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ASSET SECURITIZATION COOPERATIVE CORP. COMMERCIAL PAPER 'F-1+' BY FITCH -- FITCH FINANCIAL WIRE --

ASSET SECURITIZATION COOPERATIVE CORP. COMMERCIAL PAPER 'F-1+' BY FITCH
 -- FITCH FINANCIAL WIRE --
 NEW YORK, Nov. 3 /PRNewswire/ -- Asset Securitization Cooperative Corp.'s (ASCC) restructured $5.125 billion asset-backed commercial paper program is affirmed at 'F-1+' by Fitch. The rating is based on the high quality of the receivables purchased by ASCC, required reserves dedicated to each receivable portfolio, 8.0 percent credit enhancement, liquidity support provided by Canadian Imperial Bank of Commerce (CIBC), and CIBC's servicing capabilities.
 ASCC, a bankruptcy-remote California consumer cooperative corporation, was created to securitize financial assets. The assets include high quality trade and term receivables (64 percent/36 percent) originated by sellers of investment grade quality, at a minimum. ASCC's program currently consists of 22 individual portfolios. The asset purchases are funded by the issuance of commercial paper.
 Substantial credit enhancement protects noteholders from losses. The first layer of credit enhancement is a minimum loss reserve of 5 percent required for each receivable portfolio. In most cases, portfolios have reserves that are much larger than the required level. The average reserve level for August was around 19 percent or approximately 19 times losses to liquidations. Portfolio losses as a percentage of the reserves are very low as a result of CIBC's careful credit evaluation and monitoring. ASCC targets an 'AA' level for the average credit quality of the pool.
 The second layer of credit support is equal to at least 8 percent of the program. Approximately 75 percent of the credit enhancement is in the form of a cash collateral account (CCA). Capital Markets Assurance Corp. has supplied a surety bond for the remaining amount. This layer of credit enhancement provides protection against losses in excess of each portfolio's reserve and in some cases covers liquidity requirements.
 CIBC provides liquidity for the program. The amount of liquidity support is equal to the amount of CP outstanding less the CCA portion of the credit enhancement. The liquidity coverage ensures timely payment of noteholder obligations.
 CIBC acts as ASCC's servicing agent and is responsible for structuring and evaluating each proposed asset purchase by ASCC. In addition, CIBC monitors asset performance to ensure compliance with the credit and investment policy.
 -0- 11/3/92
 /CONTACT: Gracen Fraser, 212-908-0520, or J. Douglas Murray, 212-908-0518, both of Fitch/ CO: Asset Securitization Cooperative Corp. ST: California IN: SU: RTG


SH -- NY049 -- 2131 11/03/92 14:54 EST
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Publication:PR Newswire
Date:Nov 3, 1992
Words:396
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