NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned an 'F1sf' rating to the asset backed commercial paper (ABCP) issued by Salisbury Receivables Co. LLC, a partially supported multi-seller ABCP conduit sponsored by Barclays Bank plc (Barclays; IDR 'A/F1', Outlook Stable by Fitch).
The rating is based on the credit and liquidity support provided by Barclays, the credit quality of the assets purchased by Salisbury, the managerial capabilities of Barclays, and the program's legal structure.
Salisbury is a multi-seller ABCP conduit program established in 2008 by Barclays. The conduit is structured as a special purpose, bankruptcy-remote, Delaware limited liability company. Its sole purpose is to issue 4(2) ABCP and use the proceeds to purchase and finance securitized receivables pools, loans, and other financial assets. Salisbury issues CP with a maximum tenor of 270 days (for U.S. dollar-denominated ABCP) and has the ability to issue Euro-denominated ABCP.
Barclays serves as the managing agent and administrative agent and is responsible for managing the day-to-day operations of the conduit. Barclays' responsibilities include negotiating and structuring all asset purchases, monitoring asset performance, arranging for the issuance and payment of CP, arranging transaction-specific credit and liquidity facilities, entering into hedge agreements, and making funding requests under the applicable liquidity and credit agreements, if necessary. Barclays is currently Salisbury's sole liquidity and program-wide credit enhancement (PWCE) provider. Additional liquidity coverage may be provided by other diversified sources. Liquidity is available to fund for 100% of the face amount of ABCP outstanding and PWCE is sized at 10% of outstanding CP subject to a floor of $300 million.
As a bankruptcy-remote entity, Salisbury may not incur any indebtedness other than the issuance of ABCP, requisite hedging obligations, draws pursuant to the liquidity agreements, the irrevocable LOC, and other incidental amounts permitted under the organizational documents. All parties contracting with Salisbury have agreed not to file or join in filing bankruptcy proceedings against Salisbury until one year and one day after all outstanding CP is paid in full.
Barclays will provide Fitch with monthly reporting on the conduit. Fitch monitors the conduit regularly and as warranted by events.
KEY RATING DRIVERS
The rating is based on the 10% PECE and 100% liquidity support provided by Barclays, the credit quality of the assets purchased by Salisbury, the managerial capabilities of Barclays, and the program's legal structure.
Per Fitch's Global Rating Criteria for Asset Backed Commercial Paper (October 2014): Barclays' rating, as liquidity provider, is a key element in determining the rating of the ABCP benefiting from its support. 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.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Rating Criteria for Asset-Backed Commercial Paper' (October 2014);
--'Global Structured Finance Rating Criteria' (August 2014);
--'Counterparty Criteria for Structured Finance Transactions' (May 2014).
Applicable Criteria and Related Research:
Global Rating Criteria for Asset-Backed Commercial Paper
Global Structured Finance Rating Criteria
Counterparty Criteria for Structured Finance and Covered Bonds