Fitch Affirms TAGS' ABCP at 'F2sf'
KEY RATING DRIVERS
The affirmation is driven by two main factors: liquidity support and programme-wide credit enhancement (PWCE).
The programme contained nine assets as of December 2015, five of which benefit from fully-supported liquidity provided by The Royal Bank of Scotland PLC (RBS; BBB+/Stable/F2). The remaining four assets benefit from partial-support liquidity facilities, which means the CP performance is exposed to the performance of these assets. Fitch's analysis considered the amount of enhancement and structural protection provided for these specific assets and determined the level of support for the partially-supported assets to be commensurate with the CP rating.
Additionally, the programme benefits from fungible PWCE provided by a letter of credit sized at the greater of 5% of outstanding ABCP or USD1m. As of December 2015, the current outstanding CP was GBP100,000 and the outstanding PWCE is currently USD1m.
The affirmation also follows a discussion with the management of RBS and takes into consideration the conduit's performance, CP issuance, portfolio composition, IT administration systems, administrative procedures and credit policies over the previous 12 months.
At 31 December 2015, the portfolio predominantly comprised residential mortgages and consumer credit at 62% and 31%, respectively. 91% of the portfolio is exposed to the UK.
If RBS's Short-term rating is downgraded, this may result in the downgrade of TAGS' CP as RBS acts as sponsor, administrator, liquidity provider and PWCE provider. Conversely the rating of TAGs may be upgraded in line with any upgrade of RBS. The rating of the CP issued by TAGS is dependent on, although not directly linked to, the rating of RBS.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
All of the underlying assets have ratings from either Fitch or other rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
Sources of Information: Monthly investor reports as of December 2016. Annual review presentation provided by RBS on 4 February 2016.