OREANDA-NEWS. December 08, 2015. Fitch Ratings says that LMA S.A./LMA-Americas LLC's (LMA) asset-backed commercial paper (CP) 'F1sf' Short-term rating is not affected by the amendment to the pre-funding provisions and US swing line facility.

LMA has the possibility of over-financing assets by issuing more CP than it acquires assets to secure market liquidity. This pre-funding was limited to overnight advances (i.e. the proceeds of the over-financing had to be used on the next day to acquire assets). The amendment extends the pre-funding capacity of LMA in June and December only. However, the over-financing is limited to 65% of the amount of assets acquired through a single pool of transactions and to 15% of the total amount of assets acquired by LMA. In addition, the maturity of the CP issued in excess of the assets refinanced by LMA will not have a maturity greater than 65 days. The proceeds of the issuance of this CP may be invested in short-term exposures to 'F1' rated entities with a maximum maturity of one day.

The US swing line facility has also been amended so that it can now be drawn for any reasons. Previously, the facility existed solely to mitigate any liquidity provider's inability to deliver funding because of the time differences between New York City and the location of the liquidity provider. Credit Agricole Corporate and Investment Bank (CA CIB, A/Positive/F1), New York branch is the US swing line provider.

These amendments have no impact on the fully-supported nature of LMA. All assets acquired by LMA benefit from 102% liquidity support, provided by CA CIB. Liquidity support covers liquidity risk, in the event LMA cannot issue new CP to pay maturing CP, and the credit risk for each transaction, irrespective of the performance of the underlying assets. As such, the rating of the ABCP issued is mainly dependent on the Short-term IDR of the liquidity provider and does not rely on transaction-specific or programme-wide credit enhancement.