Fitch Rates La Fayette Asset Securitization LLC ABCP 'F1'.

Business Editors

NEW YORK--(BUSINESS WIRE)--Jan. 7, 2002

Fitch rates La Fayette Asset Securitization LLC (La Fayette), a new asset-backed commercial paper conduit (ABCP) 'F1'.

La Fayette, sponsored by Credit Lyonnais (rated 'A/F1' by Fitch), is a bankruptcy-remote, special purpose Delaware limited liability corporation established to issue 4(2) US$ denominated and Euro-denominated asset-backed commercial paper (CP) and use the proceeds to purchase or make loans secured by receivables and other financial assets, including asset-backed securities (ABS).

La Fayette is supported by two layers of credit enhancement that provide protection from losses. The first layer of credit enhancement is transaction-specific loss reserves that are tailored to reflect each asset pool's risk characteristics and are sized so that the transaction's credit quality is commensurate with the rating of the CP. The second layer of loss protection is program-wide credit enhancement provided by Credit Lyonnais in the form of an irrevocable Letter of Credit (LOC). The LOC is sized at 8% of the purchase limits or loan limits, excluding highly rated assets, with a floor amount of $50,000,000.

The timely repayment of CP is ensured by 100% liquidity support provided in the form of transaction-specific liquidity asset purchase agreements. Liquidity support must be provided by banks or financial institutions that are rated at least 'F1'.

Credit Lyonnais, New York Branch, is La Fayette's administrative agent and is responsible for identifying sellers, structuring asset purchases, monitoring La Fayette's portfolio performance, obtaining funds under the related liquidity or enhancement agreements when necessary, and administering the issuance, sale, and timely payment of CP. Global securitization Services LLC (GSS) serves as Manager.