Fitch Rates Belmont Funding LLC's $10B ABCP Program 'F1'.

Business Editors

NEW YORK--(BUSINESS WIRE)--Oct. 2, 2003

Belmont Funding LLC's (Belmont Funding) $10.0 billion asset-backed commercial paper (CP) program, sponsored by Hudson Castle Group Inc. (Hudson Castle), is rated 'F1' by Fitch. The rating is based on the credit quality of the assets backing the variable funding notes (VFNs) expected to be purchased by Belmont Funding, transaction-specific credit enhancement, the 102% asset-specific liquidity support provided by 'F1' or higher rated banks or financial institutions, the administrative capabilities of Deutsche Bank Trust Company Americas, the program management and sub-administrative capabilities of Hudson Castle, and the program's sound legal structure. Hudson Castle, formerly IBEX Capital Markets, Inc., which was founded in 1996 as an independent specialty asset management and service company, currently sponsors four other CP vehicles.

Belmont Funding is a bankruptcy-remote, special purpose Delaware limited liability company established to issue up to $10.0 billion of 4(2) CP and use the proceeds to purchase VFNs backed by various financial assets. Belmont Funding may issue CP with maturities of up to 270 days from issuance. Belmont Funding is 100% owned by GSS Holdings (Belmont), Inc.

The VFNs purchased by Belmont Funding are issued by seller-specific special purpose entities (SPE) and are backed by asset purchases. Each VFN purchased by Belmont Funding includes an agreement providing for the purchase of financial assets (receivable purchase transactions or asset-backed securities) or the making of a loan or any other acquisition of an interest in financial assets. Belmont Funding is not currently subject to any explicit investment parameters, given the full credit and liquidity support assumed by certain liquidity agreements and the pre-review nature of all other assets purchased which benefit from traditional liquidity support. For pre-review transactions, Fitch will review and ensure that each transaction is structured to a credit quality commensurate with the rating assigned to the CP. Moreover, at the program's inception, Belmont Funding will not benefit from a fungible layer of programwide credit support.

VFNs are identified with individual seller-specific SPEs or portfolios, which consist of the assets sold into such SPE by the seller and supported by the related liquidity facilities and credit enhancement, and, if any, related hedge contract. The seller-specific SPEs are not cross collateralized to support all VFNs, each VFN only has claims against the related seller-specific SPE portfolio.

Liquidity support for Belmont CP is provided by transaction-specific liquidity asset purchase agreements (LAPAs). LAPAs will be entered into by Belmont Funding and sized to cover 102% of the purchase commitment of the related transaction.

Deutsche Bank Trust Company Americas serves as administrator, depositary and paying agent to Belmont Funding, and Hudson Castle serves as the program manager and sub-administrator. Global Securitization Services, LLC is appointed as Belmont Funding's managing agent.