CORPORATE ASSET FUNDING COMPANY COMMERCIAL PAPER 'F-1+', MEDIUM TERM NOTES RATED 'AAA' BY FITCH -- FITCH FINANCIAL WIRE --
CORPORATE ASSET FUNDING COMPANY COMMERCIAL PAPER 'F-1+',
MEDIUM TERM NOTES RATED 'AAA' BY FITCH -- FITCH FINANCIAL WIRE --
NEW YORK, Jan. 16 /PRNewswire/ -- Corporate Asset Funding Co., Inc.'s (CAFCO) $7 billion asset-backed commercial paper program is rated 'F-1+' by Fitch. CAFCO's medium-term notes, expected to be issued this year in an amount of no more than 25 percent of the pool, are rated 'AAA'. The ratings are based on the quality of the receivables, the required reserves dedicated to each receivable pool, the 8 percent credit enhancement, the liquidity support provided by third parties and Citibank, the sound legal structure, and the servicing capabilities provided by Citicorp.
CAFCO is a bankruptcy-remote Delaware corporation created to securitize financial assets originated by sellers rated at least investment grade. CAFCO issues CP (up to 270 days) and will issue MTNs (up to 3 years) to fund asset purchases and financings backed by receivables. The assets consist of high quality trade and term receivables. Trade receivables are short-term in nature, turning over every 30-45 days. Term assets are greater than one year. The receivables CAFCO purchases are well diversified by obliger and industry. There are currently 51 sellers to the program.
There are several layers of credit enhancement to protect the CP and MTN holders from losses. The first layer of loss protection is a minimum 5 percent reserve which is required for each receivable pool. On average, the reserves are equal to 15 percent. In addition to the reserves, there is an 8 percent fungible layer of loss protection available for both CP and the MTNs. This layer consists of, in order, a cash collateral account deposit held in escrow with Fuji Bank and Trust Co. and a surety bond issued by Financial Guaranty Ins percent. Fitch believes that the program's credit enhancement is extremely strong given the diversity of the receivables and the low levels of losses experienced in the receivable pools.
Backstop liquidity support equal to 100 percent of CAFCO's program will be available to assure timely payments of maturing notes. At least half of the liquidity is provided by non-Citibank sources,minimizing the potential event risk and support concentration which could occur if one bank were providing the majority of liquidity.
Citicorp North America, through its subsidiary Corporate Asset Funding (CAF), acts as operating agent. CAF evaluates and structures all asset purchases, negotiates and executes documentation, and continuously monitors asset performance. CAF's capable staff provides in-depth credit expertise, solid structuring capabilities, and the experience to identify and minimize asset deterioration. CAF has administered asset backed CP programs since 1983 when it originated the first such program. CAF administers various asset-backed programs with CP outstanding of $16 billion and program limits of $20 billion.
/CONTACT: J. Douglas Murray, 212-908-0518 or Gracen Fraser, 212-908-0520, both of Fitch/ CO: Corporate Asset Funding Co., Inc. ST: IN: FIN SU: RTG SM -- NY083 -- 0655 01/16/92 15:44 EST