Also, transaction-specific liquidityfacilities may be structured to provide credit protectionfor the associated transaction and may qualify as asubstitute for traditional forms of transaction-specificcredit enhancement. Since the objective of Fitchs

individual transaction reviews is to ensure that thetransaction, on a stand-alone basis, is structured tosupport the rating of the CP, programwide creditenhancement generally is not considered when sizingthe required amount of transaction-specific lossprotection.

When determining the necessary amount oftransaction-specific loss protection, Fitch appliesasset-specific term securitization criteria. However,given the unique features of ABCP conduittransactions, such as the short-term nature of risk andpossible credit support provided by liquidity

facilities, Fitch may make certain adjustments to thestandard criteria.

Fitch may not require a review of transactionsentered into by conduits that are fully supported orwrapped by programwide credit enhancement orliquidity providers. Under such circumstances, therisk characteristics of the underlying transactionsbecome less critical to the rating process because thefully supporting credit enhancement or liquidity


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facility is ultimately relied upon for the fullrepayment of CP.

Additionally, programs with administrative agents or

sponsors that have proven track records and anexperienced structuring team may be granted a statusreferred to as post review. Select transactionsentered into by post-review conduits do not requirerating affirmations from Fitch prior to closing and,therefore, are reviewed on a post-closing basis. Post-review programs must adhere to formal credit andinvestment policies that set the eligibility standardsfor transactions.

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ABCP programs may be governed by formal credit andinvestment policies that establish guidelines forinvestment eligibility, transaction structuring, andportfolio composition. Such policies can be instrumentalin ensuring that administrative agents and investmentadvisors make investment decisions consistent with theexpected credit quality and composition of assetportfolios. Furthermore, credit and investment policiesmay specify required levels of liquidity and creditsupport and, if necessary, conditions under whichconduits must divest of asset interests.

A credit and investment policy will usually specifythe following:

Minimum seller credit quality requirements. Minimum asset eligibility criteria. Requirements for loss reserves or other forms of

credit enhancement.

Transaction size limits. Required structural elements for certain purchase

or lending transactions.

Obligor concentration limits. Hedging requirements. Surveillance and reporting procedures. Diversification parameters regarding asset type,

geographic exposure, and credit quality.

A credit and investment policy should alsodemonstrate a standard of care equal to that used for

the sponsors own asset portfolio. When a formalcredit and investment policy is used, strict adherenceis expected, and divergence is permitted only withFitchs prior approval.

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Asset interests underlying ABCP programs varywidely and commonly include trade receivables,credit card receivables, equipment loans and leases,

automobile loans and leases, bank loans, consumerloans, manufactured housing loans, and dealer floorplan loans. Some conduits may also purchase ratedasset-backed, mortgage-backed, and corporate

securities, as well as make unsecured corporate loans.ABCP conduits may also provide warehousingfacilities, where assets accumulate until a termsecuritization can be executed.

If a transaction involves a limited number of discreteassets, the quality of those assets can be assessedmainly from the credit quality of the underlyingobligors. However, if a pool of assets with a largenumber of unidentified obligors is being securitized,the sellers underwriting procedures must be evaluatedin conjunction with an analysis based on historical datafor losses, delinquencies, and turnover rates.

Careful consideration must also be given to assetsoriginated in foreign countries, since laws andregulations affecting the assets may affect the propertransfer of interests. Unless Fitch determines that astandardized legal structure of securitization exists inthe applicable jurisdiction, Fitch requires a fullreview of any transaction involving foreign assets.

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The quality of asset sellers is important in the analysisof ABCP conduit transactions. This is especially true ifa seller continues to act as the servicer of the asset,since default by a seller/servicer can have adverse

consequences on an assets cash flow.

However, a unique feature of ABCP conduits is thatliquidity facilities generally cover servicer risk.Therefore, when a seller acts as the servicer of apurchased asset, liquidity will cover the risk ofdefault by such seller so long as the underlying assetis performing. Notwithstanding this protection, sincea sellers underwriting policy and servicing abilitymay still affect the quality and performance of anasset, seller evaluation is an important part of thereview process. Moreover, for a transaction where theseller is the provider of loss protection, as in the case

of dynamically adjusted overcollateralization orrecourse, the credit quality of the seller could directlyaffect the performance of the transaction.

Generally, investment-grade sellers are assumed tohave acceptable origination policies and servicingcapabilities. Therefore, Fitch may rely on a sponsor oradministrative agents due diligence of an investmentgrade seller rather than conduct its own on-site review.


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For non-investment-grade sellers, sellers in single-seller programs, or if Fitch determines furtherassessment is necessary due to the complexity of thetransferred assets or the transaction structure, Fitch

may conduct its own on-site review of a seller. In sucha review, Fitch focuses on, among other things, creditextension policies and procedures, collection process,data processing, and reporting systems.

The guidelines for seller credit quality are especiallyimportant for multiseller programs because theytypically involve numerous sellers representing avariety of industries and asset types. Diversity is oftenensured through the use of concentration limits forindividual sellers, industries, geographic locations, andasset types. As a result, the portfolios of multisellerprograms can be highly diverse and are generally lessreliant on the performance of any one asset or

transaction.

As protection for CP investors, many transactionscontain CP stop-issuance or liquidation events thatare tied to the credit rating of a seller or theoccurrence of an event of default related to a seller.Such protections are useful in strengthening atransactions structure since deterioration of a sellerscredit rating may signal deterioration of the assetsoriginated by that seller. It is important to note,however, that the occurrence of a stop-issuance orliquidation event must not relieve the creditenhancement and liquidity providers obligation to

fund the repayment of maturing CP.

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Obligors are the entities obligated to make thepayments that are the source of an assets cash flow.The credit quality of obligors, therefore, is a criticalfactor in determining the risk of the assets underlyingan ABCP program. Defaulted assets are usuallydefined based on the solvency of the underlyingobligors, payment delinquency, or writeoff. Sincemany liquidity facilities do not fund against defaultedassets and CP cannot be issued against defaultedassets, the sizing of appropriate transaction-specific

credit enhancement will be driven generally by ananalysis of obligor risk.

Many transactions in ABCP programs involve revolvingpools of assets with large numbers of undisclosedobligors, which makes the determination of ongoingobligor composition difficult. In such instances, Fitchrelies on a portfolio approach and an analysis of thehistorical performance of a sellers asset portfolio toquantify credit risk and size loss protection.

Under the portfolio approach, to quantify obligorrisk, obligor concentration limits are established on atransaction-specific basis. Concentration limits canbe used to limit exposure to a single obligor, obligors

with certain credit ratings or scores, obligors withparticular leverage ratios or other defined financialparameters, or obligors located in specific geographiclocations. Additionally, this approach generallyincorporates limits on the eligible assets included inthe transaction to only those with obligors that meetcertain minimum credit standards.

An analysis of historical performance typicallyfocuses on past performance of a sellers portfolio,which includes a review of losses, delinquencies,dilutions, and turnover. This methodology is mosteffective for a homogeneous group of assets in whichobligor diversification is maintained and formal

underwriting standards ensure stable asset quality.

Obligor diversification can be required at both theprogramwide and transaction levels. Notwithstandingsuch defined limits, programs often allow someexceptions to obligor concentration limits, usuallypermitting highly rated obligors to exceed limits upto certain levels based on their credit rating, providedthat the exempted obligors are subject to stringentmonitoring and annual review.

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For conduit transactions that involve the purchase of

explicitly rated securities, the ratings of the securitiesare generally relied upon to determine whether, on astand-alone basis, the transactions can support therating of the CP. If a security has a short-term rating,such rating will be used in this process. If a securityhas only a long-term rating, the long-term rating maybe translated into its short-term equivalent for thepurpose of this process (see table below).Furthermore, for transactions that involve makingunsecured loans, the senior unsecured credit ratingsof the borrowers of such loans are relied upon for thispurpose.

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Long-TermRating

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Securities or borrowers with credit ratings lower thana level commensurate with the CP issued by aconduit may be added to a program if the conduitsprogramwide credit enhancement level is adjusted in

accordance with Fitchs loss coverage methodology.Fitch often looks to the rating distribution of aconduits entire securities and loan portfolio todetermine the amount of credit enhancement requiredto support the rating of the CP.

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Generally, ABCP programs are structured with creditenhancement to protect against losses on theprograms underlying asset portfolios. Creditenhancement may be either transaction-specific orprogramwide, or a combination of both. It can existin various forms and can be provided on either aninternal or external basis. For credit enhancementprovided on an external basis that is, provided bya third party to the transaction or program therating of the credit enhancement provider must berated at least equivalent to that of the CP.

Transaction-specific credit enhancement provides lossprotection for a particular transaction only and cannotbe used to cover losses stemming from othertransactions in the conduits asset portfolio.Programwide credit enhancement is designed to coverlosses stemming from any asset in the portfolio. If aprogram is structured with both transaction-specificand programwide credit enhancement, transaction-

specific enhancement usually serves as a first layer ofloss protection, while the programwide facility servesas a second layer of loss protection, absorbing losses inexcess of applicable transaction-specific enhancement.

As discussed above, transaction-specific creditenhancement should be sized and structured toaddress the unique characteristics and credit risk ofthe underlying asset. It may take the form ofovercollateralization, a third-party guarantee,recourse to a qualified seller, loss reserves, or anotherform acceptable to Fitch. Typically, transactionsinvolving revolving pools of assets have dynamic

credit enhancement, whereby the size of the creditenhancement fluctuates based on the performance ofthe underlying asset pool.

Programwide credit support may exist in the form of anirrevocable loan facility, subordinated debt, a letter ofcredit, a surety bond, a guarantee, or another formacceptable to Fitch. Programwide credit enhancementmay be fixed in size or fluctuate based on the size andconfiguration of the asset portfolio.

For multiseller programs in which each transaction isstructured, on a stand-alone basis, to a levelcommensurate with the rating of the CP, the requiredamount of programwide credit enhancement is typically

a fixed percentage. Under such circumstances,programwide credit enhancement provides an additionallayer of loss protection and may better address poolingrisk the increased risk to the portfolio associated withthe inclusion of additional assets. Because Fitchs short-term ratings address the likelihood of the first dollar ofloss, as opposed to loss severity, programwide structuralprotections are necessary to mitigate pooling risk.

In contrast with multiseller programs, programwidecredit enhancement for security- or loan-backedprograms is generally dynamic and fluctuates in sizebased on the rating distribution of a programs portfolio.

In some programs, certain highly rated assets areexcluded from the calculation of the required minimumamount of programwide credit enhancement. This isbecause their credit quality meets or exceeds therequisite level necessary to be consistent with the ratingof the CP issued by the conduit.

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Liquidity support refers to the internal and externalsources of funds available to ABCP conduits to repaymaturing CP on a timely basis. Because internal sourcesof liquidity, or collections on assets, may be insufficientto repay maturing CP, most ABCP programs are

structured with at least 100% external liquidity support.

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External liquidity support is provided by third-partyfinancial institutions and usually takes the form ofloan or asset purchase facilities. These facilitiesprovide alternative sources of funds for a conduit torepay maturing CP when it is unable to issue new CPand either the conduit is experiencing asset andliability cash flow mismatches or the conduit cannotliquidate assets in a timely manner. These facilitiesmay also provide alternative funding sources forconduits to meet funding or purchase commitments

when they cannot issue new CP.

Generally, liquidity facilities also cover shortfalls incollections caused by servicer defaults. Liquiditymust be available to repay maturing CP even if anunderlying servicers bankruptcy proceeding disruptsthe cash collection process. Conversely, mostliquidity facilities do not cover cash shortages caused


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by deterioration of assets, and available creditenhancement is relied upon to cover resulting losses.

Liquidity facilities may exist on either a transaction-

specific or programwide level. In either case, externalliquidity support may exist in the form of a liquidityloan agreement (LLA) or liquidity asset purchaseagreement (LAPA). Under a LLA, the liquidity provideragrees to lend funds on a committed basis to the conduitwhen requested. Under a LAPA, the liquidity provideragrees to purchase an asset on a committed basis fromthe conduit when requested. Liquidity facilities usuallyhave a term of 364 days and are renewable at the optionof the provider, with certain conditions.

The term and structure of liquidity facilities must ensurethat they provide liquidity backstop for the entire tenorof the CP issued by the conduit. This can beaccomplished by employing an issuance test thatensures that all CP issued is backed by a liquidityfacility with a remaining term greater than that of therelated CP. Alternatively, liquidity facilities may bestructured with a non-extension draw provision thatallows an ABCP conduit to draw on a liquidity facility ifthe liquidity provider does not consent to an extensionof its liquidity commitment. The proceeds from a non-extension draw are usually retained in a segregatedaccount and are available for liquidity purposes only,until the non-extending liquidity provider has beenreplaced or the associated CP is repaid in full. If a non-extension draw provision exists, CP can be issued

beyond the original expiry date of the liquidity facility.

Under exceptional circumstances, internal liquiditysupport can reduce the necessity for 100% externalliquidity support. One such circumstance is when CPmaturities are match funded to the maturities of theassets in the conduits underlying portfolio. In thiscase, the assets have maturity dates that either matchor precede the maturities of the CP issued inconnection with the financing of such assets. Absenta default of the assets, the matching of asset andliability maturities ensures the full and timelyrepayment of the CP. Match-funded assets typically

include CP issued by other entities and high-quality,short-term loans.

Another circumstance that may reduce the need for100% external liquidity support is when marketablesecurities or a pool of highly liquid assets with apredictable cash flow are combined with strictmanagement of CP maturities.

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In most cases, the rating of CP issued by a conduit canonly be as high as that of the conduits liquidity providerssince it is the liquidity providers obligation to provide

funds that is relied upon to repay maturing CP in theevent a liquidity draw becomes necessary. As a result,notwithstanding limited exceptions, liquidity providersmust have minimum credit ratings commensurate withthe desired rating of the CP issued by a conduit.

In the event a liquidity provider is downgraded to a levelbelow that of the CP, the administrative agent may berequired to replace the downgraded provider withanother qualified provider within a defined period,typically 30 to 60 days. If the administrative agent doesnot replace the downgraded provider, the administrativeagent may draw on the downgraded providerscommitment or reduce the size of the related asset poolto eliminate the need for the commitment of thedowngraded provider or risk a downgrade of the CP.

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Agreements governing liquidity facilities usuallyinclude defined circumstances whereby liquidityproviders are relieved of their obligation to provideliquidity funding. These circumstances are alsoreferred to as funding outs.

For a liquidity facility to be effective, funding outsshould be specifically limited. The following fundingouts are generally accepted:

Involuntary or voluntary bankruptcy of the conduit. Funding in amounts related to defaulted assets

(as explicitly defined in the related assetpurchase agreement).

Depletion of transaction-specific or programwidecredit enhancement.

Funding amounts in excess of a providerscommitment.

The funding out related to the bankruptcy of aconduit is generally permissible because most ABCPconduits are structured to be bankruptcy remote.Thus, relieving liquidity providers of their obligations

due to the bankruptcy of an ABCP conduit isperceived to be highly unlikely.

The funding out related to defaulted assets is includedwhen the liquidity facility provides liquidity supportonly and does not assume any credit risk. Thedefinition of defaulted assets varies among transactionsbut is based typically on obligor bankruptcy; numberof days delinquent; or the credit rating of the security,obligor, or loan borrower.


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Generally, liquidity providers are relieved fromfunding in amounts related to defaulted assets througha borrowing base test for a LLA or a purchase priceformula for a LAPA, which reduces the liquidity

funding by amounts attributed to defaulted assets.Under such provisions, liquidity providers are onlyobligated to fund an amount that reflects the amount ofnondefaulted assets. This approach is commonly usedfor a transaction involving an undivided interest in arevolving asset pool.

The funding out related to the depletion of transaction-specific or programwide credit enhancement may referto either the depletion of a loss reserve or the default ofa third-party insurer or guarantor. In instances in whichthis funding out explicitly refers to the depletion ofcredit enhancement, certain asset liquidation or CPstop-issuance triggers that are tied to the performance

of the underlying assets or the depletion of relatedcredit enhancement may be required. The purpose ofsuch triggers is to increase the likelihood that all CP isrepaid before liquidity becomes unavailable.

Some liquidity facilities go beyond just providingliquidity support and provide credit support, as well.For such liquidity facilities, funding outs are limitedto the bankruptcy or insolvency of the conduit andfunding in excess of a providers commitment.

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To minimize losses resulting from a deteriorating asset

portfolio or upon the occurrence of an event thatthreatens the conduits ability to repay maturing CP infull, ABCP programs are typically structured withmandatory CP stop-issuance or wind down triggers.These triggers can be set at the transaction-specific andprogramwide level. If breached, these triggers may,with respect to a specific transaction or the entire assetportfolio, cause the conduit to immediately ceaseissuing new CP or begin liquidating its asset portfolio.

Transaction-specific triggers may include theoccurrence of any of the following events:

Insolvency or bankruptcy of a seller/servicer.

Downgrade of a sellers long- or short-termcredit rating below a specified level.

Cross-default of a seller under other debtobligations.

Material adverse change in a seller/servicersability to perform its duties as servicer.

Deterioration of portfolio assets below specifiedlevels of writeoffs, delinquencies, or dilution.

Depletion of credit enhancement below a requiredminimum amount.

Default or breach of any covenant, representation,or warranty by a seller or servicer.

Programwide triggers may include the occurrence ofthe following:

Failure of the conduit to repay maturing CP or anoutstanding liquidity advance when due.

Any program documents cease to be in full forceand effect.

Default or breach of any covenant, representation,or warranty by the conduit.

The net worth of the conduit falls below a certainlevel.

Draws on programwide credit enhancement exceeda certain amount.

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The structuring of ABCP programs and individualtransactions involves addressing intricate legal issuesconcerning the establishment and preservation of theconduits bankruptcy-remote status, proper transferof asset interests from sellers to the conduit, andacquisition and maintenance of security interests inassets.

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ABCP conduits are generally structured to bebankruptcy remote, unless the full amount of CP issupported by an unconditional guarantee. Bankruptcy

remoteness is generally accomplished by limiting thescope of the conduits business; restricting the liabilitiesthe conduit may incur; preserving the separate identityof the conduit from its owners, affiliates, and serviceproviders; and ensuring that all key parties to theprogram agree not to file or join in the filing of aninvoluntary bankruptcy petition against the conduit untilat least one year and one day after the last maturing CPissued by the conduit is paid in full. Since an ABCPconduit has little or no incentive to voluntarily file forbankruptcy, the satisfaction of these requirements issufficient to deem an ABCP conduit bankruptcy remote.Notably, however, adherence to these characteristics

does not make a conduit bankruptcy proof.

7UDQVIHURI,QWHUHVWV

With the exception of purchases of rated securitiesand direct lending, the acquisition of asset interestsfrom sellers by ABCP conduits may involve acomplex legal process. The transfer of an assetinterest from a seller to an ABCP conduit typicallyinvolves an intermediate SPV, or transferor. In this


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process, the seller first sells the assets to theintermediate SPV via a true sale. The SPV thenassigns the rights and interests in the asset to theconduit. This structure is referred to as two tiersince the seller is not conveying the asset interestdirectly to the conduit but through an intermediary.This structure is designed to isolate the transferredasset from the sellers estate in the event of thesellers bankruptcy.

However, the imposition of an intermediary SPVbetween a seller and the conduit may not ensure thatassets and collections will continue to flow to theconduit unencumbered upon the bankruptcy of theseller. This is especially true if the seller acts asservicer of the assets. This potential risk to CPinvestors is nonetheless mitigated by the presence ofliquidity facilities that should be available to fundany timing mismatch caused by the bankruptcy.Because of such liquidity support, Fitch does notrequire that transactions utilize a two-tier structure.

6HFXULW\,QWHUHVW

The relative position of rights and claims of CPinvestors vis--vis other creditors against an ABCPconduit is an important aspect of the structure of anABCP conduit. CP investors, together with othercreditors, often maintain a first priority perfectedsecurity interest in a conduits assets. These othercreditors often include liquidity providers,programwide credit enhancement providers, hedgecounterparties, and other contracted parties.However, the debt of a conduit, including CP, may beunsecured as long as the conduits debt financingactivities are severely restricted and assets are free ofany liens.

The order of priority in allocating the cash flow of aconduits underlying asset portfolio is an importantpart of the conduit structure and should be explicitlydefined in the program documents. Normally, claimsof CP investors rank above those of other creditors,except for fees owed to a programs agents andpayments owed to swap counterparties. Additionally,a collateral agent or administrative agent is usuallyresponsible for enforcing the rights of the secured

parties, collecting the proceeds of asset liquidationsupon the occurrence of termination events, anddistributing such proceeds in the appropriate manner.

Key parties to ABCP programs are also requiredgenerally to waive set-off rights and to limit recourseprovisions to ensure that CP investors are protectedagainst potential conflicts of interest. In the contextof ABCP programs, set-off rights can arise if a thirdparty seeks to mitigate a claim that an ABCP conduithas against it by simultaneously asserting a claimagainst the conduit (such as for service fees owed bythe conduit). If such netting of obligations werepermitted, the result could be detrimental to othercreditors of the conduit.

To ensure that key parties cannot circumvent thepayment priority schedule set forth in the programdocuments and undermine the rights and claims ofCP investors, key parties to ABCP programs oftenhave limited recourse against the conduits. Limitedrecourse provisions prohibit obligations fromconstituting claims under the applicable insolvencylaws, except for amounts explicitly proscribed to be

payable to specific parties under a security agreementor other program documents, and are limited toamounts available from the assets.

/HJDO2SLQLRQV

To confirm the integrity of an ABCP programstructure, Fitch expects certain opinions of counselsto be rendered. Fitch reviews opinions as to mattersregarding the formation and standing of the conduit,its authority to enter into the various transactions,compliance with relevant laws, and other corporateissues. In the case of an ABCP program with 100%external liquidity support, typically Fitch does not

review opinions of counsel addressing the transfer ofthe assets from the seller to the conduit as long as theproper transfer of assets is not a condition precedentto a liquidity providers obligation to fund.

I 6XUYHLOODQFHFitch monitors all ABCP programs rated by the firm onan ongoing basis by thoroughly reviewing monthly

Two-Tier Legal Structure

NonconsolidationOpinion

True Sale Opinion

Receivables

First Perfected Security Interest

SellerSpecial Purpose

Vehicle Conduit


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performance reports provided by the conduits. Monthlyreports generally include the following information:

CP outstandings. Transaction-specific and programwide credit

enhancement levels. Amounts and providers of available liquidity

support facilities.

Asset portfolio composition, which may includedata indicating aging schedules, chargeoffs,

dilutions, collections, obligor exposure, andindustry- and asset-type concentration.

Amounts and providers of hedging arrangements.

Fitch surveillance information is available on the

Fitch web site at www.fitchratings.com.


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$VVHW%DFNHG&RPPHUFLDO3DSHU3URJUDPV5DWHGE\)LWFK(As of the Date of This Report)

Program Sponsor Notes Rating

Abacas Investments Ltd.;Abacas Investments LLC Quadrant Capital Ltd. CP/MTNECP/EMTN

Senior Subordinated Note

F1+/AAAF1+/AAA

AAbel Funding Pty Ltd.; Tasman Funding Inc. ABN AMRO Bank N.V. F1+ACE Funding Series 1999-1 Resimac MBS Societe Generale Australia Ltd. MTN AAAACE Overseas Corp. ; ACE Overseas Limi ted Societe Generale Austral ia Ltd. F1+Aeltus CBO V, Ltd. Aeltus Investment Management, Inc. F1+Albion Capital Corp. S.A. The Bank of Tokyo-Mitsubishi, Ltd. F1Amedis Commercial Finance Ltd. BRED Banque Populaire F1+APEX Funding Corp. The Bank of Tokyo-Mitsubishi, Ltd. F1APRECO, Inc. Citicorp North America, Inc. F1+Arcadia Funding Corp. The Bank of Tokyo-Mitsubishi, Ltd. F1AriesOne Metafolio Corp. IBEX Capital Markets, LLC F1ASAP Funding Limited; ASAP Funding Inc. Alliance Capital Management, L.P. F1+Asia Pacific Receivables Corporation Ltd. (APRC) Credit Lyonnais (Australia) F1Aspen Funding Corp. Deutsche Bank AG F1+Asset Backed Capital Ltd.; Asset Backed Capital Finance, Inc. Quadrant Capital Ltd. CP/MTN

ECP/EMTNMedium-Term Subordinated

Senior Note

F1+/AAAF1+/AAA

AAsset Backed Securitisation Corporation Ltd.; ABSC

Capital Corporation Ltd. (ABSC) Canadian Imperial Bank Commerce (Singapore) F1+Asset One Securitization, LLC Societe Generale F1Asset Portfolio Funding Corp. (APFC) J.P. Morgan Chase & Co. F1+Asset Securitization Cooperative Corp. (ASCC) Canadian Imperia l Bank Commerce F1+Astro Capital Corp. The Industrial Bank of Japan, Ltd. F1Atlantic Asset Securitization Corp. Credit Lyonnais F1Atlantis One Funding Corp. Rabobank International F1+Atlantis Two Funding Corp. Rabobank International F2Austra Corp. Societe Generale F1+Autobahn Funding Co., LLC Deutsche Zentral-Genossenschaftsbank AG F1Bavaria Finance Funding LLC Bayerische Hypo und Vereinsbank AG (New York) F1+Belford Capital Group, LLC The Liberty Hampshire Co., LLC CP/MTN

EMTNF1/AAAAAA

Beta Finance Corp.; Beta Finance Inc. Citibank International plc CP/MTNECP/EMTN

F1+/AAAF1+/AAA

BILLS Securitisation Limited Deutsche Bank AG F1+Bishops Gate Residential Mortgage Trust Cendant Mortgage Corp. CP

Series 1999-1Term NotesSeries 1998-2 MTN

F1AAAAAA

Black Diamond USA Funding Corp. J.P. Morgan Chase & Co. F1Breeds Hill Capital Co. The Liberty Hampshire Co., LLC F1Broadway Capital Corp. The Bank of Tokyo-Mitsubishi, Ltd. F1Bunge Asset Funding Corp. J.P. Morgan Chase & Co. F1CERTAIN Funding Ltd.; Certain Funding Corp. Societe Generale CP

ECPF1+F1+

Check Point Charlie, Inc. Bankgesellschaft Berlin AG F1+CIESCO, L.P. Citicorp North America, Inc. CP/MTN F1+/AAACitibank Credit Card Issuance Trust, Dakota Notes Class

2001-A3 Citibank (South Dakota), N.A. Citibank(Nevada), N.A. F1

Concord Minutemen Capital Co. The Liberty Hampshire Co., LLC F1Conduit Asset Backed Securit ies Co. Ltd. (CABS) Artesia Bank F1+Cooperative Association of Tractor DealersSeries A (CATD) Cooperative Association of Tractor Dealers, Inc. F1Cooperative Association of Tractor DealersSeries B (CATD) Cooperative Association of Tractor Dealers, Inc. F1Corporate Asset Funding Company, Inc. (CAFCO) Citicorp North America, Inc. F1+Corporate Asset Securitization Australia Limited Inc. (CASAL) Citicorp North America, Inc. F1+Corporate Australasian Securitisation Transactions Pty

Ltd. (CAST) Citibank, N.A. F1+

Corporate Receivables Corp. (CRC) Citicorp North America, Inc. F1+Crown Point Capital Co. The Liberty Hampshire Co., LLC F1CXC Inc. Citicorp North America, Inc. F1+DE Group Dividend & Income Fund Delaware Investment Management F1Dealers Capital Access Trust (DCAT) Cooperative Association of Tractor Dealers, Inc. F1Declaration Funding I, Ltd. Independence Fixed Income Assoc. F1Delaware Funding Corp. J.P. Morgan Chase & Co. F1+Discover Card Master Trust I, Series 2000-A, Newcastle

Certificates Discover Bank F1+Dollar Thrifty Funding Corp. Dollar Thrifty Automotive Group F1Duff & Phelps Utility Income Fund Duff & Phelps Investment Management F1+

CPCommercial paper. ECPEuro commercial paper. MTNMedium-term note. EMTNEuro medium-term note. SLNStructured liquidity note.A$CPAustralian dollar commercial paper. NRNot rated.


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$VVHW%DFNHG&RPPHUFLDO3DSHU3URJUDPV5DWHGE\)LWFKFRQWLQXHG(As of the Date of This Report)


Dynamic Funding Corp. The Fuji Bank, Ltd. F1EagleFunding Capital Corp. FleetBoston Financial Corp. F1

Eagle I CBO, Ltd. Federated Investment Counseling CPClass A-1 NotesClass A-2 NotesClass A-3 NotesClass A-4 NotesClass B Preferred Shares

F1AAAAAANRNR

EFG Funding, LLC Educational Finance Group, Inc. F1Eiffel Funding LLC Caisse des Depots et Consignations

Financial Products F1Eminent Funding I, Ltd. TCW Asset Management Co. F1Enron Funding Corp. Enron Corp. F1+Enterprise Funding Corporation Bank of America, N.A. F1+Eureka Securtization plc; Eureka Securitization, Inc. Citibank, N.A. CP

ECP/EMTNMezzanine Note

F1+F1+/AAAA

Exelsior Finance Limited; Exelsior, Inc. XL Partners/Pareto Partners CP/MTN F1+/AAAFalcon Asset Securitization Corp. Banc One, NA F1+Fidex PLC BNP Paribas CP

ECPF1F1

Five Finance Corp.; Five Finance Inc. Citibank International plc CP/MTNECP/EMTN

F1+/AAAF1+/AAA

Four Winds Funding Corp. Commerzbank Aktiengesellschaft F1Four Winds Funding LLC Commerzbank Aktiengesellschaft F1Galaxy Funding, Inc. Firstar Bank, N.A. F1+Giro Balanced Funding Corp. Bayerische Landesbank Girozentrale F1Giro Funding US Corp. Bayerische Landesbank Girozentrale F1+Golden Funding Corp. System Capital Corporation CP/MTN F1/AAGotham Funding Corp. The Bank of Tokyo-Mitsubishi, Ltd. F1Great Lakes Funding Capital Corp. Canadian Imperial Bank Commerce (London) F1Greyhawk Funding LLC Westdeutsche Landesbank Girozentrale F1+Halogen Capital Co., LLC The Liberty Hampshire Co., LLC F1+Harwood Street Funding II, LLC Centex Home Equity Corp. SLN

Subordinated NoteF1+BBB

High Peak Funding LLC Erste Bank der Oesterreichischen Sparkassen AG F1Hilton Managers Acceptance Corp. Hilton Hotel Corp. F1Holdenby Capital Co., LLC The Liberty Hampshire Co., LLC F1Holland Limited Securitization, Inc. ING Baring (U.S.) Capital Markets LLC F1Indigo Funding Ltd.Series Cogevolt Bayerische Landesbank Girozentrale (Paris) F1

Indigo Funding Ltd.Series Crystal Bayerische Landesbank Girozentrale (Paris) F1Indigo Funding Ltd.Series Titriwatt Bayerische Landesbank Girozentrale (Paris) F1+Ivory Funding Corp. Banc One, NA CP

ECPF1F1

Jefferson Smurfit Finance Corp. Smurfit-Stone Container Corp. F1JMG Funding L.P. ML Leasing Equipment Corp. F1+Jupiter Securitization Corp. Banc One, NA CP

ECPF1+F1+

Kitty Hawk Funding Corp. Bank of America F1+Lexington Parker Capital Co. The Liberty Hampshire Co., LLC F1Liberty Lighthouse Co., LLC The Liberty Hampshire Co., LLC CP/MTN

EMTNF1/AAAAAA

Loch Ness Ltd. The Royal Bank of Scotland plc CPECP

F1F1

Lockhart Funding LLC Zions First National Bank F1Madison Funding Corp. Sumitomo Mitsui Banking Corporation Group F1MAN Finance Corporation Asset Trust MAN Capital Corp. F1Manhattan Asset Funding Co. LLC Sumitomo Mitsui Banking Corporation Group F1Maximilian Capital Corporation Bayerische Hypo und Vereinsbank AG (Singapore) F1

MBNA Credit Card Master Note Trust Class A (2001-Emerald) MBNA F1+Mermaid Funding Corp. Rabobank International F2Methusaleh Capital Company LLC The Liberty Hampshire Co., LLC F2MOAT Funding LLC J.P. Morgan Chase & Co. F1+Moriarity Ltd. Abbey National Treasury Services plc F1+MPF Limited Alliance Capital Management, L.P. F1MPF II Limited Alliance Capital Management, L.P. F1Neptune Funding Corp. Rabobank International F1Newbury Funding CBO I, Ltd. Colonial Advisory Services, Inc. F1Newport Funding Corp. Deutsche Bank AG F1+Nieuw Amersterdam Receivables Corp. Rabobank International F1



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$VVHW%DFNHG&RPPHUFLDO3DSHU3URJUDPV5DWHGE\)LWFKFRQWLQXHG(As of the Date of This Report)


Nuveen Funding, LLC Nuveen Senior Loan Asset Management F1+Old Line Funding Royal Bank of Canada F1+

Paradigm Funding Westdeutsche Landesbank Girozentrale F1Park Avenue Receivables Corp. (PARCO) J.P. Morgan Chase & Co. F1Pegasus Four Ltd. Alliance Capital Management, L.P. F1Pegasus Three Ltd. Alliance Capital Management, L.P. F1Perry Antipodes Trust No. 1 Bank of America, N.A. (Sydney) F1+Perry Funding Corp. Bank of America N.T. & S.A. F1+Perry Global Funding LimitedSeries A Bank of America, N.A. F1+Perry Global Funding LimitedSeries B Bank of America, N.A. F1Perry III Funding Corp. Bank of America N.T. & S.A. F1+Phebus Finance S.A. Credit Commercial de France F1Preferred Receivables Funding Corp. (PREFCO) Banc One, NA F1+Quincy Capital Corp. (QCC) Bank of America, N.A. F1+Receivables Capital Corp. (RCC) Bank of America, N.A. F1+Rembrandt In ternat ional Company Holdings Inc. ING Bank N.V. F1Repeat Offering Securitisation Entity, Inc. (R.O.S.E.);

Repeat Offering Securitisation Entity, No. 2 Inc. National Westminster Bank plc F1+Rosy Blue International S.A. KBC Bank N.V. CP

ECPF1+F1+

Scaldis Capital Limited Fortis Bank S.A./N.V. CP

ECP

F1+

F1+Sigma Finance Corp.; Sigma Finance, Inc. Gordian Knot Ltd. CP/MTN

ECP/EMTNA$CP/A$MTN

F1+/AAAF1+/AAAF1+/AAA

Silver Tower Funding Ltd.; Silver Tower US Funding, LLC Dresdner Bank AG CPECP/EMTN

F1+F1+/AAA

Special Purpose Accounts ReceivablesCooperative Corp. (SPARC) Canadian Imperial Bank Commerce F1

SPICE I J.P. Morgan Chase & Co. F1+SPICE II J.P. Morgan Chase & Co. F1+Star Marketers Acceptance Corp. Texaco Inc.; Shell Oil Co.; Saudi Aramco F1Stellar Funding Group, Inc. Firstar Bank, N.A. F1+STRAIT Capital Corporation Sumitomo Mitsui Banking Corporation Group F1Strategic Asset Funding Corp.Series A (SAFCO A) Sanwa Bank, Ltd. F1Strategic Asset Funding Corp.Series B (SAFCO B) Sanwa Bank, Ltd. F1Sunbelt Funding Corp. Compass Bank F1Sunflowers Funding Corp. ABN AMRO Bank N.V. F1+Superior Funding Capital Corp. Canadian Imperial Bank Commerce (London) CP

ECPF1+F1+

Tannehill Capital Corp. The Liberty Hampshire Co., LLC F1Thesee Limited BNP Paribas F1Three Crowns Funding LLC Skandinaviska Enskilda Banken F1Three Rivers Funding Corp. Mellon Bank, N.A. F1Thunder Bay Funding Inc. Royal Bank of Canada F1Tiger Peg Capital Corp. Exxon Mobil Corp. F1Trainer W ortham Fi rst Republic CBO I, Ltd. Trainer W ortham & Co., Inc. F1+Tricon Capital Corp. TRICON Global Restaurants, Inc. F1United Airlines First Funding Corporation United Air Lines, Inc. F1Vehicle Services of America Vehicle Services of America Ltd. F1+Victory Receivables Corp. The Bank of Tokyo-Mitsubishi, Ltd. F1VistaOne Metafolio, LLC IBEX Capital Markets, LLC F1Voyager Funding US Bank, N.A. F1VVR Funding, LLC Van Kampen Investment Advisory Corp. F1+WCP Funding, Inc. Citicorp North America, Inc. F1+Westways Funding I, Ltd. TCW Funds Management, Inc. F1Westways Funding II, Ltd. TCW Funds Management, Inc. F1Westways Funding III, Ltd. TCW Funds Management, Inc. F1Westways Funding IV, Ltd. TCW Funds Management, Inc. F1

Westways Funding V, Ltd. TCW Funds Management, Inc. F1Working Capital Management Co. L.P. The Industrial Bank of Japan, Ltd. F1



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Copyright 2001 by Fitch, Inc. and Fitch Ratings, Ltd. and its subsidiaries. One State Street Plaza, NY, NY 10004.Telephone: 1-800-753-4824, (212) 908-0500. Fax: (212) 480-4435. Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. All of theinformation contained herein is based on information obtained from issuers, other obligors, underwriters, and other sources Fitch believes to be reliable. Fitch does not audit or verify the truth oraccuracy of any such information. As a result, the information in this report is provided as is without any representation or warranty of any kind. A Fitch rating is an opinion as to thecreditworthiness of a security. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale ofany security. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified, and presented to investors by the issuer and its agents in connectionwith the sale of the securities. Ratings may be changed, suspended, or withdrawn at any time for any reason at the sole discretion of Fitch. Fitch does not provide investment advice of any sort.Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such feesgenerally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured orguaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment,publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United Statessecurities laws, the Financial Services Act of 1986 of Great Britain, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution,Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers.

Fitch Ratings] Asset-Backed Commercial Paper Explained

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