July 23 (Reuters) - (The following statement was released by the rating agency)
Fitch Ratings has affirmed Churchill Loan Asset Securitisation Programme LLC’s (Churchill) asset-backed commercial paper (ABCP) Short-term rating of ‘F1sf’ following a satisfactory review of the programme and its underlying portfolios.
The affirmation is driven by the full liquidity support provided by Royal Bank of Scotland (RBS, A/Stable/F1) to all transactions funded by Churchill. The affirmation follows a discussion with the management of RBS, which acts as the programme’s sponsor and main liquidity provider. The affirmation also takes into consideration the conduit’s performance, commercial paper (CP) issuance, IT administration systems, administrative procedures, credit policies and portfolio composition.
All transactions benefit from a fully supporting liquidity facility, available at transaction level, covering 102% of the sellers limit irrespective of the performance of the underlying acquired assets. Hence, the credit risk to the CP holders becomes fully dependent on the liquidity support provided by RBS.
If RBS’s Short-term rating was downgraded, the CP notes issued by Churchill may be downgraded.
Churchill, launched in March 2009, is structured to issue USD-denominated CP up to a maximum aggregate amount of USD40bn. CP is issued to fund the purchase of eligible assets and all assets funded by Churchill are fully supported by transaction-specific liquidity facilities. Churchill also has the ability to issue extendible notes with a tenor of up to 185 days. As at end-June 2013, Churchill had USD3.5bn of CP outstanding