OREANDA-NEWS. Fitch Ratings has affirmed Cancara Asset Securitisation Ltd/Cancara Asset Securitisation LLC's (Cancara) asset-backed commercial paper (ABCP) rating at 'F1sf' following a review of the programme.

KEY RATING DRIVERS
Cancara's CP is fully supported by Lloyds Bank Plc (Lloyds, A+/Stable/F1), which acts as the programme's sponsor and main liquidity provider. Lloyds's commitment under the programme liquidity agreement ensures the full and timely repayment of all maturing CP notes if Cancara has insufficient funds on any CP maturity date. The CP rating is therefore linked to Lloyds's Short-term Issuer Default Rating of 'F1'.

The affirmation follows a discussion with the management of Lloyds and takes into consideration the conduit's performance, CP issuance, portfolio composition, IT administration systems, administrative procedures and credit policies over the previous 12 months. The conduit has been administered in line with other Fitch-rated ABCP programmes.

TRANSACTION CHARACTERISTICS
Since the last rating action in January 2015, two transactions have been repaid and 10 transactions have been added to the programme, bringing the total portfolio to 45 transactions as of end-November 2015. The portfolio still predominantly comprises auto lease or auto loan receivables at 39.5%, followed by trade receivables and insurance premium funding loans at 13.1% and 9.7%, respectively. Geographic distribution of the portfolio remains stable with 42.4% of the portfolio exposed to the UK and a further 37% to the US.

Effective from April 2015, Lloyds removed the provision for programme-wide credit enhancement. Cancara is now a fully supported ABCP programme (previously all transactions in the conduit already benefited from full support liquidity at the transaction level; see 'Fitch: No Impact on Cancara's ABCP Rating from Programme Amendment' dated 19 December 2014 on www.fitchratings.com).

In July 2015, Lloyds amended the transaction documents to comply with the Rule 3a-7. For as long as the company relies on Rule 3a-7, no put note or put-call note will have a stated maturity date later than the 270 days from and including the date of issuance of the put note or put-call note.

Cancara is a multi-seller ABCP programme structured to issue US and European CP in various currencies to fund the purchase of diverse asset types up to a maximum programme limit of USD20bn. As of end-November 2015, Cancara had a total USD10.7bn outstanding CP.

More details are in the Cancara full rating report which is available at www.fitchratings.com.

RATING SENSITIVITIES
If the Short-term Issuer Default Rating of Lloyds is downgraded, the rating of Cancara's CP would also be downgraded.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed 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 asset pool and the transaction. There were no findings that were material to this 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.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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.

SOURCE OF INFORMATION
The information below was used in the analysis:
-Cancara monthly investor reports
-Onsite presentation material provided by Lloyds