Fitch Concludes U.S. ABCP Portfolio Review; Affirms 26 Programs Totaling $113B

NEW YORK--()--Fitch Ratings has affirmed 26 U.S. ABCP programs following the completion of its annual portfolio review.

Fitch's review of 26 U.S. ABCP programs, totaling approximately $113 billion in outstandings, was based on December 2014 issuer information. The rating actions are based on a review of the conduits' portfolio compositions and the vehicles' credit and structural protections such as transaction-specific and program-wide credit and liquidity support.

In its review of the portfolio compositions, Fitch primarily analyzed exposures to, and major shifts in, asset allocation, financial guarantors and other counterparties.

In addition to this formal annual review of all programs, Fitch actively monitors all ABCP counterparty exposures on a daily basis and each program's underlying portfolio dynamics on a monthly basis.

KEY RATING DRIVERS:

The ratings are based on each conduit's program-wide credit enhancement and liquidity support provider ratings and managerial capabilities, the credit quality of the assets purchased, and the program's legal structure.

RATING SENSITIVITIES:

Given the contractual and practical relationships between conduits and the entities that provide liquidity and credit support to them (typically the sponsoring financial institution), ABCP will have short-term credit ratings not higher than the ratings of the liquidity and credit support providers. Therefore, ABCP ratings are most sensitive to changes to them. This is the case for the ratings Fitch assigns to the notes issued by both fully and partially supported conduits. Fitch's initial rating analysis as well as its surveillance process for partially supported programs involves a review of the sponsoring/administrating entity's ability to underwrite, structure, and actively manage transactions such that the support afforded them is adequate given the transactions' credit risk.

Fitch has affirmed the following U.S. ABCP program ratings:

--Alpine Securitization Corp. at 'F1sf';

--Aspen Funding Corp. at 'F1+sf';

--Atlantic Asset Securitization LLC at 'F1sf';

--Autobahn Funding Co. LLC at 'F1+sf';

--Barton Capital, LLC at 'F1sf';

--CAFCO, LLC at 'F1sf';

--CHARTA, LLC at 'F1sf';

--CIESCO, LLC at 'F1sf';

--CRC Funding, LLC at 'F1sf';

--Dealers Capital Access Trust (DCAT, LLC) at 'F1sf';

-- Gemini Securitization Corp., LLC at 'F1+sf';

--Gotham Funding Corp. at 'F1sf';

--Govco, LLC at 'F1sf';

--Hannover Funding Company LLC at 'F1sf';

--Jupiter Securitization Company at 'F1sf';

--Newport Funding Corp at 'F1+sf';

--Old Line Funding, LLC at 'F1+sf';

--Salisbury Receivables Co. LLC at 'F1sf';

--Sheffield Receivables Company LLC at 'F1sf';

--Thunder Bay Funding, LLC at 'F1sf';

--Versailles Commercial Paper LLC at 'F1sf';

--Victory Receivables Corporation at 'F1sf';

--Washington Lee Capital Company, LLC at 'F1sf';

--White Plains Capital Company, LLC at 'F1sf';

--White Point Funding, Inc. at 'F1sf';

--Working Capital Management Co. L.P. at 'F1sf'.

Additional information is available at 'www.fitchratings.com'.

Individual Representations, Warranties, and Enforcement Mechanisms reports are available for all ABCP programs initially rated on or after Sept. 26, 2011 at www.fitchratings.com.

Applicable Criteria and Related Research :

--'Global Rating Criteria for Asset-Backed Commercial Paper' dated Oct. 30, 2014;

--'Counterparty Criteria for Structured Finance and Covered Bonds' dated May 14, 2014;

--'Global Structured Finance Rating Criteria' dated Aug. 4, 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Asset-Backed Commercial Paper

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=797648

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981824

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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 MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Brian Perry
Associate Director
+1-212-908-0142
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Brian Perry
Associate Director
+1-212-908-0142
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com