Fitch Ratings has assigned an 'F1sf' rating to the asset backed commercial paper (ABCP) issued by Sheffield Receivables Corp., a partially supported multi-seller ABCP conduit sponsored by Barclays Bank plc (Barclays IDR rated 'A ROS/F1' by Fitch).
The rating is based on the credit and liquidity support provided by Barclays, the credit quality of the assets purchased by Sheffield, the managerial capabilities of Barclays, and the program's legal structure.
Sheffield is a multi-seller ABCP conduit program established in 1991 by Barclays. The conduit is structured as a special purpose, bankruptcy-remote, Delaware corporation. 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. Sheffield issues CP with a maximum tenor of 270 days (for U.S. dollar-denominated ABCP) and 183 days (for 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 Sheffield's sole liquidity and 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 the purchase limits of assets (excluding 'AAA' rated assets and fully guaranteed assets which include the government-guaranteed portion of FFELP student loan transactions) subject to a floor of $325 million.
As a bankruptcy-remote entity, Sheffield 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 Sheffield have agreed not to file or join in filing bankruptcy proceedings against Sheffield 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% program-wide credit enhancement and 100% liquidity support provided by Barclays, the credit quality of the assets purchased by Sheffield, the managerial capabilities of Barclays, and the program's legal structure.
RATINGS SENSITIVITIES
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 and benefits 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
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=797648
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Counterparty Criteria for Structured Finance and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=928775
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Contacts:
Fitch Ratings
Primary Analyst
Helen Anagnostos
Director
+1 212-908-0876
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Phillip Chan
Director
+1 212-908-0745
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1 212-908-9156
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com
