| Current ratings(i) | ||||
|---|---|---|---|---|
| Rating | ||||
| ABCP notes(ii) | A-1 (sf) | |||
| (i)See Appendix for the full ratings table. (ii)The ABCP notes can be issued at a discount or bear interest at a fixed or floating rate. To the extent any seller-related borrowings are LIBOR-based, fallback provisions are applicable referencing alternate rates such as the SOFR, the Federal Funds Rate, or any other base rate with varying reset periods as specified in the transaction documents. The ABCP is denominated in U.S. dollars. ABCP--Asset-backed commercial paper. | ||||
Rationale
The short-term 'A-1 (sf)' ratings on La Fayette Asset Securitization LLC's (La Fayette) U.S. dollar-denominated asset-backed commercial paper (ABCP) notes are primarily based upon:
- The program's legal structure, including La Fayette's intended bankruptcy-remote status;
- The full credit and liquidity support provided by liquidity agreements for all transactions funded in the program;
- The support providers rated 'A-1' or higher that provide liquidity or indemnification support for any hedging shortfalls;
- The amounts received from the liquidity agreements being sufficient to pay the outstanding standard, callable, puttable, and puttable/callable ABCP notes on their respective payment dates; and
- The experience and ability of Credit Agricole Corporate and Investment Bank New York Branch (Credit Agricole New York branch), as program administrator, to carry out day-to-day operational services to La Fayette, such as adding new sellers, monitoring seller performance, monitoring ABCP note maturities, and, if necessary, drawing on liquidity to repay ABCP notes on a timely basis.
Environmental, Social, And Governance (ESG)
The credit quality of the underlying assets is not material to our rating analysis, and so there generally are no material ESG credit factors at the asset level. Support providers in ABCP conduits are typically highly rated financial institutions, and our assessment of their creditworthiness incorporates any material ESG credit factors. In our view, exposure to ESG factors in this transaction is limited to the factors related to the support provider. For further information, see our U.S. and Canadian, EMEA, Asia-Pacific, and Latin American bank ESG industry report cards (https://www.spglobal.com/ratings/en/products-benefits/products/esg-in-credit-ratings#sector-report-cards).
Program Structure
The chart below shows an overview of the program's structure.
Transaction chart
Key Features
La Fayette is a bankruptcy-remote special-purpose, Delaware limited liability company.
La Fayette was established to issue U.S. dollar-denominated standard, callable, puttable, and puttable/callable ABCP notes at a discount or bear interest at a fixed or floating rate. The proceeds of the ABCP note issuance will be used to finance the purchase of financial assets such as trade receivables, auto loans, auto wholesale, auto leases, commercial loans, and diversified equipment finance that will be identified and arranged by Credit Agricole New York branch for acquisition. It is our understanding that La Fayette does not intend to finance interests in equity common stock, and any risks relating to owning operating assets are mitigated by structural features.
The ABCP notes can be standard, callable, puttable, or puttable/callable. The standard and callable ABCP notes will have a maturity of up to 395 days, while the puttable and puttable/callable ABCP notes will have a maturity of up to 270 days. For ABCP notes with an optional feature that is not exercised, the ABCP note is required to be paid on its stated maturity date in an amount equal to principal and interest or discount (as applicable), accrued and unpaid or accreted up to the stated maturity date.
For the callable ABCP notes, La Fayette has the option to pay the ABCP notes in whole or in part prior to its maturity date. For the puttable ABCP notes, the holder has the option to require La Fayette to pay the ABCP notes in whole or in part prior to its maturity date. For the puttable/callable ABCP notes, La Fayette has the option to pay, and the holder has the option to require La Fayette to pay the ABCP notes prior to its maturity date. The related pricing supplements will specify the option priority if both options are exercised. Principal and interest or discount (as applicable) accrues up to the applicable call or put date only.
Program Overview
| Program details | |
|---|---|
| Program name | La Fayette Asset Securitization LLC. |
| Program type | Multi-seller. |
| Sponsor | Credit Agricole Corporate and Investment Bank. |
| Administrative agent | Credit Agricole Corporate and Investment Bank New York Branch |
| Maximum program limit | Not applicable. |
| Reported program-wide credit enhancement | Not applicable--fully supported. |
| Support type | Full. |
| Review type | Template-assisted. |
| Preference risk | Covered by the liquidity agreement. |
| Bankruptcy-remoteness | Opinions, as applicable, were reviewed as part of La Fayette Asset Securitization LLC's bankruptcy remoteness status under Delaware law. |
| Rating dependent participants | |
| Liquidity provider | Credit Agricole Corporate and Investment Bank. |
| Support provider | Credit Agricole Corporate and Investment Bank. |
| Bank account providers | Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon. |
| Non-rating dependent participants | |
| Administrative agent | Credit Agricole Corporate and Investment Bank New York Branch. |
| Depositary/issuing and paying agent | Deutsche Bank Trust Co. Americas. |
| Managing agent | Global Securitization Services LLC |
| Trustee | The Bank of New York Mellon |
Counterparty/Credit Quality
Liquidity support
Credit Agricole Corporate and Investment Bank (CACIB) provides a liquidity agreement for each transaction. Liquidity funds for the face amount of the ABCP notes in the event that La Fayette provides notice. Assets funded in La Fayette typically include financial asset-backed pools.
Credit support
All transactions in La Fayette are fully supported by a liquidity agreement covering all related credit risk.
Interest rate protection
La Fayette has the ability to issue floating-rate ABCP notes. To cover any floating-rate interest rate risk, CACIB is required to allocate a required minimum excess fungible liquidity amount available to pay accrued or to be accrued interest to maturity on any ABCP notes equal to the stress interest rate (20%) multiplied times the amount of floating-rate ABCP notes issued times the maximum ABCP note tenor (days) of floating-rate ABCP notes issued. Credit Agricole New York branch, as administrative agent, provides indemnification to La Fayette for any losses or costs La Fayette may incur due to errors in interest rate calculation that results in a shortfall of funds to pay maturing ABCP notes.
Foreign exchange hedging
Liquidity and ABCP notes will always be denominated in U.S. dollars, and so there will be no foreign exchange risk incurred by the holder. However, the assets can be denominated in other currencies, but the conversion of U.S. dollar-issued ABCP notes will be done via the conduit entering in a hedge contract, swap, or other derivative instrument designed to hedge against those currency exchange risks. Credit Agricole New York branch, as administrative agent, provides indemnification to La Fayette for any losses or costs La Fayette may incur due to errors in calculating foreign currency hedging payments that results in a shortfall of funds to pay maturing ABCP notes.
Liquidity outs and limitations
The liquidity provider is not obligated to fund the conduit beyond its liquidity commitment. The liquidity facilities are not conditional upon the occurrence of any specific drawing events, and La Fayette is entitled to exercise its rights under the liquidity facilities at any time and for any reason.
Legal
Substantive consolidation
La Fayette is a limited liability company organized in Delaware. La Fayette Securitization Member Inc. is the sole equity owner of La Fayette. La Fayette has been analyzed as consistent with S&P Global Ratings' bankruptcy-remoteness criteria.
Clawback/preference risk
ABCP note investors are insulated from legal risks associated with a seller or originator bankruptcy. This is accomplished by the liquidity provider funding all preference payments through each liquidity agreement.
Cash Flow And Payment Structure
Liability issuance tests
Credit Agricole New York branch, on behalf of La Fayette, is not permitted to instruct Deutsche Bank Trust Co. Americas, as depositary, to issue ABCP notes if:
- The face amount of outstanding ABCP notes exceeds the aggregate amount of purchase commitments;
- Total support obligations under the liquidity facility exceed the available liquidity commitment;
- The face amount of outstanding ABCP notes exceeds the available asset purchase commitment;
- The face amount of pre-funded outstanding commercial paper notes exceeds $3,000,000,000, or the aggregate anticipated funding requirements after such date through the following two-week period;
- The ABCP note tenor exceeds 395 days from the date of issuance or 270 days for puttable and puttable/callable ABCP notes;
- The amount of floating-rate ABCP note outstanding would exceed $4,000,000,000. Furthermore, on any day, the total available excess liquidity support to cover the interest for the floating-rate ABCP notes must not be greater than the required minimum excess floating-rate ABCP note liquidity amount.
- The ABCP note tenor is later than the fifth business day preceding the liquidity or program termination date; and
- The ABCP notes would be required to be registered under the Securities Act pursuant to the exemption from such registration requirements specified in the transaction documents.
Program wind-down events
The events that would cause La Fayette to stop issuing the ABCP notes include:
- ABCP notes not being paid when due and payable;
- Failure by CACIB to honor its obligations as liquidity provider; and
- The insolvency of La Fayette.
Waterfall/payment priority
Upon an event of default, the trustee can disburse proceeds from collections in the following order of priority:
- Fees to the trustee not exceeding $500,000;
- Pay maturing ABCP notes;
- Pay on a pro rata basis the unpaid principal and accrued interest on liquidity advances and depositary advances, respectively, to the liquidity provider and the depositary;
- Pay any additional fees, costs, expenses, and indemnities to the trustee;
- Pay on a pro rata basis all unpaid principal and accrued interest on liquidity advances under the liquidity loan agreements, purchase price under the liquidity asset purchase agreements, and reimbursement obligations under any seller LOC agreements;
- Pay on pro rata basis any hedging obligations; and
- Pay on pro rata basis any fees and expenses to the liquidity provider, placement agents, managing agent, and administrative agent.
Operational Risk
Review status
Any new seller funded in the conduit will be fully supported by a form liquidity agreement that has been reviewed by S&P Global Ratings and qualifies as template-assisted post review under our criteria. Liquidity covers all credit risks related to the assets.
Administrator review
The program administrator's experience and past performance are factors in the ratings process. S&P Global Ratings conducts administrator business reviews to evaluate Credit Agricole New York branch's ability to carry out responsibilities under the program documents, such as:
- Originating and structuring new receivables pools;
- Performing a formal credit evaluation for each new seller and the related receivables;
- Maintaining ongoing surveillance of liquidity facilities;
- Maintaining and administering the issuance and maturity of ABCP notes; and
- Drawing on liquidity facilities as necessary to repay ABCP note holders on a timely basis.
Based on the outcome of the reviews and ongoing communications with Credit Agricole New York branch, we are satisfied that Credit Agricole New York branch is capable of carrying out its responsibilities under the program documents.
Surveillance
The ratings on all support providers in La Fayette are 'A-1 (sf)' or higher. S&P Global Ratings monitors the ratings on all support providers on an ongoing basis.
Portfolio data
The conduit administrator has provided capacity utilization data for the portfolio as a part of S&P Global Ratings' ABCP conduit surveillance process that is presented below in a standardized format.
Chart 2
Related Criteria
- Criteria | Structured Finance | General: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | ABCP: Global Methodology For Analyzing Liquidity Funding Outs And Limitations In ABCP Transactions, Oct. 27, 2014
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- Criteria | Structured Finance | General: Global Methodology And Assumptions For Calculating Programwide Credit Enhancement In Multiseller ABCP Conduits, Feb. 14, 2013
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- Criteria | Structured Finance | ABCP: Asset-Backed Commercial Paper Issued By Multiseller Conduits: Classification And Timing Of Reviews For New-Seller Transactions, April 18, 2011
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | ABCP: S&P Global Ratings' Analysis Of ABCP Ratings Following Changes To Ratings On Support Providers, Dec. 18, 2008
- Criteria | Structured Finance | ABCP: Global Asset-Backed Commercial Paper Criteria, Sept. 29, 2005
Related Research
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- Standard & Poor's Clarifies Its Approach To Requests For Rating Agency Confirmation On Structured Finance Transactions, May 18, 2012
- Assessing Credit Quality By The Weakest Link, Feb. 13, 2012
- Standard & Poor's Requests Transaction Performance Metrics From Sponsors Or Administrators Of Global ABCP Conduits, Jan. 12, 2012
Appendix
| Current ratings | ||||
|---|---|---|---|---|
| Type | Rating | |||
| Standard ABCP notes(i) | A-1 (sf) | |||
| Callable ABCP notes(i) | A-1 (sf) | |||
| Puttable ABCP notes(i) | A-1 (sf) | |||
| Puttable/callable ABCP notes(i) | A-1 (sf) | |||
| (i) S&P Global Ratings now issues new ratings for ABCP as a single issue "ABCP notes" rating without any distinction by note type (i.e., standard, callable, puttable, callable/puttable, etc.). This does not reflect any change in S&P Global Ratings' credit rating opinion on ABCP we rate and is solely an administrative change. ABCP--Asset-backed commercial paper. | ||||
This report does not constitute a rating action.
| Primary Credit Analyst: | Radhika Kalra, New York + 1 (212) 438 2143; radhika.kalra@spglobal.com |
| Secondary Contacts: | Dev C Vithani, New York + 1 (212) 438 1714; dev.vithani@spglobal.com |
| Lisa Ardolina, New York + 1 (212) 438 3810; lisa.ardolina@spglobal.com | |
| Research Contributor: | Pooja Vador, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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