Mar. 18, 2010 (Business Wire) -- Fitch Ratings affirms the 'F1' rating assigned to asset-backed commercial paper (ABCP) issued by Park Avenue Receivables Company, LLC (PARCO). Criteria described in 'Global Rating Criteria for Asset-Backed Commercial Paper' (Oct. 22, 2009) and 'Global Structured Finance Rating Criteria' (Sept. 30, 2009) were used for the rating review.
The affirmation is based on the analysis of the underlying collateral quality, the credit and liquidity support, and the legal structure of the program. The analysis was conducted based on the report as of Dec. 31, 2009 and the following factors were considered:
--The financial and operational strength of the sponsor and the administrative agent, JPMorgan Chase Bank, currently rated 'AA-/F1+' by Fitch.
--The collateral consisting of diversified pools of assets totaling 44 transactions in 11 different asset types, each transaction with transaction specific credit enhancement.
--Program-wide credit enhancement sized at 10% of the aggregate principal amount of the purchases, excluding assets explicitly or shadow rated 'AA' or higher, fully wrapped via a 'AAA' rated financial guarantor, or fully supported, with a floor amount of $500 million.
--Committed liquidity facilities equal to a minimum of 102% of ABCP outstanding.
--Fitch's portfolio simulation analysis indicating that the level of program-wide credit enhancement is sufficient to support a 'F1' rating.
The following criteria reports are available at 'www.fitchratings.com':
--'Global Rating Criteria for Asset-Backed Commercial Paper' (Oct. 22, 2009);
--'Global Structured Finance Rating Criteria' (Sept. 30, 2009).
Additional information is available at 'www.fitchratings.com'.
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