Sept 20 (The following statement was released by the rating agency)
Fitch Ratings says the restructuring of the Scaldis Capital programme will not affect the 'F1sf' Short-term rating on the asset-backed commercial paper (CP) issued by the programme.
Based on discussions with the programme's sponsor, BNP Paribas Fortis SA/NV (BNPP Fortis, A+/Stable/F1), Fitch understands that the changes have been made to streamline the programme's structure and to allow Scaldis to issue CP with additional features. The agency is of the opinion that none of these changes is detrimental to the CP's rating.
The Scaldis programme is made up of three bankruptcy-remote, special-purpose vehicles, Scaldis Capital Limited (Scaldis Jersey), a Jersey corporation; Scaldis Capital LLC (Scaldis USA), a Delaware company; and Scaldis Capital (Ireland) Limited (Scaldis Ireland), an Irish company. Prior to the changes, Scaldis Ireland was the sole issuer of European CP (ECP), with maturities up to 364 days, and Scaldis Jersey and Scaldis USA co-issued US CP, with maturities up to 270 days.
Post-restructuring, Scaldis Ireland will still be the ECP issuer, Scaldis USA will become the sole issuer of US CP, and Scaldis Jersey will no longer face the market. In addition, Scaldis Jersey will enter a run-down phase and will not purchase any new assets, while the assets that currently are on its balance sheet will be funded through variable-funding notes purchased by the other two Scaldis entities. All new assets under the programme will be allocated to either Scaldis Ireland or Scaldis USA. Each issuing entity will use proceeds from CP to fund assets on its balance sheet or to lend funds to another Scaldis entity. A cross-guarantee, whereby Scaldis Ireland guarantees the notes issued by Scaldis USA and vice versa, will ensure all CP holders have equal claim on all assets in the programme.
The programme-wide credit enhancement (PWCE) will be provided by a letter of credit (LoC) issued by BNPP Fortis to Scaldis Ireland and available to Scaldis USA. The existing LoC issued to Scaldis Jersey and the confirming LoC issued to Scaldis USA will be terminated. The total PWCE available to the programme will remain unchanged at USD120m.
The maximum programme size will be reduced to USD12bn from USD35bn. Fitch does not consider modifications to the programme size to be material to its assessment of the rating, provided that they are accompanied by the corresponding resizing of the other relevant programme limits, in particular the liquidity facilities' commitment.
The new programme documentation was signed today (the closing date), but the effective date, based on the maturity of the longest-tenor CP in issuance on the closing date and other conditions, is expected to be in December 2013. CP issued between the closing date and the effective date will only begin to be governed by the new documentation from the effective date.
The following changes will also occur:
- Under the new documentation, Scaldis will be able to issue callable CP, puttable CP, puttable-callable CP and extendible CP.
- Scaldis USA will no longer be owned by Scaldis Jersey, while Scaldis Ireland will have its ownership simplified to one shareholder from three.
- The credit and investment policy for eligible securities (a sub-set of Scaldis' assets) will be loosened, but as such securities have been covered by fully-supporting liquidity facilities since August 2011, Fitch considers this change immaterial for rating purposes.
Scaldis is a partially-supported, multi-seller ABCP programme structured to issue USD, EUR and GBP denominated CP. The CP is issued to fund the purchase of certain types of eligible assets and eligible securities. As of 31 July 2013, the portfolio primarily consisted of consumer finance assets such as credit card receivables, and auto loans and leases (55% of the portfolio), CLOs (31%) and non-US RMBS (7%). Scaldis' outstanding CP was USD3.9bn.
An updated Full Rating Report will shortly be available at www.fitchratings.com.