Fitch Rates Four Winds Funding LLC's Floating-Rate Notes 'F1'.

Business Editors

NEW YORK--(BUSINESS WIRE)--March 26, 2001

Four Winds Funding LLC's (FWF LLC) $2 billion floating-rate note (FRN) program, sponsored by Commerzbank Aktiengesellschaft, New York branch (Commerzbank), is rated 'F1' by Fitch.

The rating assigned to the FRNs is based on the credit quality and match-funded nature of the underlying collateral, the $20 million subordinated capital note issuance facility, Commerzbank's strong administrative capabilities, and the program's sound legal structure.

FWF LLC is a special purpose, bankruptcy-remote Delaware limited liability company established to issue up to $2 billion of London Interbank Offered Rate (LIBOR) indexed FRNs and use the proceeds to purchase asset-backed CP issued Four Winds Funding Corp. (FWF Corp., rated 'F1' by Fitch). FRNs may have maturities of up to 390 days, however will be managed to range from 181 to 365 days.

FRNs issued by FWF LLC rank pari passu with each other and senior to all other obligations of FWF LLC, other than obligations associated with any of the program's hedging agreements. FRNs are issued at par, and bear interest at a floating rate equal to LIBOR plus or minus a spread.

The interest rate on the FRNs will reset on either a monthly, quarterly or semi-annual basis, depending on the terms and conditions of the associated pricing supplement. In any event however, the maturity of the program's underlying assets, FWF Corp. CP, will be match-funded to the interest payment dates of the corresponding FRNs.

Coverage of the required interest payments on the FRNs is achieved by initially purchasing FWF Corp. CP with sufficient yield and a matched maturity to that of the FRNs, and 'rolling' it in a similar fashion thereafter. Interest rate ceilings and/or floors may also be implemented for FRN issuance, as outlined in the corresponding pricing supplement.

On each interest payment date of the outstanding FRNs, various collateral tests will be performed against FWF LLC's assets and liabilities to ensure that FWF LLC has sufficient collateral to cover the outstanding FRNs, as well as the maximum amount of prepayment and negative carry risk associated with the FRN issuance.

In the event that any of the collateral tests are failed, a redemption event will be deemed to have occurred, and FWF LLC must prepay all (at its own discretion) or a portion (in an effort to remedy such test's failure) of the outstanding FRNs within three days following the associated interest payment date. Additionally, a CP stop-issuance event under FWF Corp. will trigger a redemption event, and FWF LLC must prepay all outstanding FRNs within three days following the associated interest payment date.