Fitch Expects to Rate 5 Money Market Investor Funding Facility Related ABCP Programs...

Fitch Expects to Rate 5 Money Market Investor Funding Facility Related ABCP Programs 'F1'

NEW YORK & LONDON--(Business Wire)--
Fitch Ratings expects to assign an 'F1' rating to each of five
asset-backed commercial paper (ABCP) programs that have been created
in conjunction with the recently announced Money Market Investor
Funding Facility (MMIFF). This Federal Reserve Board initiative is
designed to provide liquidity to U.S. money market investors by
facilitating the sales of money market instruments in the secondary
market.

The ABCP will be issued by the following (collectively, the
programs):

--Hadrian Funding Co., LLC (Hadrian);

--Trajan Funding Co., LLC (Trajan);

--Aurelius Funding Co., LLC (Aurelius);

--Antoninus Funding Co., LLC (Antoninus);

--Nerva Funding Co., LLC (Nerva).

Each is a special purpose bankruptcy-remote Delaware LLC. The five
programs are structurally identical and differ only with respect to
each one's unique list of approved obligors. Fitch expects to rate
each program 'F1':

--Hadrian, approximately $220 billion;

--Trajan, approximately $150 billion;

--Aurelius, approximately $135 billion;

--Antoninus, approximately $60 billion;

--Nerva, approximately $35 billion.

The proceeds of ABCP issuance will be used along with senior
secured loans from the Federal Reserve Bank of New York (FRBNY) to
fund the purchase of highly-rated short-term debt instruments from
money market mutual funds. Each asset will be 90% funded by overnight
loans from FRBNY and 10% by ABCP issuance. The programs' structure
does not incorporate an external liquidity facility. Rather, ABCP will
be maturity matched against the related assets. Prior to an event of
default, 90% of collections on the assets will be used to repay FRBNY
and 10% to repay ABCP holders. Upon an asset payment default,
repayment of ABCP becomes subordinate to the repayment of the loans
from FRBNY.

Each asset, which may be in the form of commercial paper,
certificates of deposit, or bank notes, must be issued by a permitted
obligor and purchased from an eligible seller. Upon acquisition, an
asset will have a remaining maturity of 90 days or less. Each program
will have an associated unique list of obligors each of which has a
short-term rating of at least 'F1'. As of the closing date, eligible
sellers will include SEC registered 2a-7 money market funds.

Fitch's analysis of the programs focused on a review by Fitch's
global Financial Institutions Group of each obligor in each of the
five programs. This analysis considered Fitch's current short-term
rating of the obligor as well as the evolving level of sovereign
financial intervention in the obligor's jurisdiction. This analysis
confirmed the very low level of default risk consistent with the high
ratings expected to be assigned to the programs.

In addition Fitch's 'F1' ratings on the programs are based on the
application of Fitch's ABCP criteria, the quality of assets being
purchased, the legal structure and the program's administrative
support.

The five programs have been arranged by J.P. Morgan Securities
Inc. and will be administered by Global Securitization Services, LLC.
J.P. Morgan Securities Inc. will serve as referral agent for each SPV
with respect to the assets being purchased.

Upon closing, Fitch will publish a new issue report on the
Hadrian, Trajan, Aurelius, Antoninus, and Nerva Funding Companies and
it will be available on the Fitch Ratings web site at
www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings
are available on the agency's public site, www.fitchratings.com.
Published ratings, criteria and methodologies are available from this
site, at all times. Fitch's code of conduct, confidentiality,
conflicts of interest, affiliate firewall, compliance and other
relevant policies and procedures are also available from the 'Code of
Conduct' section of this site.

Fitch Ratings
Darryl Osojnak, 212-908-0602 (New York)
Michael Dean, 212-908-0556 (New York)
Kevin Corrigan, 212-908-9156 (for ABCP, New York)
Charles Prescott, 20-7417-4306 (for Financial
Institutions, London)
Sandro Scenga, 212-908-0278 (Media Relations, New York)
sandro.scenga@fitchratings.com

Copyright Business Wire 2008