March 18 (The following statement was released by the rating agency)
Fitch Ratings has affirmed asset-backed commercial paper (CP) issued by Thames Asset Global
Securitisation No.1 Inc.'s (TAGS), Churchill Loan Asset Securitisation Programme LLC
(Churchill) and Orchid Funding Corporation (Orchid) at 'F1sf', following a review of three
KEY RATING DRIVERS
The rating affirmations are driven by the liquidity support provided by Royal
Bank of Scotland (RBS, A/Stable/F1) to the transactions funded in TAGS,
Churchill and Orchid.
The rating action follows a discussion with the management of RBS and takes into
consideration the conduits' performance, commercial paper (CP) issuance,
portfolio composition, IT administration systems, administrative procedures and
credit policies over the previous 12 months.
TAGS held 13 assets as of end-February 2014, seven of which are classified as
fully supported transactions. The remaining six assets are partially supported,
exposing the CP to the underlying assets' risk. As all transactions in TAGS are
currently funded by the fully drawn liquidity facilities, this prevents further
issuance of the CP to fund these assets. Fitch considered this feature as
supportive of the 'F1sf' rating on TAGS's CP.
In Churchill all transactions benefit from the full liquidity support provided
by RBS, thus eliminating the exposure to the underlying asset performance risk.
At the same time, the remaining six transactions in Orchid are fully wrapped by
the drawn liquidity facilities from RBS.
If RBS's Short-term IDR is downgraded, the rating of the CP of TAGS, Churchill
and Orchid would also be downgraded.
TAGS is a partially supported, multi-seller ABCP programme structured to issue
euro, GBP and USD CP to fund the purchase of diverse asset types up to a maximum
programme limit of USD40bn.
During 2013, 19 transactions have been terminated or removed from TAGS and 13
transactions remained, with one being newly added to the conduit. As of
end-February 2014, TAGS had a total CP outstanding of USD250,000.
Churchill is a fully supported programme and is structured to issue
USD-denominated CP up to a maximum amount of USD40bn. The conduit currently
funds one asset pool, consisting entirely of unsecured personal loans. As of
end-January 2014, Churchill had a total CP outstanding of USD3.6bn.
Orchid is a partially supported multi-seller conduit and no CP has been issued
or remains outstanding.