Fitch Affirms LMA's ABCP at 'F1sf'
KEY RATING DRIVERS
LMA's CP is fully supported by Credit Agricole Corporate and Investment Bank (CA CIB, A/Positive/F1), which acts as the programme's sponsor, administrator and liquidity provider. CA CIB's commitment under the transaction's liquidity facility agreements ensures the full and timely repayment of all maturing CP notes if LMA has insufficient funds on any CP maturity date. As such, the rating of the CP issued is mainly dependent on CA CIB's Short-Term Issuer Default Rating (IDR) and does not rely on transaction-specific or programme-wide credit enhancement.
The affirmation follows a discussion with CA CIB's management and takes into consideration the conduit's performance, CP issuance, portfolio composition, IT administration systems, administrative procedures and credit policies.
LMA is a multi-seller ABCP programme structured to issue billets de tresorerie, ECP and US CP. As of 31 July 2016, the total portfolio consisted of 102 transactions, up from 100 at the time of the previous annual review. All transactions in the conduit are fully supported. The portfolio consisted of trade receivables (80%), auto loans and leases (17%) and consumer loans (3%). LMA's outstanding CP was EUR11.4bn equivalent.
RATING SENSITIVITIES
The rating of LMA's ABCP is closely linked to and expected to move with the Short-Term IDR of its direct support counterparty, CA CIB. Unless appropriate remedial actions are taken, a downgrade of CA CIB would result in a corresponding downgrade of the rating of LMA's ABCP.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the LMA programme. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Transaction reporting provided by CA CIB as at 31 July 2016
- Discussions with CA CIB as at 15 September 2016
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