OREANDA-NEWS. Fitch Ratings has affirmed Scaldis Capital Limited/Scaldis Capital (Ireland) Limited's asset-backed commercial paper (CP) Short-term rating at 'F1sf' following a review of the programme.

KEY RATING DRIVERS
Scaldis' CP is fully supported by BNP Paribas Fortis (A+/Stable/F1), which acts as the programme's sponsor, administrator, liquidity provider and hedge provider. BNP Paribas Fortis' commitment under the transaction's liquidity agreements ensures the full and timely repayment of all maturing CP notes if Scaldis has insufficient funds on any CP maturity date. The CP rating is therefore linked to BNP Paribas Fortis' Short-term Issuer Default Rating (IDR) of 'F1'.

The affirmation follows a discussion with BNP Paribas Fortis' conduit management team and takes into consideration the conduit's performance, CP issuance, portfolio composition, IT administration systems, administrative procedures and credit policies.

Scaldis is a fully-supported, hybrid ABCP programme structured to issue ECP denominated in various currencies. The CP is issued to fund the purchase of certain types of eligible assets and eligible securities. All transactions in the portfolio are fully supported following the restructuring of the last six partially supported transactions to full support in April 2014 (see 'Fitch: No Rating Impact on Scaldis' CP after Change to Full Support' dated 29 April 2014 at www.fitchratings.com).

As of May 2015, Scaldis Capital LLC will no longer offer USCP and any outstanding USCP has been redeemed while Scaldis Capital (Ireland) Limited continues to issue ECP. Additionally, liquidity loan agreements relating to five assets in the conduit portfolio have been amended to transfer funding obligations to BNP Paribas Fortis SA/NV from its Cayman Islands Branch and the ECP dealer agreement was amended to restrict the offering or sale of ECP outside the US to non-US persons only (see 'Fitch: No Rating Impact on Scaldis' CP from Programme Amendment' dated 5 May 2015 at www.fitchratings.com).

As of 31 May 2015, the portfolio primarily consisted of consumer finance assets such as credit card receivables, auto loans and leases and consumer loans and leases (55% of the portfolio), CLOs (21%) and non-US RMBS (13%). While the portfolio contains eligible securities, BNPP Fortis does not intend to include such assets in the future. Scaldis' outstanding CP was USD1.4bn.

RATING SENSITIVITIES
If BNPP Fortis's Short-term Rating is downgraded, this could result in the downgrade of Scaldis' CP as BNPP Fortis is the sponsor, liquidity provider, administrator and hedging agent. Scaldis' CP rating is highly dependent on BNPP Fortis' rating.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of 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.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

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
Onsite presentation material provided by BNP Paribas Fortis and monthly investor reports.