Mar. 18, 2010 (Business Wire) -- Fitch Ratings affirms the 'F1+' rating assigned to asset-backed commercial paper (ABCP) issued by Falcon Asset Securitization LLC (Falcon). Fitch's 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 collateral consisting of diversified pools of assets totaling 49 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 that, in total, are sized to a minimum of 102% of the ABCP outstanding.
--The financial and operational strength of the sponsor and the administrative agent, JP Morgan Chase Bank, currently rated 'AA-/F1+' with a Stable Outlook by Fitch.
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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