Fitch Ratings: Do Headline Names Put ABCP Investors at Risk?

Business Wire, June 27, 2005

NEW YORK -- According to a recent study completed by Fitch, most ABCP programs have exposure to one or more of the companies and sectors that have dominated the business headlines over the past six months. Using its proprietary S.M.A.R.T. database, Fitch selected a number of corporate names and two structured finance sectors that have elicited the most inquiry from investors to determine the average exposure in the Fitch-rated ABCP programs they own. Selected for the analysis were corporate names GM/GMAC, Ford/Ford Motor Credit, AIG, and two structured finance sectors, residential mortgages and CDOs.

The analysis revealed that one in three Fitch-rated conduits have exposure to the mortgage or CDO sector and approximately two out of five have exposure to both. In addition, Fitch found that nearly one in five conduits have exposure to GM or GMAC through either auto-related products (loan, lease, and dealer floorplan) or mortgage ABS. Likewise, one in seven ABCP conduits has exposure to Ford-related transactions or assets. A similar percentage of conduits have exposure to AIG via credit and liquidity facilities. While Fitch is comfortable that the exposure to these names and sectors is adequately accounted for in the analysis and rating of the ABCP conduits, investors may be unaware of the absolute magnitude of exposure.

During its upcoming conference on Wednesday, July 13, 2005 'Spotlight on the Short Term Market,' Fitch will gather an array of senior corporate and structured finance analysts to discuss trends in the unsecured and secured CP markets including an in-depth look at the names and sectors noted above. The conference will be held at Cafe Gray, Time Warner Center, 10 Columbus Circle 3rd Floor, in New York City. To register or for more information, contact Rachel Gold 212-908-0719 or at rachel.gold@fitchratings.com.

Fitch's rating definitions are available on the agency's public web site, www.fitchratings.com. Published ratings, criteria and methodologies, and relevant policies and procedures are also available from this site, at all times. This document will remain on the public site for seven days.