Duff & Phelps Reaffirms 'D-1' Rating on SPARC's Asset-Backed Commercial Paper Notes

Strategic Insights -

Duff & Phelps Credit Rating Co. (DCR) has reaffirmed its 'D-1' rating on the asset-backed commercial paper notes issued by Special Purpose Accounts Receivable Cooperative Corporation (SPARC), a bankruptcy-remote, special-purpose corporation established under Delaware law. This reaffirmation is in response to SPARC's significant $4.6 billion participation in a 'AAA' rated senior revolving Collateralized Loan Obligation (CLO). SPARC's ability to issue commercial paper to fund its investment in the CLO certificates is contingent on the rating of the CLO senior certificate remaining above 'AA'. The program's credit enhancement and liquidity support are provided through a surety bond from Ambac Assurance Corp. and seller-specific liquidity facilities from CIBC and other 'D-1'-rated commercial banks.

Key Takeaways:

  • Duff & Phelps Credit Rating Co. (DCR) has reaffirmed its 'D-1' rating on SPARC's asset-backed commercial paper notes.
  • The rating reaffirmation is based on SPARC's $4.6 billion participation in a 'AAA' rated senior revolving Collateralized Loan Obligation (CLO).
  • SPARC's ability to issue commercial paper to fund its investment in the CLO certificates is contingent on the rating of the CLO senior certificate remaining above 'AA'.
  • The program's credit enhancement is comprised of a surety bond provided by Ambac Assurance Corp. (AMBAC) and a support agreement provided by CIBC.
  • The liquidity support for the commercial paper notes is provided through seller-specific liquidity facilities from CIBC and other 'D-1'-rated commercial banks.
  • The liquidity support is equal to 102 percent of the purchased amount, in respect of the CLO security.

Statistics:

  • `$4.6 billion` - the amount of participation by SPARC in the 'AAA' rated senior revolving Collateralized Loan Obligation (CLO).
  • `102%` - the liquidity support for the commercial paper notes, equal to 102 percent of the purchased amount, in respect of the CLO security.
  • `D-1` - the rating reaffirmed by Duff & Phelps Credit Rating Co. (DCR) on SPARC's asset-backed commercial paper notes.

Sources:

  • [Duff & Phelps Credit Rating Co.]