Key Takeaways
- We expect moderate growth in U.S. asset-backed commercial paper (ABCP) outstanding in 2019 as short-term financing options become increasingly attractive.
- In Europe, the Middle East, and Africa (EMEA), we expect issuance volumes to likely gain momentum once there is greater clarity on Brexit and regulations related to securitization.
- Issuance volumes continue to decline in Australia as ABCP programs wind down, but they have been stable in Japan.
As U.S. sponsors expand their current asset portfolios and prime institutional money-market funds return to the ABCP market, we expect U.S. ABCP outstanding to grow moderately to between $255 billion-$260 billion in 2019. In EMEA, we expect issuance volumes to likely gain momentum once there is greater clarity on Brexit and regulations related to securitization.
Although traditional assets account for most of the funding commitments in the U.S., we expect recent shifts in investor preferences into nontraditional assets such as servicer advances, contract payment rights, marketplace loans, and wireless handset devices to continue. Generally, the credit quality of collateral backing ABCP has been stable and has performed in tandem with collateral backing term asset-backed securities (ABS). Macroeconomic factors, such as GDP growth, low unemployment rates, and consumer loan growth, have similarly affected both markets.
In EMEA and Japan, funding commitments remain predominantly concentrated in traditional assets with low maturity mismatch, such as autos and trade receivables. While the U.K., Italy, Germany, and France account for over 60% of total asset portfolios in EMEA, we have observed some renewed interest from investors to fund assets domiciled in Asia.
Globally, the top 10 sponsors accounted for almost three-fourths of all S&P Global Ratings-rated ABCP outstanding as of December 2018.
U.S.: Moderate Issuance Growth, Greater Appetite For Nontraditional Assets
Dev Vithani, New York, (1) 212-438-1714; dev.vithani@spglobal.com
Ildiko Szilank, New York, (1) 212-438-2614; ildiko.szilank@spglobal.com
For U.S. ABCP in 2019, we expect a slight increase in volume, stable-to-slightly deteriorating credit performance of the underlying assets, and stable ratings. According to the Federal Reserve, U.S. ABCP outstanding grew approximately 5.8% to $253.5 billion as of year-end 2018, from $239.5 billion at year-end 2017, and we expect it to increase somewhat to between $255 billion-$260 billion in 2019. Similarly, U.S. ABCP outstanding rated by S&P Global Ratings indicates steady growth, with a 10.4% increase from a 2016 low of $191.9 billion to $211.8 billion as of December 2018.
In 2019, U.S. ABCP sponsors are likely to keep expanding their current asset portfolios and corresponding ABCP issuance. We have observed a growing trend of sponsors diversifying collateral away from staple assets, such as auto loans and leases, credit cards, and trade receivables. Today's investors are more receptive to the inclusion of nontraditional asset classes, such as servicer advances, contract payment rights, marketplace loans, and wireless handset devices.
We believe that short-term financing options, including ABCP, will become increasingly attractive for U.S sponsors if rates rise, the yield curve steepens, and spreads widen. We've also observed growing demand from prime institutional money-market funds, which are returning to invest in the ABCP market after their ABCP investment fell drastically leading up to and following money-market reform in 2016. Because of growing demand, funds have increased their holdings in outstanding ABCP to over 20% in 2018, from a mere 5% during the money-market reform period. In addition, the ABCP investor base has benefited from significant diversification over the past two years, including non-2a7 funds, private and government funds, and corporate investors.
S&P Global Ratings rated four new programs in 2018
The total S&P Global Ratings-rated ABCP outstanding in the U.S. from 2014-2018 has remained relatively steady between $191.9 billion and $216.5 billion (see chart 1). Of the $211.8 billion outstanding in 2018, approximately 79% has a short-term 'A-1' rating, while 21% is rated 'A-1+'.
The three largest sponsors, Citibank, JP Morgan, and Royal Bank of Canada, dominate the partially supported U.S. ABCP market, with eight programs, and make up 29% of the total S&P Global Ratings-rated U.S. ABCP market. The remaining 36 programs in the U.S. are fully supported by 20 sponsors and total about $150 billion, or 71% of the S&P Global Ratings-rated U.S. ABCP market.
In 2018, we rated four new programs, three of which we rated in the fourth quarter: Sheffield Receivables Co. LLC, sponsored by Barclays Bank PLC; Collateralized Commercial Paper FLEX Co. LLC, sponsored by J.P Morgan Chase Bank N.A.; and Salisbury Receivables Co. LLC and Sunderland Receivables S.A., both sponsored by Barclays Bank PLC. Also in mid-2018, we withdrew our ratings on White Point Funding, sponsored by Royal Bank of Canada.
Chart 1
U.S. dollar-denominated issuances continue to account for most of the ABCP outstanding
U.S. dollar-denominated ABCP issuances in 2018 continued to account for the majority of the ABCP outstanding in the U.S., with 98% denominated in U.S dollars, while the rest of the issuances were denominated in euros and British pound sterling (see chart 2).
Chart 2
Key trends in asset composition and credit risk
We consider credit risk an important factor in partially supported programs, which rely on the sponsors to provide liquidity, but the underlying assets cover the credit risk, typically in the form of credit enhancement. As of December 2018, traditional assets--such as auto loans and leases, credit cards, student loans, consumer loans, and equipment loans and leases--made up about 79% of collateral in partially supported programs (see Appendix 2a).
Chart 3
Chart 4
Auto loans and leases remain dominant assets
Auto loans and leases account for 50% of the collateral in partially supported programs and 25% of all ABCP conduit portfolios (see charts 3 and 4). These assets remain dominant staples and serve as vital alternative funding sources for large auto issuers. We expect this trend to continue as auto loan term ABS issuance in 2019 is projected to grow to $86 billion, even as auto sales are expected to slightly decline this year. Collateral performance in auto loan term ABS started off strong in January 2019 compared to January 2018. Prime losses declined to 0.73%, due to tightening of credit standards and improved collateral mix. In addition, subprime losses decreased to 9.58% due to lower losses on Santander's two transactions. We project that credit quality for the rest of the year will remain stable in both sectors. We also expect investment-grade ratings on auto term ABS to remain stable, though speculative-grade ratings in the subprime sector could be vulnerable to downgrade. For auto lease term ABS, we expect $18 billion in volume, and we expect performance and ratings to remain stable in 2019.
Credit cards remain staple assets despite representing a smaller percentage of conduit portfolios
Credit cards make up 9% of the collateral in partially supported commercial paper programs and 4% of the total commercial paper market (see charts 3 and 4). We anticipate ABS term credit card issuance to remain stable at around $30-$40 billion. Bank credit card term ABS exhibits continued strong credit performance with losses at approximately 2.5% and payment rates in the high 20% range. We have observed a slight weakening in the credit quality of retail cards, and we expect losses to increase to 6%-7% from about 5% as the retail sector softens. Overall, we expect credit card term ABS ratings to remain stable.
Student loans also represent a small percentage of the overall conduit portfolio
Student loans comprise 11% of the collateral in partially supported commercial paper programs and 4% of the total commercial paper market (see charts 3 and 4). In 2019, we expect student loan term ABS issuance to reach $20 billion, driven by private student loans and continued interest in refinance student loan products. Overall, we expect student loan term ABS credit quality and ratings to remain stable in 2019.
Consumer loans and mobile handsets hold investor interest
Consumer assets--including personal loans and mobile handsets, among others--comprise 6% of the collateral in partially supported programs and make up about 5% of the total assets funded through commercial paper (see charts 3 and 4). There is growing interest in these newer asset types because these conduit transactions can test investor appetite for the assets before they are potentially included in term ABS issuance. We expect personal loan term ABS volume to continue growing with $10 billion-$15 billion in 2019, losses in the 8%-10% range as the credit cycle reaches maturity, and stable ratings.
Trade receivables remain vital staple assets to finance working capital needs
Trade receivables make up only 4% of the partially supported programs, but they are the second-largest staple asset at 8% of the invested amount in the total ABCP market (see charts 3 and 4). Trade receivables are typically revolving, short-term assets and used for capital-market funding for middle-market clients' working capital needs.
Nontraditional assets overshadow traditional as investor preferences shift
Nontraditional assets make up 29% of the total commercial paper market but only comprise about 7% of the partially supported programs (see charts 3 and 4). We have observed an increasing appetite for these assets, which include servicer advances and contract payment rights. We believe that these assets subject the collateral pool to higher credit risk, which is mitigated by sponsors who typically cover both the liquidity and credit risk in fully supported programs.
Investor tastes also shift to commercial assets
Commercial assets make up 18% of the total commercial paper market and comprise 10% of the partially supported programs (see charts 3 and 4). We have observed an increase in investor interest for these types of assets, which include commercial loans and leases, floorplan, fleet lease, railcar, and container, among others. We expect stable credit trends for nondiversified dealer floorplan term ABS for 2019, as auto manufacturers continue to support their dealer bases; this support is one of the driving factors of near-zero loss performance typically exhibited by nondiversified dealer floorplan ABS trusts. We project that credit quality in fleet lease term ABS will remain stable as the sector also experiences near-zero loss levels due to commercial obligors' strong credit quality and the critical nature of fleet vehicles to corporate lessees' operations, among others.
EMEA: Steady Issuance Despite Market Uncertainties
Matthew S Mitchell, CFA, London, (44) 20-7176-8581; matthew.mitchell@spglobal.com
Florent Stiel, Paris, (33) 1-4420-6690; florent.stiel@spglobal.com
The total S&P Global Ratings-rated ABCP outstanding for 2018 from conduits domiciled in EMEA remained in line with the high levels in 2017. Total issuance volumes increased over 30% from the lows in 2014, with a sharp uptick specifically in 2017. In 2018, improved volumes held steady for the second straight year, after the steep post-crisis decline.
On the regulatory front, securitizations, including ABCP conduits, must comply with the new EU regulation from Jan. 1, 2019. The regulations introduce preferential treatment for simple, transparent, and standardized (STS) securitizations, in addition to a revamp of risk retention, investor due diligence, and disclosures, which apply to all securitizations. Uncertainties on these regulations and teething problems with implementation has slowed issuances for term securitizations in early 2019. Consequently, should ABCP programs fund assets via subscription to notes issued under term securitizations, we expect issuance volumes for ABCP conduits in EMEA to be affected during the first half of the year. On the other hand, as central banks' cheaper funding and asset purchases wind down, term securitization volumes could potentially gain momentum during the year if bank issuers tap the debt market. This could indirectly boost ABCP issuance volumes as well over the year if the issuances fund assets by subscribing to notes issued under term securitizations. Nonetheless, the extent to which bank issuers tap the debt market and reduce any new funding via the recently announced new series of long-term refinancing operations (TLTRO-III) would depend on this program's terms, compared to those from similar programs announced in the past.
Some ABCP conduits domiciled in the EU have U.K.-based financial institutions in different transaction roles. In the event of a no-deal Brexit, we understand that performance of these parties in roles such as bank account and liquidity providers would not be affected because these are typically not considered regulated activities. We also understand that existing cross-border derivative contracts will generally remain valid and enforceable and that the loss of passporting rights should not prevent counterparties from making payments under these contracts. Further, the European Securities and Markets Authority recently agreed to recognize three U.K. clearinghouses in a no-deal Brexit scenario, effective the date following Brexit day, which alleviates concerns around servicing these contracts. As such, we do not anticipate performance issues under existing cross-border derivative contracts and expect our ratings on ABCP conduits domiciled in EMEA to be largely unaffected. Nonetheless, we will continue to monitor any impact on our ratings on the conduits due to Brexit.
S&P Global Ratings rated two new programs in the second-half of 2018
Total ABCP outstanding in EMEA was buoyant at $96 billion as of December 2018. Overall volumes remained steady for the second straight year after rising 31.9% in December 2017 from the December-2014 low of $72.9 billion (see chart 5). In July 2018, we rated two new single-seller programs: Longship Funding DAC, sponsored by Northcross Capital Management Ltd., which funds investment contracts with Nordea Bank AB as series counterparty; and Glencove Funding DAC, also sponsored by Northcross Capital Management Ltd., which funds investment contracts with JP Morgan Chase Bank N.A., JP Morgan Securities PLC, and JP Morgan Securities LLC. At the same time, we withdrew our ratings on F.T.A. Santander 2, which wound down in December 2018.
Growing global interest in ABCP-based funding supported a 2% improvement in committed funding amounts in 2018, even as the total ABCP outstanding remained largely unchanged. We expect utilization rates to potentially improve during the year as market momentum rebounds with greater clarity over regulatory changes and Brexit.
Chart 5
U.S. dollar-denominated issuances regain momentum by end of 2018
U.S. dollar-, euro-, and British pound sterling-denominated ABCP issuances continued to account for more than 99% of the ABCP issued by European conduits. As the market revived in 2017, growth was more pronounced in ABCP denominated in euros and British pound sterling. Their market shares improved as well, due to a comparatively slower growth in U.S. dollar-denominated issuances. In 2018, however, this trend reversed. U.S. dollar-denominated issuances rebounded to regain a market share close to 60%, last observed prior to 2016. Meanwhile, issuances denominated in euros and British pound sterling declined, likely due to the prevailing market uncertainties (see chart 6).
Chart 6
The two new programs we rated in the second half of 2018 are single-seller conduits. Given this, the total ABCP outstanding funded by single-seller programs climbed 1% over 2017. Similarly the share of 'A-1' and 'A-1+' rated programs improved because of the issuances from the two new conduits. All issuance from conduits domiciled in EMEA are currently fully supported by liquidity. Further, our ABCP ratings are weak-linked to the issuer credit ratings on the liquidity provider, or in the case of conduits funding investment contracts, the minimum issuer credit rating on the series counterparties.
Traditional asset types continue to dominate investments
Total asset investments in EMEA increased about 3.4% over 2017, with rises for trade receivables, commercial assets, and mortgages, offset by some decline in autos (see chart 7). Both the new conduits we rated in the second half of 2018 funded investment contracts such as repurchase agreements, total return swaps, and securities lending agreements, which improved investments in commercial assets. Although we observed a marginal increase in investments in mortgages facilities, total investment volumes remained well below their pre-crisis share of about 20% of all asset investments. There were no investments in collateralized debt obligations (CDOs) and collateralized loan obligations (CLOs), which comprised over a fifth of all funding before the crisis. Overall, traditional assets such as trade receivables and autos continued to account for almost two-thirds of total asset investments.
Chart 7
Of all assets, 80% continued to be originated from various regions within EMEA, with over 60% domiciled in the U.K., Italy, France, and Germany. On average, about 30% of all assets have been originated in the U.K. over the past four years. Assets originated in the U.S. stayed steady since 2017 at 8%. We observed some growth in assets originated from Korea, Latvia, Poland, and Switzerland, although these regions together formed only about 2% of the total.
Australia: Programs Continue To Wind Down
Justin Rockman, Melbourne, (61) 3-9631-2183; justin.rockman@spglobal.com
Total ABCP outstanding in December 2018 decreased approximately 11.7% to A$400 million from A$453 million a year earlier, continuing the trend of program sponsors winding down ABCP programs (see chart 8). Total liquidity backing ABCP programs decreased to A$400 million in December from A$612 million in December 2017. We have withdrawn the ABCP ratings over time at the issuer's request.
Chart 8
Until 2014, about 80% of all issuances was denominated in Australian dollars, and another 12%-18% was denominated in U.S. dollars. However, U.S. dollar-denominated issuances contracted significantly thereafter, with no market presence since then (see chart 9).
Chart 9
Currently there are two ABCP programs outstanding. Waratah Securities Australia Ltd. and Sydney Capital Corp. Inc. are partially supported multi-seller programs rated 'A-1+', which issue in both the Australian and U.S markets and have a callable note program. Liberty Sirius Series is an 'A-1' rated single-seller program established to fund residential mortgage loans, originated by an Australian nonbank lender. The ratings on both programs are linked to the liquidity and credit facility providers.
Investments are concentrated in residential mortgages
Because Waratah Securities Australia Ltd. and Sydney Capital Corp. are not actively issuing, residential mortgages make up most of the assets underlying ABCP programs, accounting for 98.6% of the Australian ABCP market, with a small proportion held in cash temporarily due to the sale of underlying assets from one of the programs (see chart 10). Compared to other regions, high investments in residential mortgages, which are characterized by longer maturities, have occurred because of the active conduits' program objectives as explained above.
Chart 10
Our expectation is for moderate growth in the Australian economy. Risks in the Australian property market are more elevated than they were 12 months ago since property prices in Australia have declined from their record highs. This is largely in response to the tightening in lending standards and macro-prudential measures implemented by regulators, which have restricted some borrowers' access to credit.
Japan: Issuance Volumes Low But Largely Stable Since 2016
Toshiaki Shimizu, Tokyo, (81) 3-4550-8302; toshiaki.shimizu@spglobal.com
ABCP is a traditional form of securitization in Japan. Currently there are two ABCP programs outstanding, which were established by AOI Funding Corp. and Apex Funding Corp. Both conduits are multi-seller programs fully supported by Japanese banks--The Shizuoka Bank Ltd. and MUFG Bank Ltd.--based on the liquidity and credit facility agreement. Therefore, the ratings on both programs are linked to our short-term credit ratings on the banks. These conduits are set up to finance their acquisition of assets such as trade receivables by issuing yen-denominated ABCP. There have been no specific changes since 2012. Currently, there are no scheduled legal or regulatory changes that would impact ABCP issuances in the Japanese market.
In 2009, there were four ABCP programs in Japan. We withdrew our ratings on two programs in 2012 following their closure and upon the transaction related party's request (see chart 11).
Chart 11
Total ABCP outstanding in December 2018 improved 3.5% to ¥229.04 billion after declining for the past three years. However, issuance volumes continue to remain well below historical highs. Utilization rates in Japan have been low, compared to global trends, likely because of the current lending environment and availability of credit. To date, all issuances by Japanese conduits have been denominated only in Japanese Yen.
Global Top 10 Sponsors
Globally, as of December 2018, the top 10 sponsors are largely concentrated in the U.S. and EMEA, forming about 72.6% of the S&P Global Ratings-rated ABCP issuances outstanding in these two regions. The top three sponsors hold about a third of the total issuance volumes in the U.S. and EMEA (see table 1).
Table 1
| Global Top 10 Sponsors Based On ABCP Outstanding As Of December 2018 | ||||
|---|---|---|---|---|
| Dec-18 | ||||
| Sponsor/administrator | Program | Region | Mil. USD | % of S&P Global Ratings-rated U.S. and EMEA conduits |
| JPMorgan Chase Bank N.A. | Multiple see below | 42,708 | 13.87 | |
| Chariot Funding LLC | U.S. | 17,694 | ||
| Collateralized Commercial Paper II Co. LLC | U.S. | 7,816 | ||
| Jupiter Securitization Co. LLC | U.S. | 7,261 | ||
| Collateralized Commercial Paper Co. LLC | U.S. | 6,578 | ||
| Collateralized Commercial Paper III Co. LLC | U.S. | 3,360 | ||
| Collateralized Commercial Paper Flex Co. LLC | U.S. | - | ||
| Guggenheim Treasury Services, LLC | Multiple see below | 30,914 | 10.04 | |
| Crown Point Capital Co. LLC | U.S. | 9,783 | ||
| Ridgefield Funding Co. LLC (Series A) | U.S. | 6,097 | ||
| Bennington Stark Capital Co. LLC | U.S. | 4,503 | ||
| Concord Minutemen Capital Co. LLC | U.S. | 3,896 | ||
| Lexington Parker Capital Co. LLC | U.S. | 3,345 | ||
| Cedar Springs Capital Co. LLC | U.S. | 1,298 | ||
| White Plains Capital Company, LLC | U.S. | 606 | ||
| Legacy Capital Co. LLC | U.S. | 559 | ||
| Ridgefield Funding Co. LLC (Series B) | U.S. | 508 | ||
| Great Bridge Capital Company, LLC | U.S. | 318 | ||
| Credit Agricole Corporate and Investment Bank | Multiple see below | 30,591 | 9.94 | |
| Atlantic Asset Securitization LLC | U.S. | 9,457 | ||
| La Fayette Asset Securitization LLC | U.S. | 2,233 | ||
| LMA S.A./LMA Americas LLC | EMEA | 18,900 | ||
| Royal Bank of Canada | Multiple see below | 30,587 | 9.94 | |
| Bedford Row Funding Corp - Standard | U.S. | 12,274 | ||
| Old Line Funding LLC | U.S. | 10,942 | ||
| Thunder Bay Funding LLC | U.S. | 7,370 | ||
| Citibank N.A. New York, NY | Multiple see below | 18,763 | 6.09 | |
| CRC Funding LLC | U.S. | 5,636 | ||
| CAFCO LLC | U.S. | 5,524 | ||
| Charta LLC | U.S. | 5,217 | ||
| Ciesco LLC | U.S. | 2,386 | ||
| Societe Generale | Multiple see below | 16,737 | 5.44 | |
| Barton Capital LLC | U.S. | 6,865 | ||
| Antalis S.A. | EMEA | 9,871 | ||
| Bank of Tokyo--MUFJ Bank Ltd.New York Branch/MUFG Bank, Ltd. | Multiple see below | 16,427 | 5.34 | |
| Gotham Funding Corp. | U.S. | 6,658 | ||
| Victory Receivables Corp. | U.S. | 6,441 | ||
| Albion Capital Corporation S.A. | EMEA | 3,329 | ||
| BNP Paribas | Multiple see below | 14,835 | 4.82 | |
| Starbird Funding Corp. | U.S. | 4,289 | ||
| Matchpoint Finance PLC | EMEA | 10,546 | ||
| FMS Wertmanagement Anstalt des oeffentlichen Rechts | Kells Funding, LLC | U.S. | 10,921 | 3.55 |
| BSN Holdings Ltd./BSN Capital Partners Ltd. | Multiple see below | 10,903 | 3.54 | |
| Chesham Finance Ltd. | EMEA | 2,805 | ||
| Chesham Finance Ltd. (Series I) | EMEA | 100 | ||
| Chesham Finance Ltd. (Series II) | EMEA | 979 | ||
| Chesham Finance Ltd. (Series III) | EMEA | 1,843 | ||
| Chesham Finance Ltd. (Series IV) | EMEA | 600 | ||
| Chesham Finance Ltd. (Series V) | EMEA | 661 | ||
| Chesham Finance Ltd. (Series VI) | EMEA | 728 | ||
| Halkin Finance PLC | EMEA | 1,613 | ||
| Ebury Finance Ltd. | EMEA | 1,574 | ||
| Total (Top 10) | 223,386 | 72.56 | ||
In the U.S, the top five sponsors of outstanding ABCP issuances accounted for 64.2% of the total ABCP outstanding as of December 2018 (see Appendix 1a). Three of the top five sponsors, J.P. Morgan Chase Bank N.A., Royal Bank of Canada, and Citibank N.A., accounted for about 29.3% of the total ABCP outstanding in eight partially supported conduits as of December 2018 (see Appendix 1a). The top five liquidity providers provided a combined commitment of approximately $197.1 billion, or 60.2%, of the $327.5 billion support available in the S&P Global Ratings-rated U.S. ABCP market.
In EMEA, the top 10 sponsors of the outstanding ABCP issuances accounted for 88.3% of the total ABCP outstanding as of December 2018 (see Appendix 1b). The top 10 liquidity providers provided a combined commitment of approximately $112.6 billion, or 80.2%, of the $140.5 billion support available in the S&P Global Ratings-rated EMEA ABCP market.
Related Research
- U.S. Auto Loan ABS Tracker: January 2019, March 14, 2019
- U.S. Credit Card Quality Index: Monthly Performance-January 2019, Feb. 28, 2019
- European Structured Finance Outlook 2019: Issuance Growth Still Hampered By Regulatory Uncertainty, Jan. 14, 2019
- Global Structured Finance Outlook 2019: Securitization Continues To Be Energized With Potential $1 Trillion In Volume Expected Again, Jan. 7, 2019
- Ratings Assigned To Sunderland Receivables S.A. Short-Term Notes, Dec. 27, 2018
- Collateralized Commercial Paper FLEX Co. LLC Notes Assigned 'A-1 (sf)' Rating, Dec. 21, 2018
- Countdown To Brexit: Uncertainty Created For Cross-Border Derivative Contracts Supporting Structured Finance Transactions, Dec. 17, 2018
- Inside North American ABCP: September 2018, Dec. 6, 2018
- Salisbury Receivables Co. LLC Short-Term ABCP Notes Assigned 'A-1 (sf)' Rating, Nov. 26, 2018
- SF Credit Brief: What Drives Near-Zero Losses For The Fleet Lease ABS Sector? Nov. 21, 2018
- Inside EMEA ABCP: Strong Growth In 2017 Paves Way For A Revival, Sept. 10, 2018
- New Issue: Glencove Funding DAC, July 27, 2018
- New Issue: Longship Funding DAC, July 24, 2018
- Comparing Trends In The U.S. ABCP And ABS Markets: Both Poised For Growth In 2018, April 9, 2018
- Sheffield Receivables Co. LLC ABCP Note Issuances Assigned 'A-1 (sf)' Short-Term Ratings, April 5, 2018
Appendix
Appendix 1a
| U.S.: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of December 2018 | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sponsor/administrator | Program | USD | EUR | GBP | Others | Total ABCP outstanding (mil. USD) (i) | Total ABCP outstanding (% of total) | Committed funding amounts (mil. USD) | Capacity utilization (%) |
LF provider/eligibility criteria |
||||||||||||
| JPMorgan Chase Bank N.A. | Multiple see below | 42,708 | 20.16 | |||||||||||||||||||
| Chariot Funding LLC | 17,694 | - | - | - | 17,694 | 22,928 | 77.2 |
JPMorgan Chase Bank, N.A. |
||||||||||||||
| Collateralized Commercial Paper Co. LLC | 6,578 | - | - | - | 6,578 | - | - |
JPMorgan Securities LLC |
||||||||||||||
| Collateralized Commercial Paper II Co. LLC | 7,816 | - | - | - | 7,816 | - | - |
JPMorgan Securities LLC |
||||||||||||||
| Collateralized Commercial Paper III Co. LLC | 432 | 1,650 | 1,278 | - | 3,360 | - | - |
JPMorgan Securities LLC |
||||||||||||||
| Collateralized Commercial Paper Flex Co. LLC | - | - | - | - | - | - | - |
JPMorgan Securities LLC |
||||||||||||||
| Jupiter Securitization Co. LLC | 7,261 | - | - | - | 7,261 | 11,204 | 64.8 |
JPMorgan Chase Bank, N.A. |
||||||||||||||
| Guggenheim Treasury Services, LLC | Multiple see below | 30,914 | 14.60 | |||||||||||||||||||
| Bennington Stark Capital Co. LLC | 4,503 | - | - | - | 4,503 | 4,486 | 100.4 |
Societe Generale |
||||||||||||||
| Cedar Springs Capital Co. LLC | 1,298 | - | - | - | 1,298 | 16,737 | 7.8 | Multiple support providers with a minimum A/A-1 rating | ||||||||||||||
| Concord Minutemen Capital Co. LLC | 3,896 | - | - | - | 3,896 | 15,250 | 25.5 |
BNP Paribas |
||||||||||||||
|
Credit Suisse AG |
||||||||||||||||||||||
|
Bank of Novia Scotia |
||||||||||||||||||||||
| Crown Point Capital Co. LLC | 9,783 | - | - | - | 9,783 | 8,606 | 113.7 |
Credit Suisse AG |
||||||||||||||
| Great Bridge Capital Company, LLC | 318 | - | - | - | 318 | 316 | 100.6 |
Standard Chartered Bank |
||||||||||||||
| Legacy Capital Co. LLC | 559 | - | - | - | 559 | 558 | 100.3 |
Macquarie Bank Ltd. |
||||||||||||||
| Lexington Parker Capital Co. LLC | 3,345 | - | - | - | 3,345 | 3,013 | 111.0 |
Natixis S.A. |
||||||||||||||
|
Credit Suisse AG |
||||||||||||||||||||||
| Ridgefield Funding Co. LLC (Series A) | 6,097 | - | - | - | 6,097 | 6,052 | 100.7 |
BNP Paribas |
||||||||||||||
| Ridgefield Funding Co. LLC (Series B) | 508 | - | - | - | 508 | 504 | 100.7 |
Societe Generale |
||||||||||||||
| White Plains Capital Company, LLC | 606 | - | - | - | 606 | 602 | 100.7 |
Nomura Securities Co. Ltd. |
||||||||||||||
| Royal Bank of Canada | Multiple see below | 30,587 | 14.44 | |||||||||||||||||||
| Bedford Row Funding Corp | 12,274 | - | - | - | 12,274 | 15,000 | 81.8 |
Royal Bank of Canada |
||||||||||||||
| Old Line Funding LLC | 10,942 | - | - | - | 10,942 | 15,305 | 71.5 |
Royal Bank of Canada |
||||||||||||||
| Thunder Bay Funding LLC | 7,370 | - | - | - | 7,370 | 10,632 | 69.3 |
Royal Bank of Canada |
||||||||||||||
| Citibank N.A. New York, NY | Multiple see below | 18,763 | 8.86 | |||||||||||||||||||
| CAFCO LLC | 5,524 | - | - | - | 5,524 | 8,751 | 63.1 |
Citibank N.A. |
||||||||||||||
| CRC Funding LLC | 5,636 | - | - | - | 5,636 | 8,722 | 64.6 |
Citibank N.A. |
||||||||||||||
| Charta LLC | 5,217 | - | - | - | 5,217 | 8,063 | 64.7 |
Citibank N.A. |
||||||||||||||
| Ciesco LLC | 2,386 | - | - | - | 2,386 | 6,957 | 34.3 |
Citibank N.A. |
||||||||||||||
| Bank of Tokyo-Mitsubishi UFJ Ltd., New York branch | Multiple see below | 13,098 | 6.18 | |||||||||||||||||||
| Victory Receivables Corp. | 6,441 | - | - | - | 6,441 | 11,332 | 56.8 |
The Bank of Tokyo-Mitsubishi UFJ, Ltd. |
||||||||||||||
| Gotham Funding Corp. | 6,658 | - | - | - | 6,658 | 11,812 | 56.4 |
The Bank of Tokyo-Mitsubishi UFJ, Ltd. |
||||||||||||||
| Credit Agricole Corporate and Investment Bank | Multiple see below | 11,691 | 5.52 | |||||||||||||||||||
| La Fayette Asset Securitization LLC | 2,233 | - | - | - | 2,233 | 3,377 | 66.1 |
Credit Agricole CIB |
||||||||||||||
| Atlantic Asset Securitization LLC | 9,457 | - | - | - | 9,457 | 12,892 | 73.4 |
Credit Agricole CIB |
||||||||||||||
| FMS Wertmanagement Anstalt des oeffentlichen Rechts | Kells Funding, LLC | 10,921 | - | - | - | 10,921 | 5.16 | 10,746 | 101.6 |
FMS Wertmanagement Anstalt des oeffentlichen Rechts |
||||||||||||
| Barclays Bank PLC | Multiple see below | 8,833 | 4.17 | |||||||||||||||||||
| Salisbury Receivables Company LLC | 200 | - | - | - | 200 | 4,387 | 4.6 |
Barclays Bank PLC |
||||||||||||||
| Sheffield Receivables Company LLC | 7,393 | 768 | 472 | - | 8,633 | 18,734 | 46.1 |
Barclays Bank PLC |
||||||||||||||
| Sunderland Receivables S.A. | - | - | - | - | - | - | - |
Barclays Bank PLC |
||||||||||||||
| Societe Generale | Barton Capital LLC | 6,865 | - | - | - | 6,865 | 3.24 | 12,526 | 54.8 |
Societe Generale |
||||||||||||
| Bank of Nova Scotia | Liberty Street Funding LLC | 6,274 | - | - | - | 6,274 | 2.96 | 10,899 | 57.6 |
Bank of Nova Scotia |
||||||||||||
| Sumitomo Mitsui Banking Corp. | Manhattan Asset Funding Co. LLC | 6,136 | - | - | - | 6,136 | 2.90 | 8,845 | 69.4 |
SMBC |
||||||||||||
| Credit Suisse AG | Alpine Securitization LTD | 5,550 | - | - | - | 5,550 | 2.62 | 17,831 | 31.1 |
Credit Suisse AG, Cayman Islands Branch |
||||||||||||
| BNP Paribas | Starbird Funding Corp. | 4,289 | - | - | - | 4,289 | 2.03 | 7,763 | 55.3 |
BNP Paribas |
||||||||||||
| Bank of Montreal | Fairway Finance Co. LLC | 3,731 | - | - | - | 3,731 | 1.76 | 5,763 | 64.7 |
Bank of Montreal |
||||||||||||
| Natixis Financial Products Inc. | Versailles Commercial Paper LLC | 3,169 | - | - | - | 3,169 | 1.50 | 5,188 | 61.1 |
Natixis Financial Products LLC |
||||||||||||
| Cantor Fitzgerald, L.P. | Institutional Secured Funding (Jersey) Limited | 2,334 | - | - | - | 2,334 | 1.10 | - | - |
BNP Paribas |
||||||||||||
|
Macquarie Bank Limited |
||||||||||||||||||||||
|
Societe Generale |
||||||||||||||||||||||
| 20 Gates Management LLC | MountCliff Funding LLC | 2,078 | - | - | - | 2,078 | 0.98 | 2,918 | 71.2 |
BNP Paribas |
||||||||||||
|
Credit Suisse AG |
||||||||||||||||||||||
|
Societe Generale |
||||||||||||||||||||||
| Natixis Financial Products LLC | ||||||||||||||||||||||
| Berkadia Commercial Mortgage LLC | Welsh Road Funding LLC | 1,472 | - | - | - | 1,472 | 0.69 | - | - |
Berkshire Hathaway Inc. |
||||||||||||
| DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Autobahn Funding Co. LLC | 1,247 | - | - | - | 1,247 | 0.59 | 1,787 | 69.8 |
DZ Bank AG |
||||||||||||
| Cooperative Association of Tractor Dealers Inc. | DCAT, LLC | 1,147 | - | - | - | 1,147 | 0.54 | 1,147 | 100.0 |
Caterpillar Financial Services Corp. |
||||||||||||
| Bunge Limited | Bunge Asset Funding Corp. | - | - | - | - | - | 0.00 | - | - | Multiple support providers with a minimum A/A-1 rating | ||||||||||||
| Total | 207,639 | 2,418 | 1,751 | - | 211,807 | 100.00 | 311,633 | |||||||||||||||
| (i)Total ABCP outstanding may be either the face amount or discounted value based on the reporting. ABCP--Asset-backed commercial paper. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling. | ||||||||||||||||||||||
Appendix 1b
| EMEA: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of December 2018 | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sponsor/administrator | Program | USD | EUR | GBP | Others | Total ABCP outstanding (mil. USD)(iii) | Total ABCP outstanding (% of total) | Committed funding amounts (mil. USD) | Capacity utilization (%) |
LF provider/eligibility criteria |
||||||||||||
| Credit Agricole Corporate and Investment Bank | LMA S.A./LMA Americas LLC | 10,608 | 5,443 | 2,611 | 238 | 18,900 | 19.68 | 23,028 | 82.1 |
Credit Agricole CIB |
||||||||||||
| BSN Holdings Ltd./BSN Capital Partners Ltd. | Multiple see below | 10,903 | 11.35 | |||||||||||||||||||
| Chesham Finance Ltd. | 2,322 | 192 | 249 | 43 | 2,805 | 2,806 | 100.0 | Multiple support providers with a minimum A/A-1 rating | ||||||||||||||
| Chesham Finance Ltd. (Series I) | 100 | - | - | - | 100 | 100 | 99.6 |
ING Bank N.V. |
||||||||||||||
| Chesham Finance Ltd. (Series II) | 419 | 350 | 207 | 4 | 979 | 982 | 99.8 |
Bank of China Ltd. (Luxembourg Branch) |
||||||||||||||
| Chesham Finance Ltd. (Series III) | 899 | 405 | 528 | 11 | 1,843 | 1,844 | 99.9 |
Societe Generale |
||||||||||||||
| Chesham Finance Ltd. (Series IV) | 600 | - | - | - | 600 | 600 | 99.9 |
HSBC Bank PLC |
||||||||||||||
| Chesham Finance Ltd. (Series V) | 661 | - | - | - | 661 | 661 | 99.9 |
Mizuho Securities USA LLC |
||||||||||||||
| Chesham Finance Ltd. (Series VI) | 728 | - | - | - | 728 | 728 | 99.9 |
JPMorgan Securities PLC |
||||||||||||||
| Halkin Finance PLC | 1,509 | 77 | - | 27 | 1,613 | 1,614 | 100.0 | Multiple support providers with a minimum A/A-1 rating | ||||||||||||||
| Ebury Finance Ltd. | 1,390 | 156 | - | 28 | 1,574 | 1,576 | 99.9 | Multiple support providers with a minimum A/A-1 rating | ||||||||||||||
| BNP Paribas | Matchpoint Finance PLC | 2,558 | 6,812 | 1,177 | - | 10,546 | 10.98 | 12,712 | 83.0 |
BNP Paribas S.A. |
||||||||||||
| Societe Generale | Antalis S.A. | 4,227 | 4,955 | 659 | 29 | 9,871 | 10.28 | 11,831 | 83.4 |
Societe Generale |
||||||||||||
| Northcross Capital Management Ltd. | Multiple see below | 8,583 | 8.94 | |||||||||||||||||||
| Anglesea Funding PLC | 6,745 | - | - | 5 | 6,750 | 6,742 | 100.1 | Multiple support providers with a minimum A/A-1 rating | ||||||||||||||
| Glencove Funding DAC | 583 | - | - | - | 583 | 579 | 100.7 |
JPMorgan Chase Bank N.A. |
||||||||||||||
|
JPMorgan Securities PLC |
||||||||||||||||||||||
|
JP Morgan Securities LLC |
||||||||||||||||||||||
| Longship Funding DAC | 1,136 | 114 | - | - | 1,250 | 1,259 | 99.3 |
Nordea Bank AB |
||||||||||||||
| Intesa Sanpaolo SpA | Romulus Funding Corp. | 407 | 5,622 | 118 | - | 6,147 | 6.40 | 7,417 | 82.9 |
Intesa Sanpaolo SpA |
||||||||||||
| Lloyds Bank plc | Cancara Asset Securitisation Ltd. | 6,001 | - | - | - | 6,001 | 6.25 | 11,963 | 50.2 |
Bank of Scotland plc |
||||||||||||
| Lloyds TSB Bank plc | ||||||||||||||||||||||
| Cooperatieve Rabobank U.A. | Nieuw Amsterdam Receivables Corp. B.V. | 5,150 | 74 | 382 | - | 5,606 | 5.84 | 7,436 | 75.4 |
Rabobank International, New York Branch |
||||||||||||
| UniCredit Bank AG | Arabella Finance Ltd. | 928 | 3,930 | 19 | 30 | 4,907 | 5.11 | 6,570 | 74.7 |
UniCredit Bank AG |
||||||||||||
| MUFG Bank Ltd. | Albion Capital Corporation S.A. | 1,798 | 1,025 | 506 | - | 3,329 | 3.47 | 7,817 | 42.6 |
MUFG Bank Ltd. |
||||||||||||
| Natixis S.A. | Managed and Enhanced Tap (Magenta) Funding SAT | 601 | 936 | 869 | - | 2,406 | 2.51 | 2,961 | 81.2 |
Natixis S.A. |
||||||||||||
| HSBC Bank PLC | Regency Assets Ltd.(i) | 1,590 | 175 | 565 | - | 2,330 | 2.43 | 16,006 | 14.6 |
HSBC Bank PLC |
||||||||||||
| Commerzbank AG | Silver Tower Funding Ltd. | 502 | 1,642 | 6 | 29 | 2,180 | 2.27 | 3,427 | 63.6 |
Credit Suisse |
||||||||||||
|
Landesbank Hessen-Thuringen |
||||||||||||||||||||||
|
DZ Bank AG |
||||||||||||||||||||||
|
Commerzbank AG |
||||||||||||||||||||||
| The International Islamic Liquidity Management Corporation | International Islamic Liquidity Management 2 SA | 2,060 | - | - | - | 2,060 | 2.15 | 2,060 | 100.0 | Multiple support providers/sukuk asses with a minimum A/A-1 rating | ||||||||||||
| ING Bank NV | Mont Blanc Capital Corp. | 901 | 258 | 51 | - | 1,209 | 1.26 | 1,317 | 91.8 |
ING Bank N.V. |
||||||||||||
| Landesbank Hessen-Thueringen Girozentrale | Opusalpha Funding Ltd. | - | 847 | - | - | 847 | 0.88 | 2,888 | 29.3 |
Landesbank Hessen |
||||||||||||
|
DZ BANK AG |
||||||||||||||||||||||
| Titrisation et Finance Internationales | General Funding Ltd. | - | 212 | - | - | 212 | 0.22 | 212 | 100.0 |
Credit Industriel et Commercial |
||||||||||||
| AIG Financial Products Corp. | Curzon Funding Ltd.(ii) | - | - | - | - | - | 0.00 | 2 | 0.0 |
AIG Financial Products Corp. |
||||||||||||
| Nordea Bank AB | Viking Asset Securitisation Ltd. | - | - | - | - | - | 0.00 | 1,135 | 0.0 |
Nordea Bank Abp |
||||||||||||
| Total | 54,422 | 33,224 | 7,946 | 445 | 96,037 | 100.00 | 138,275 | |||||||||||||||
| (i)Committed funding amounts include funding via risk participation agreements. (ii)All liabilities are in the form of EMTNS, which are not rated. (iii)Total ABCP outstandings may be either the face amount or discounted value based on the reporting. ABCP--Asset-backed commercial paper. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling. | ||||||||||||||||||||||
Appendix 1c
| Australia: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of December 2018 | ||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sponsor/administrator | Program | AUD | USD | EUR | GBP | Others | Total ABCP outstanding (mil. USD) | Total ABCP outstanding (% of total) | Committed funding amounts (mil. USD) | Capacity utilization (%) |
LF provider |
|||||||||||||
| Liberty Financial | Liberty Sirius Trust | 282 | - | - | - | - | 282 | 100 | 282 | 100.0 |
National Australia Bank Ltd. |
|||||||||||||
| Westpac Banking Corp. | Waratah Securities Australia Ltd.- Callable ABCP | - | - | - | - | - | - | - | - | - |
Westpac Banking Corp. |
|||||||||||||
| Sydney Capital Corp. Inc. (USD) | - | - | - | - | - | - | - | - | - | |||||||||||||||
| Waratah Securities Australia Ltd. | - | - | - | - | - | - | - | - | - | |||||||||||||||
| Total | 282 | - | - | - | - | 282 | 100 | 282 | ||||||||||||||||
| ABCP--Asset-backed commercial paper. AUD--Australian dollars. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling. | ||||||||||||||||||||||||
Appendix 2a
| U.S.: Asset Types Based On Invested Amount As Of December 2018 | ||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mil. USD | ||||||||||||||||||||||||||||
| Sponsor/administrator | Program | Auto | Cash and permitted investments | CDO | Commercial - other | Consumer - other | Credit card | Equipment | Mortgage | Student loans | Trade receivables | Other | Total | |||||||||||||||
| JPMorgan Chase Bank N.A. | ||||||||||||||||||||||||||||
| Chariot Funding LLC | 10,887 | - | - | 1,219 | 1,166 | 799 | - | 1 | 3,152 | 388 | - | 17,611 | ||||||||||||||||
| Collateralized Commercial Paper Co. LLC | - | - | - | - | - | - | - | - | - | - | 6,578 | 6,578 | ||||||||||||||||
| Collateralized Commercial Paper II Co. LLC | - | - | - | - | - | - | - | - | - | - | 7,816 | 7,816 | ||||||||||||||||
| Collateralized Commercial Paper III Co. LLC | - | - | - | - | - | - | - | - | - | - | 3,360 | 3,360 | ||||||||||||||||
| Collateralized Commercial Paper Flex Co. LLC | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||
| Jupiter Securitization Co. LLC | 4,381 | - | - | 865 | 266 | 349 | 135 | - | 803 | 259 | - | 7,057 | ||||||||||||||||
| Guggenheim Treasury Services, LLC | ||||||||||||||||||||||||||||
| Bennington Stark Capital Co. LLC | - | 1 | - | 4,486 | - | - | - | - | - | - | - | 4,487 | ||||||||||||||||
| Cedar Springs Capital Co. LLC | 235 | 169 | - | 10,753 | 2,113 | 613 | - | - | - | 117 | 2,907 | 16,905 | ||||||||||||||||
| Concord Minutemen Capital Co. LLC | 351 | 440 | - | 9,833 | 1,572 | 508 | 289 | 2,249 | - | 117 | 330 | 15,690 | ||||||||||||||||
| Crown Point Capital Co. LLC | 231 | 1,270 | - | 2,938 | 2,086 | 508 | 353 | 2,249 | 124 | 117 | - | 9,877 | ||||||||||||||||
| Great Bridge Capital Company, LLC | - | - | - | - | - | - | - | - | - | - | 316 | 316 | ||||||||||||||||
| Legacy Capital Co. LLC | - | 0 | - | 100 | - | - | - | - | - | 458 | - | 558 | ||||||||||||||||
| Lexington Parker Capital Co. LLC | - | 468 | - | 2,863 | 150 | - | - | - | - | - | - | 3,481 | ||||||||||||||||
| Ridgefield Funding Co. LLC (Series A) | - | 0 | - | - | - | - | - | - | - | - | 6,052 | 6,053 | ||||||||||||||||
| Ridgefield Funding Co. LLC (Series B) | - | 0 | - | - | - | - | - | - | - | - | 504 | 505 | ||||||||||||||||
| White Plains Capital Company, LLC | - | 0 | - | - | - | - | - | - | - | - | 602 | 602 | ||||||||||||||||
| Royal Bank of Canada | ||||||||||||||||||||||||||||
| Bedford Row Funding Corp | - | - | - | - | - | - | - | - | - | - | 12,423 | 12,423 | ||||||||||||||||
| Old Line Funding LLC | 5,319 | - | - | - | 1,019 | 1,750 | 702 | - | 1,170 | 567 | 358 | 10,885 | ||||||||||||||||
| Thunder Bay Funding LLC | 3,057 | - | - | 334 | 231 | 1,247 | 143 | - | 491 | 770 | 1,052 | 7,327 | ||||||||||||||||
| Citibank N.A. New York, NY | ||||||||||||||||||||||||||||
| CAFCO LLC | 2,003 | - | - | 1,200 | 269 | 404 | 153 | - | 252 | 322 | 889 | 5,493 | ||||||||||||||||
| CRC Funding LLC | 1,906 | - | - | 1,243 | 509 | 579 | 248 | - | 471 | - | 651 | 5,607 | ||||||||||||||||
| Charta LLC | 2,238 | - | - | 873 | 303 | 366 | 346 | - | 187 | - | 876 | 5,189 | ||||||||||||||||
| Ciesco LLC | 1,257 | - | - | 497 | - | 125 | - | - | - | 89 | 402 | 2,370 | ||||||||||||||||
| Bank of Tokyo-Mitsubishi UFJ Ltd., New York branch | ||||||||||||||||||||||||||||
| Victory Receivables Corp. | 3,125 | - | - | - | - | 256 | 487 | - | - | 2,790 | - | 6,658 | ||||||||||||||||
| Gotham Funding Corp. | 1,386 | - | - | 604 | - | 615 | 266 | - | - | 3,268 | 302 | 6,441 | ||||||||||||||||
| Credit Agricole Corporate and Investment Bank | ||||||||||||||||||||||||||||
| La Fayette Asset Securitization LLC | 1,474 | - | - | 243 | - | - | - | - | - | 292 | 224 | 2,233 | ||||||||||||||||
| Atlantic Asset Securitization LLC | 2,966 | - | - | 1,093 | - | - | 747 | 34 | - | 4,618 | - | 9,457 | ||||||||||||||||
| FMS Wertmanagement Anstalt des oeffentlichen Rechts | Kells Funding, LLC | - | - | - | - | - | - | - | - | - | - | 10,817 | 10,817 | |||||||||||||||
| Barclays Bank PLC | ||||||||||||||||||||||||||||
| Salisbury Receivables Company LLC | 108 | - | 158 | 70 | 40 | - | 51 | 948 | 220 | - | - | 1,595 | ||||||||||||||||
| Sheffield Receivables Company LLC | 3,703 | - | - | - | 425 | 329 | 373 | 837 | 809 | 228 | 99 | 6,803 | ||||||||||||||||
| Sunderland Receivables S.A. | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||
| Societe Generale | Barton Capital LLC | 3,196 | - | - | - | 607 | 419 | 652 | - | 302 | 200 | 1,468 | 6,844 | |||||||||||||||
| Bank of Nova Scotia | Liberty Street Funding LLC | 3,008 | - | - | 41 | 37 | 400 | 344 | - | - | 1,851 | 574 | 6,255 | |||||||||||||||
| Sumitomo Mitsui Banking Corp. | Manhattan Asset Funding Co. LLC | 3,354 | - | - | 988 | - | 115 | 236 | - | - | 1,417 | - | 6,111 | |||||||||||||||
| Credit Suisse AG | Alpine Securitization LTD | - | - | - | - | - | - | - | - | - | - | 5,720 | 5,720 | |||||||||||||||
| BNP Paribas | Starbird Funding Corp. | 1,568 | - | - | 87 | 1,269 | 606 | - | - | - | 268 | 464 | 4,262 | |||||||||||||||
| Bank of Montreal | Fairway Finance Co. LLC | 2,212 | - | - | - | - | - | 411 | - | 757 | 264 | 59 | 3,703 | |||||||||||||||
| Natixis Financial Products Inc. | Versailles Commercial Paper LLC | 223 | - | - | 1,806 | - | - | - | - | - | 67 | 664 | 2,760 | |||||||||||||||
| Cantor Fitzgerald, L.P. | Institutional Secured Funding (Jersey) Limited | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||
| 20 Gates Management LLC | MountCliff Funding LLC | - | 40 | - | 329 | 26 | - | 140 | - | - | - | 1,536 | 2,070 | |||||||||||||||
| Berkadia Commercial Mortgage LLC | Welsh Road Funding LLC | - | - | - | - | - | - | - | 1,472 | - | - | - | 1,472 | |||||||||||||||
| DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Autobahn Funding Co. LLC | - | - | - | 508 | 57 | - | 99 | - | 54 | 60 | 467 | 1,247 | |||||||||||||||
| Cooperative Association of Tractor Dealers Inc. | DCAT, LLC | - | - | - | - | - | - | 1,147 | - | - | - | - | 1,147 | |||||||||||||||
| Bunge Limited | Bunge Asset Funding Corp. | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||
| Total | 58,188 | 2,390 | 158 | 42,973 | 12,145 | 9,987 | 7,324 | 7,789 | 8,792 | 18,526 | 67,511 | 235,783 | ||||||||||||||||
| CDO--Collateralized debt obligation. | ||||||||||||||||||||||||||||
Appendix 2b
| EMEA: Asset Investment Based On Asset Types As Of December 2018 | ||||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mil. USD | ||||||||||||||||||||||||||||
| Sponsor/administrator | Program | Auto | Cash and permitted investments | CDO | Commercial - other | Consumer - other | Credit card | Equipment | Mortgage | Student loans | Trade receivables | Other | Total | |||||||||||||||
| Credit Agricole Corporate and Investment Bank | LMA S.A./LMA Americas LLC | 2,120 | - | - | - | 541 | - | - | - | - | 16,234 | - | 18,896 | |||||||||||||||
| BSN Holdings Ltd./BSN Capital Partners Ltd. | Chesham Finance Ltd. | - | - | - | 2,806 | - | - | - | - | - | - | - | 2,806 | |||||||||||||||
| Chesham Finance Ltd. (Series I) | - | - | - | 100 | - | - | - | - | - | - | - | 100 | ||||||||||||||||
| Chesham Finance Ltd. (Series II) | - | - | - | 972 | - | - | - | - | - | - | - | 972 | ||||||||||||||||
| Chesham Finance Ltd. (Series III) | - | - | - | 1,844 | - | - | - | - | - | - | - | 1,844 | ||||||||||||||||
| Chesham Finance Ltd. (Series IV) | - | - | - | 600 | - | - | - | - | - | - | - | 600 | ||||||||||||||||
| Chesham Finance Ltd. (Series V) | - | - | - | 661 | - | - | - | - | - | - | - | 661 | ||||||||||||||||
| Chesham Finance Ltd. (Series VI) | - | - | - | 728 | - | - | - | - | - | - | - | 728 | ||||||||||||||||
| Ebury Finance Ltd. | - | - | - | 1,576 | - | - | - | - | - | - | - | 1,576 | ||||||||||||||||
| Halkin Finance PLC | - | - | - | 1,614 | - | - | - | - | - | - | - | 1,614 | ||||||||||||||||
| BNP Paribas | Matchpoint Finance PLC | 3,280 | - | - | 912 | 269 | 869 | 763 | 34 | - | 4,370 | - | 10,497 | |||||||||||||||
| Societe Generale | Antalis S.A. | 1,906 | - | - | 385 | 345 | 423 | 241 | 303 | - | 6,046 | 177 | 9,826 | |||||||||||||||
| Northcross Capital Management Ltd. | Anglesea Funding PLC | - | 2 | - | 6,740 | - | - | - | - | - | - | - | 6,742 | |||||||||||||||
| Glencove Funding DAC | - | - | - | 579 | - | - | - | - | - | - | - | 579 | ||||||||||||||||
| Longship Funding DAC | - | - | - | 1,259 | - | - | - | - | - | - | - | 1,259 | ||||||||||||||||
| Intesa Sanpaolo SpA | Romulus Funding Corp. | 1,032 | - | - | - | 436 | - | - | 118 | - | 3,790 | 785 | 6,161 | |||||||||||||||
| Lloyds Bank plc | Cancara Asset Securitisation Ltd. | 4,506 | 852 | - | 607 | 266 | 309 | - | 837 | - | 2,089 | 114 | 9,581 | |||||||||||||||
| Cooperatieve Rabobank U.A. | Nieuw Amsterdam Receivables Corp. B.V. | 459 | - | - | - | 180 | - | 173 | - | - | 4,434 | 302 | 5,549 | |||||||||||||||
| UniCredit Bank AG | Arabella Finance Ltd. | 3,059 | - | - | - | 520 | - | 196 | - | - | 2,278 | - | 6,053 | |||||||||||||||
| MUFG Bank Ltd. | Albion Capital Corporation S.A. | 3,819 | - | - | - | 92 | 18 | 123 | - | - | 1,146 | 549 | 5,747 | |||||||||||||||
| Natixis S.A. | Managed and Enhanced Tap (Magenta) Funding SAT | 292 | - | - | - | 62 | - | - | 490 | - | 1,425 | 137 | 2,405 | |||||||||||||||
| HSBC Bank PLC | Regency Assets Ltd. | 3,348 | - | - | 64 | 1,363 | 64 | 496 | 2,938 | - | 2,816 | - | 11,089 | |||||||||||||||
| Commerzbank AG | Silver Tower Funding Ltd. | 1,456 | - | - | - | 57 | - | - | - | - | 1,914 | - | 3,427 | |||||||||||||||
| The International Islamic Liquidity Management Corporation | International Islamic Liquidity Management 2 SA | - | - | - | - | - | - | - | - | - | - | 2,060 | 2,060 | |||||||||||||||
| ING Bank NV | Mont Blanc Capital Corp. | 375 | - | - | - | 178 | 376 | - | - | - | 269 | - | 1,199 | |||||||||||||||
| Landesbank Hessen-Thueringen Girozentrale | Opusalpha Funding Ltd. | 1,622 | - | - | - | - | - | 349 | - | - | 710 | - | 2,681 | |||||||||||||||
| Titrisation et Finance Internationales | General Funding Ltd. | - | - | - | 212 | - | - | - | - | - | - | - | 212 | |||||||||||||||
| AIG Financial Products Corp. | Curzon Funding Ltd. | - | - | - | - | - | - | - | 1 | 2 | - | - | 2 | |||||||||||||||
| Nordea Bank AB | Viking Asset Securitisation Ltd. | - | - | - | - | - | - | - | - | - | 1,103 | - | 1,103 | |||||||||||||||
| Total | 27,274 | 854 | - | 21,660 | 4,310 | 2,058 | 2,342 | 4,721 | 2 | 48,624 | 4,124 | 115,969 | ||||||||||||||||
| CDO--Collateralized debt obligation. | ||||||||||||||||||||||||||||
Appendix 2c
| Australia: Asset Investment Based On Asset Types As Of December 2018 | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mil. USD | ||||||||||||||||||||||
| Sponsor/administrator | Program | Residential mortgages - prime | Residential mortgages - subprime | Auto/equipment loans/leases | Credit card receivables | Trade receivables | RMBS - prime | SME | Temporary cash holding | Total | ||||||||||||
| Liberty Financial | Liberty Sirius Trust | - | 269 | - | - | - | - | - | 4 | 273 | ||||||||||||
| Westpac Banking Corp. | Waratah Securities Australia Ltd.- Callable ABCP | - | - | - | - | - | - | - | - | - | ||||||||||||
| Sydney Capital Corp. Inc. (USD) | - | - | - | - | - | - | - | - | - | |||||||||||||
| Waratah Securities Australia Ltd. | - | - | - | - | - | - | - | - | - | |||||||||||||
| Total | - | 269 | - | - | - | - | - | 4 | 273 | |||||||||||||
| RMBS--Residential Mortgage Backed Securities. SME--Small and Medium Enterprises. | ||||||||||||||||||||||
This report does not constitute a rating action.
| Primary Credit Analysts: | Dev C Vithani, New York + 1 (212) 438 1714; dev.vithani@spglobal.com |
| Matthew S Mitchell, CFA, London (44) 20-7176-8581; matthew.mitchell@spglobal.com | |
| Justin Rockman, Melbourne (61) 3-9631-2183; justin.rockman@spglobal.com | |
| Toshiaki Shimizu, Tokyo (81) 3-4550-8302; toshiaki.shimizu@spglobal.com | |
| Secondary Contacts: | Ildiko Szilank, New York (1) 212-438-2614; ildiko.szilank@spglobal.com |
| Florent Stiel, Paris (33) 1-4420-6690; florent.stiel@spglobal.com | |
| Research Contributors: | Vidhya Venkatachalam, CFA, CRISIL Global Analytical Center, an S&P Global Ratings affiliate, Mumbai |
| Deepika More, CRISIL Global Analytical Center, an S&P affiliate, Mumbai | |
| Vanessa M Martinez, New York + 1 (212) 438 1415; vanessa.martinez@spglobal.com |
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