Jan 18 - Fitch Ratings has affirmed Atlantis One Funding Corporation and Atlantis Two Funding Corporations’ (Atlantis One and Atlantis Two) asset backed commercial paper (ABCP) notes Short-term rating at ‘F1+sf’ and ‘F2sf’ respectively.
The rating action follows a satisfactory review of the conduit’s performance and the notification of the intended program wind down in 2013. Fitch reviewed the monthly reports on the reference portfolio and noted no material change in the credit quality of the reference obligations over the past year. Since the inception of the program, there were a very small number of credit events and the associated losses were covered by the excess spread. The available credit enhancement (in the form of first loss amount) remains intact.
Fitch was informed by the program sponsor, Rabobank ( ‘AA’/Stable/‘F1+'), of the intention to wind down Atlantis One and Atlantis Two in an orderly and timely manner. As a result, the amount of CP outstanding will start to contract. The last CP is scheduled to be matured in July 2013, after which the programs are expected to be terminated.
Atlantis One and Atlantis Two are bankruptcy remote, special-purpose, Delaware-based corporations established to issue up to USD13.8bn and USD0.503bn of CP with maximum maturities of up to 364 and 95 days, respectively.
The proceeds of the CP issuance are used to finance or refinance loans to Atlantis Finance Ltd., Atlantis Finance (Two) Ltd. and Atlantis Finance (Three) Ltd., (collectively, the Atlantis Finance Companies) pursuant to senior and subordinated CP loan agreements. The proceeds of the loans cash collateralize the obligations of the Atlantis Finance Companies by way of portfolio credit default swaps entered into by the Atlantis Finance Companies (as credit protection sellers) with various subsidiaries of Rabobank in The Netherlands, USA and Australia (as credit protection buyer,).
At end-November 2012, the face value of the CP outstanding to Atlantis One was USD13.2bn and to Atlantis Two was USD0.484bn.