Since the first quarter of the year, existing U.S. sponsors have continued to expand their current asset portfolios, and new participants have entered the market. By year-end, we expect U.S. ABCP outstanding to reach $250 billion-$255 billion. At the same time, while recession concerns have intensified since first quarter, we expect our ratings on outstanding ABCP to remain stable amid slightly weakening performance of the underlying assets.

In EMEA, we have observed continued market interest from new conduit sponsors, as well as an increase in issuances from existing programs we rate. Issuance volume at the end of the first six months was just short of $100 billion, and we expect that moderate growth will continue under our base-case forecast; however, significant uncertainties surrounding Brexit could put a damper on new issuance.

In Australia, total ABCP outstanding in June 2019 decreased to A$342 million from A$400 million six months earlier, as ABCP programs continued winding down, and we expect issuance to remain subdued for the remainder of 2019. Overall economic risks in Australia are broadly steady, but tilted to the downside. In Japan, after some growth last year, total ABCP outstanding in June 2019 declined 7% to ¥213.81 billion since December 2018. Utilization rates in Japan have been low, compared to global trends, likely because of the current lending environment and availability of credit.

U.S.: Stable Ratings And Moderate Rise In Issuance Expected Through Year-End

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 through year-end 2019, we expect a moderate increase in volume, slightly weakening credit performance of the underlying assets, and stable ratings. According to the Fed, U.S. ABCP outstanding stood at $242.7 billion as of Oct. 16, 2019, and we expect it to increase to $250 billion-$255 billion by December. U.S. ABCP outstanding rated by S&P Global Ratings has grown 6% to $203.3 billion as of June 2019 from a 2016 low of $191.9 billion.

Since first quarter, we have rated ABCP issued by three new programs: Columbia Funding Co. LLC (first half of 2019), Collateralized Commercial Paper V Co. LLC and Lime Funding LLC (second half of 2019). We also lowered our rating on one program, White Plains Capital Co. LLC, and we withdrew our rating on Ridgefield Funding Co. LLC Series B and those on the extendible ABCP notes issued by Chariot Funding LLC and Jupiter Securitization Co. LLC.

We expect stable ratings for U.S ABCP in a recession scenario

Recession concerns have intensified since first quarter, and S&P Global Ratings economists have raised the odds of recession to 30%-35% due to the ongoing trade war, weaker global growth, and geopolitical instability. Against this backdrop, the Fed cut interest rates another 25 basis points to 1.75%-2.00%, with more easing expected this year (see "Rising Recession Risk Adds To Trade, Rate Uncertainty," published Sept. 30, 2019, "U.S. Business Cycle Barometer: Recession Risk Rises," published Aug. 15, 2019, and "Global Growth Suffers As Secondary Trade Effects Go From Risk To Reality," published July 2, 2019). In a recession scenario, we expect stable rating performance for U.S ABCP based on the high-investment-grade ratings on bank sponsors and extensive experience of nonbank sponsors. ABCP conduits are actively managed, and our ratings on the related ABCP are based on our ratings on the liquidity or credit support providers and the credit quality of the assets funded in the programs (see "When The Cycle Turns: How Would Global Structured Finance Fare In A Downturn?" published Sept. 4, 2019).

Issuance is dampened by cheap deposit funding and the yield curve

In recent years, banks, which typically serve as sponsors and administrators for ABCP programs, have generally reported low to mid-single-digit loan growth and have had fairly robust levels of deposits relative to loans. Therefore, their need for non-deposit funding, including ABCP, has been limited. The Fed's recent loosening of monetary policy, including quantitative easing, injected more liquidity into the system and likely continued to dampen ABCP growth. Besides investor and funding diversification, we do not expect a significant change in incentives for short-term funding until we begin to see the yield curve steepen.

Pools include diversified collateral

We continue to observe diversification of collateral in asset pools. In addition to staple assets--such as auto loans and leases, credit cards, and trade receivables--programs include servicer advances, contract payment rights, marketplace loans, wireless handset devices, and repurchase agreements, among others.

LIBOR phaseout has no impact on existing ABCP

The London Interbank Offered Rate (LIBOR) is expected to be phased out by the end of 2021, and market participants continue to discuss the challenges of implementing a replacement benchmark rate, which would have an impact on both existing and new securitized transactions that are indexed to LIBOR. At this time, there has been no consensus from market participants on the transition. In the U.S., however, the Secured Overnight Financing Rate (SOFR) is being considered as an alternative rate for transactions while adoption of standardized fallback language evolves. Although the majority of ABCP issuances have a fixed rate, some floating-rate ABCP are indexed to LIBOR. For collateral backing ABCP that uses LIBOR as the referenced rate, the potential basis mismatch between assets and liabilities is mitigated by the rollover concept, or when the program issues new short-term debt to repay the maturing short-term debt to remain continuously invested in asset pools. In case of any ABCP market disruption, alternative rates such as the Fed funds rate or prime rate are included in the documentation as well. ABCP generally benefits from a committed liquidity facility to make timely payment of interest and principal on maturing ABCP in the event the conduit is unable to issue new notes. As a result, we do not currently expect any impact from the phaseout of LIBOR on existing ABCP ratings, and we will continue to monitor the transition of LIBOR to alternative reference rates.

ESG-related inquiries are growing

We have observed increased interest in programs backed by assets viewed as having strong environmental, social, and governance (ESG) credentials. In our view, ESG credit factors in structured finance--while not new--are evolving, and some hurdles need to be overcome, including a lack of capital market standard or market consensus of the definition of ESG and "green," confidentiality issues, inconsistent disclosures and data reporting, and varying views on how to score and weigh ESG factors. For example, an ESG evaluation of the sponsor or administrator could be different from an ESG evaluation of the asset or seller, or the seller's obligors. In addition, strong ESG credentials do not necessarily indicate strong creditworthiness, which is the core factor in our credit rating analysis. Specific to ABCP programs and linked ratings, changes in corporate and bank ratings, including due to ESG credit factors, can affect programs that rely on the affected entities (see "ESG Credit Factors In Structured Finance," published Sept. 19, 2019).

S&P Global Ratings rated three new programs to date in 2019

Total S&P Global Ratings-rated ABCP outstanding in the U.S. from 2014 to 2019 has remained relatively steady at $191.9 billion-$216.5 billion (see chart 1). Of the $203.3 billion outstanding as of June 2019, approximately 78% had a short-term 'A-1' rating, 21.7% was rated 'A-1+', and 0.3% was rated 'A-2'.

ABCP outstanding for eight partially supported programs from Royal Bank of Canada, JP Morgan, and Citibank total $54.4 billion and make up 27% of the total S&P Global Ratings-rated U.S. ABCP market (see Appendix). The remaining 38 programs in the U.S. are fully supported and total about $148.9 billion, or 73% of the S&P Global Ratings-rated U.S. ABCP market (see Appendix).

To date in 2019, we have rated ABCP issued by three new fully supported conduits: Columbia Funding Co. LLC, a conduit with a unique structure that uses proceeds derived from a master repurchase agreement and a total return swap to purchase U.S. Treasuries and a loan to banks to hold as high-quality liquid assets; Collateralized Commercial Paper V Co. LLC, a conduit that uses proceeds to make separate loan agreements secured by financial assets pledged as underlying collateral; and Lime Funding LLC, a conduit that uses proceeds to provide financing to clients via repurchase agreements and to finance traditional assets such as trade receivables, auto loans and leases, franchise loans, mortgage warehouses, and others (see "New Issue: Columbia Funding Co. LLC," published June 24, 2019, "Collateralized Commercial Paper V Co. LLC Notes Assigned 'A-1 (sf)' Rating," published July 26, 2019, and "Lime Funding LLC Notes Assigned 'A-1 (sf)' Ratings, published Oct. 10, 2019).

We withdrew our ratings on Ridgefield Funding Co. LLC Series B, and we lowered our rating to 'A-2' from 'A-1' on the ABCP issued by White Plains Capital Co. LLC due to our recent downgrade of liquidity provider Nomura Securities Co. Ltd. to 'A-/A-2' from 'A/A-1'. Both programs are managed by Guggenheim Treasury Services LLC (see "Rating Lowered On White Plains Capital Co. LLC's Asset-Backed Commercial Paper Notes," published Aug. 9, 2019).

U.S. dollar-denominated issuances continue to account for most of the ABCP outstanding

U.S. dollar-denominated ABCP issuances 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).

Key trends in asset composition and credit risk

We consider credit risk an important factor in partially supported programs, which rely on sponsors to provide liquidity, but the underlying assets cover the credit risk, typically in the form of credit enhancement.

Under a recession scenario, we expect relatively stable credit performance for investment-grade ratings on the underlying assets, and if asset quality deteriorates, conduit sponsors may post programwide credit enhancement or remove a transaction from the conduit.

For ABS, we expect stable rating performance, with the risk of downgrades and defaults higher for classes assigned speculative-grade ratings. As of June 2019, traditional assets--such as auto loans and leases, credit cards, student loans, consumer loans, and equipment loans and leases--made up about 76% of collateral in partially supported programs (see Appendix). The following sections provide a breakdown of performance by asset type.

Auto loans and leases remain dominant assets

Auto loans and leases account for 49% of the collateral in partially supported programs and 24% 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 and lease term ABS issuance in 2019 is projected to reach $86 billion and $17-$18 billion, respectively, even as auto sales are expected to slightly decline this year. Although prime auto loan credit losses increased slightly to 0.58% in August 2019 from 0.55% in August 2018, the performance of these transactions continues to remain within our original loss expectations. Subprime (including deep subprime) auto loan losses increased to 8.78% from 8.65% over the same period. After netting out three deep subprime issuers, modified subprime losses improved slightly, to 6.64% from 6.92% (see "U.S. Auto Loan ABS Tracker: August 2019," published Oct. 21, 2019). We expect investment-grade ratings on auto loan and lease term ABS to remain stable, though speculative-grade ratings on subprime auto loan ABS could be vulnerable to downgrades (see "Global Structured Finance Outlook 2019: Securitization Continues To Be Energized With Potential $1 Trillion In Volume Expected Again," published Jan. 7, 2019).

Credit cards remain staple assets despite representing a smaller percentage of conduit portfolios

Credit cards make up 7% of the collateral in partially supported commercial paper programs and 3% of the total commercial paper market (see charts 3 and 4). We anticipate annual credit card ABS issuance to remain low (about $25 billion), despite an increase in revolving consumer credit, as long as cost-effective deposits are available for banks, which are the primary originators in this sector. Credit card pools include highly seasoned, high-credit-quality receivables. We expect bank credit card losses to remain low, ranging from 3%-4%, and private-label card losses to stay at their historical range of 6%-7%. We expect credit card ABS investment-grade ratings to remain stable during a potential recession (see "Quarterly U.S. Credit Card Quality Index: Market Volatility Does Little To Upset Steady Performance In Second-Quarter 2019," published Aug. 27, 2019).

Student loans represent a small portion of the overall conduit portfolio

Student loans comprise 10% of the collateral in partially supported commercial paper programs and 4% of the total commercial paper market (see charts 3 and 4). We expect student loan term ABS issuance to reach $20 billion for the year, 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 (see "Podcast Explores U.S. Student Loan Debt And The Possibility Of Forgiveness," published Sept. 26, 2019).

Consumer loans and mobile handsets hold investor interest

Consumer assets--including personal loans and mobile handsets, among others--comprise 7% of the collateral in partially supported programs and make up about 4% of the total assets funded through commercial paper (see charts 3 and 4). There is growing interest in these newer asset types because 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 to $10 billion-$15 billion in 2019, with 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 5% 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 34% 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, contract payment rights, and repurchase agreements. 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 and partially supported programs.

Investor tastes also shift to commercial assets

Commercial assets make up 13% of the total commercial paper market and comprise 13% 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 leases, among others. We expect sustained issuance volume in the $30-$35 billion range for commercial ABS in 2019, with both stable ratings and credit quality. However, we expect some volatility varying by segment (e.g., agriculture, transportation, construction, small ticket, etc.), resulting from geopolitical effects and more challenging economic conditions. We also 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 other factors (see "U.S. Commercial ABS Outlook For 2019: Generally Stable, But With Increased Volatility," published Feb. 21, 2019, and "SF Credit Brief: What Drives Near-Zero Losses For The Fleet Lease ABS Sector?" published Nov. 21, 2018).

EMEA: Issuance Inches Closer To $100 Billion As Market Uncertainties Abate

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 as of June 2019 from conduits domiciled in EMEA increased 4.1% over 2018, furthering the momentum gathered in 2017. Issuance volume at the end of the first six months was just short of $100 billion. We expect that moderate growth will continue under our base-case forecast, but significant uncertainties surrounding Brexit could put a damper on new issuance.

On the regulatory front, disruptions due to the implementation of the EU's new securitization regulation effective Jan. 1, 2019, and the uncertainties over the eligibility criteria for the simple, transparent, and standardized (STS) securitizations moderated in the second quarter. Even though several technical standards are still not completely finalized, term securitizations have started to regain ground, and guidance has been provided on the regulation's application to ABCP conduits. Consequently, we expect some improvement in ABCP issuance volumes. On the other hand, the return of central bank funding schemes--such as the European Central Bank's third round of targeted long-term refinancing operations (TLTRO III) and any possibility of another iteration of Bank of England's term funding scheme (TFS)--could dampen term securitizations, thereby lowering ABCP issuances funding assets by subscribing to notes issued under them.

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. As such, we do not anticipate performance issues under existing cross-border derivative contracts. Our view remains unchanged despite continued uncertainty related to Brexit, and we 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.

Issuance momentum continues into 2019

Total ABCP outstanding in EMEA continued to increase in the first six months, rising 4.1% to $99.9 billion as of June 2019. Overall volumes, which rose 31.9% in December 2017 from the December 2014 low of $72.9 billion, continued to gather momentum this year (see chart 5). While the universe of rated conduits remained unchanged in the first half of the year, in the third quarter, we rated two new programs: Satellite, sponsored by Crédit Industriel et Commercial, which funds traditional assets such as trade receivables, auto loans, and auto leases; and Chesham Finance Ltd.'s segregated series VII, sponsored by BSN Holdings Ltd., which funds investment contracts with Citibank N.A, Citigroup Global Markets Inc., and/or Citigroup Global Markets Ltd. as series counterparties (see related research).

Growth in committed funding amounts remained steady around 2% as of June 2019, compared to 2018, supported by expanding interest in ABCP-based funding. Overall utilization rates across programs remained largely stable, with limited changes since December 2018.

British pound-sterling denominated issuances up, euro-denominated issuances slip

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. Despite the increase in total issuance volumes as of June 2019, euro-denominated issuances fell 3.4%, causing their overall share to also reduce to about 32% from nearly 35% last year. Market preference shifted to U.S. dollar- and British pound sterling-denominated issuances. While U.S. dollar-denominated issuances have been steadily growing since 2017, British pound sterling-denominated issuances increased 13.1% over 2018, despite the prevailing uncertainty around Brexit (see chart 6).

The share of total ABCP outstanding funded by single-seller programs climbed 2% over 2018 to about 9%, as issuances from the two new single-seller programs we rated in July 2018--Glencove Funding DAC and Longship Funding DAC--more than doubled over the last six months. Similarly, the share of 'A-1+' rated programs improved because of the issuances from Longship Funding DAC. All issuances 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 (see Appendix).

Investment contract volumes nearly triple in five years

Total asset investments in EMEA increased about 1.8% over 2018, with rises in commercial and consumer assets offset by a marginal decline in trade receivables (see chart 7).

Although traditional assets such as trade receivables and autos continued to account for more than 60% of total asset investments, we observed a sharp growth in issuances from conduits funding investment contracts such as repurchase agreements, total return swaps, and securities lending agreements, which improved investments in commercial assets. Since July last year, we rated two new conduits and an additional segregated series within an existing program, Chesham Finance Ltd., all of which fund investment contracts (see related research). Over the last five years, conduits that fund investments contracts increased to 13, up from four in 2014, while total assets funded by these conduits have almost tripled to more than $22 billion, which, based on our understanding, is driven by favorable capital treatment and diversified sources of liquidity for counterparties.

We did not observe any material changes in the domicile of assets since 2018; of all assets, 80% continue to be domiciled across various regions within EMEA. Assets originated in the U.K. were slightly above the 30% average we observed over the past four years. A quarter of assets continue to be domiciled in Italy, France, and Germany. Assets originated in the U.S. have stayed steady as well around 7%-8%. We observed some growth in assets originated from Australia, Austria, Hong Kong, and Korea, although these regions together formed only about 2.3% of the total.

Australia: Programs Winding Down Causes Volume To Decline Further

Justin Rockman, Melbourne, (61) 3-9631-2183; justin.rockman@spglobal.com  

Total ABCP outstanding in June 2019 decreased approximately 15% to A$342 million from A$400 million six months earlier, continuing the trend of program sponsors winding down ABCP programs (see chart 8). Total liquidity backing ABCP programs remained stable at A$400 million in June.

Until 2014, about 80% of all issuance was denominated in Australian dollars, and another 12%-18% was denominated in U.S. dollars. However, U.S. dollar-denominated issuance contracted significantly thereafter, with no Australian programs funding in the U.S. (see 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 can 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, with a proportion held in cash temporarily due to the sale of underlying assets from one of the programs (see chart 10).

Australian households and businesses remain short on confidence, despite recent tax and central bank rate cuts. However, there are early signs the housing market downturn may be past the worst. Job growth remains resilient, which should support household spending and offset the drag from the housing market. The unemployment rate increased in the second quarter of 2019, but this reflects rising labor force participation. The Reserve Bank of Australia recognizes the need to reduce the unemployment rate to meet inflation targets, and further cash rate cuts are possible. Economic growth has slowed over the course of 2019 as weaker consumption growth and the slowdown in housing market activity weighed on consumer and business sentiment. Despite the softening in economic conditions, employment has held up with robust job growth and a relatively stable unemployment rate. We expect ABCP issuance to remain subdued for the remainder of 2019. Overall risks are broadly steady, but tilted to the downside.

Japan: Issuance Volumes Declined To Date In 2019

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 remain 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 related transaction party's request (see chart 11).

Total ABCP outstanding in June 2019 declined 7% to ¥213.81 billion since December 2018. Issuance volumes remained well below historical highs, despite slight gains in December 2018. 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 June 2019, the top 10 sponsors are largely concentrated in the U.S. and EMEA. They formed about 72.1% of the S&P Global Ratings-rated ABCP issuances outstanding in these two regions, largely stable since December 2018. 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 June 2019 And December 2018
			June 2019		December 2018
Sponsor/administrator	Program	Region	(Mil. $)	% of S&P Global Ratings-rated U.S. and EMEA conduits	(Mil. $)	% of S&P Global Ratings-rated U.S. and EMEA conduits
JPMorgan Chase Bank N.A.(i)
	Multiple see below		40,947	13.50	42,708	13.87
	Chariot Funding LLC	U.S.	16,647		17,694
	Jupiter Securitization Co. LLC	U.S.	6,317		7,261
	Collateralized Commercial Paper Flex Co. LLC	U.S.	5,078		-
	Collateralized Commercial Paper II Co. LLC	U.S.	5,002		7,816
	Collateralized Commercial Paper Co. LLC	U.S.	4,977		6,578
	Collateralized Commercial Paper III Co. LLC	U.S.	2,926		3,360
	Collateralized Commercial Paper V Co. LLC	U.S.	-		-
Guggenheim Treasury Services, LLC(ii)(iii)
	Multiple see below		30,134	9.94	30,914	10.04
	Crown Point Capital Company, LLC	U.S.	9,294		9,783
	Ridgefield Funding Company, LLC (Series A)	U.S.	6,616		6,097
	Ridgefield Funding Company, LLC (Series B)	U.S.	-		508
	Concord Minutemen Capital Company, LLC	U.S.	4,182		3,896
	Bennington Stark Capital Company, LLC	U.S.	3,348		4,503
	Lexington Parker Capital Company, LLC	U.S.	3,335		3,345
	Cedar Springs Capital Company, LLC	U.S.	1,339		1,298
	Great Bridge Capital Company, LLC	U.S.	1,156		318
	White Plains Capital Company, LLC	U.S.	545		606
	Legacy Capital Company, LLC	U.S.	319		559
Credit Agricole Corporate and Investment Bank	Multiple see below		29,948	9.87	30,591	9.94
	LMA S.A./LMA Americas LLC	EMEA	18,367		18,900
	Atlantic Asset Securitization LLC	U.S.	9,720		9,457
	La Fayette Asset Securitization LLC	U.S.	1,860		2,233
Royal Bank of Canada(iv)
	Multiple see below		26,931	8.88	30,587	9.94
	Bedford Row Funding Corp - Standard	U.S.	11,924		12,274
	Old Line Funding LLC	U.S.	9,130		10,942
	Thunder Bay Funding LLC	U.S.	5,877		7,370
Societe Generale
	Multiple see below		16,636	5.49	16,737	5.44
	Antalis S.A.	EMEA	10,075		9,871
	Barton Capital LLC	U.S.	6,561		6,865
Citibank N.A. New York, NY
	Multiple see below		16,394	5.41	18,763	6.09
	CAFCO LLC	U.S.	4,726		5,524
	CRC Funding LLC	U.S.	4,614		5,636
	Charta LLC	U.S.	4,561		5,217
	Ciesco LLC	U.S.	2,494		2,386
Bank of Tokyo--MUFJ Bank Ltd. New York Branch/MUFG Bank, Ltd.
	Multiple see below		15,869	5.23	16,427	5.34
	Gotham Funding Corp.	U.S.	5,023		6,658
	Victory Receivables Corp.	U.S.	5,826		6,441
	Albion Capital Corporation S.A.	EMEA	5,020		3,329
BNP Paribas
	Multiple see below		15,291	5.04	14,835	4.82
	Matchpoint Finance PLC	EMEA	10,970		10,546
	Starbird Funding Corp.	U.S.	4,321		4,289
FMS Wertmanagement Anstalt des oeffentlichen Rechts
	Kells Funding, LLC	U.S.	14,528	4.79	10,921	3.55
BSN Holdings Ltd./BSN Capital Partners Ltd.
	Multiple see below		11,973	3.95	10,903	3.54
	Chesham Finance Ltd.	EMEA	3,035		2,805
	Chesham Finance Ltd. (Series I)	EMEA	600		100
	Chesham Finance Ltd. (Series II)	EMEA	1,145		979
	Chesham Finance Ltd. (Series III)	EMEA	1,835		1,843
	Chesham Finance Ltd. (Series IV)	EMEA	150		600
	Chesham Finance Ltd. (Series V)	EMEA	662		661
	Chesham Finance Ltd. (Series VI)	EMEA	777		728
	Halkin Finance PLC	EMEA	1,924		1,613
	Ebury Finance Ltd.	EMEA	1,845		1,574
Total (Top 10)
			218,651	72.10	223,386	72.56
(i)For purposes of this report, all collateralized commercial paper programs are categorized under JP Morgan Chase Bank N.A., which serves as the administrative sub-agent for these programs. (ii)For purposes of this report, Guggenheim Treasury Services LLC serves as manager for the Concord Minutemen Capital Co. LLC, Great Bridge Capital Co. LLC, Lexington Parker Capital Co. LLC, White Plains Capital Co LLC, and Ridgefield Funding Co. LLC Series A programs. (iii)Unfunded amounts are excluded. (iv)For purposes of this report, Royal Bank of Canada is the administrator.

In the U.S, the top 10 sponsors, administrators, and managers accounted for 85% of the total ABCP outstanding as of June 2019 (see Appendix). Three of the top 10 sponsors and administrators accounted for about 27% of the total ABCP outstanding in eight partially supported conduits as of June 2019 (see Appendix). The top 10 liquidity providers provided a combined commitment of approximately $247.2 billion, or 86%, of the $289.2 billion of 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 87.9% of the total ABCP outstanding as of June 2019, slightly lower than 88.3% as of December 2018 (see Appendix). The top 10 liquidity providers provided a combined commitment of approximately $108.43 billion, or 80%, of the $135.6 billion support available in the S&P Global Ratings-rated EMEA ABCP market.

Rating Actions

• Lime Funding LLC Notes Assigned 'A-1 (sf)' Ratings, Oct. 10, 2019
• New Issue: Satellite (Up To €3.5 Billion European And NEU CP Program), Oct. 4, 2019
• Rating Lowered On White Plains Capital Co. LLC's Asset-Backed Commercial Paper Notes, Aug. 9, 2019
• Collateralized Commercial Paper V Co. LLC Notes Assigned 'A-1 (sf)' Rating, July 26, 2019
• Chesham Finance Ltd.'s Segregated ABCP Program Series VII Assigned Rating, June 26, 2019
• New Issue: Columbia Funding Co. LLC, June 24, 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
• Salisbury Receivables Co. LLC Short-Term ABCP Notes Assigned 'A-1 (sf)' Rating, Nov. 26, 2018
• New Issue: Glencove Funding DAC, July 27, 2018
• New Issue: Longship Funding DAC, July 24, 2018
• Sheffield Receivables Co. LLC ABCP Note Issuances Assigned 'A-1 (sf)' Short-Term Ratings, April 5, 2018

Related Research

• U.S. Auto Loan ABS Tracker: August 2019, Oct. 21, 2019
• Rising Recession Risk Adds To Trade, Rate Uncertainty, Sept. 30, 2019
• ESG Credit Factors In Structured Finance, Sept. 19, 2019
• "Back To The Future": Highlights From S&P Global Ratings' 2019 European Structured Finance Conference, Sept. 10, 2019
• When The Cycle Turns: How Would Global Structured Finance Fare In A Downturn? Sept. 4, 2019
• Quarterly U.S. Credit Card Quality Index: Market Volatility Does Little To Upset Steady Performance In Second-Quarter 2019, Aug. 27, 2019
• U.S. Business Cycle Barometer: Recession Risk Rises, Aug. 15, 2019
• U.S. Prime Auto Loan ABS Are Seeing More Back-Loaded Losses As Loan Terms Lengthen, July 30, 2019
• Global Securitization Issuance Remains On Track For $1 Trillion-Plus After A Robust First Half, July 12, 2019
• Global Growth Suffers As Secondary Trade Effects Go From Risk To Reality, July 2, 2019
• Inside Global ABCP: Moderate Growth Expected For The U.S. And EMEA Despite Market Uncertainties, April 2, 2019
• U.S. Commercial ABS Outlook For 2019: Generally Stable, But With Increased Volatility, Feb. 21, 2019
• Global Structured Finance Outlook 2019: Securitization Continues To Be Energized With Potential $1 Trillion In Volume Expected Again, Jan. 7, 2019
• SF Credit Brief: What Drives Near-Zero Losses For The Fleet Lease ABS Sector? Nov. 21, 2018
• Comparing Trends In The U.S. ABCP And ABS Markets: Both Poised For Growth In 2018, April 9, 2018

Appendix

Appendix 1a

U.S.: ABCP Liquidity Facility Provider By Conduit As Of June 2019
Sponsor/administrator	Program	Program rating	Conduit type	Total ABCP outstanding (mil. USD) (i)	LF provider/eligibility criteria	LF provider rating	Nature of LF support
JPMorgan Chase Bank N.A. (ii)
	Multiple See Below			40,947
	Chariot Funding LLC	A-1	Multi-Seller	16,647	JPMorgan Chase Bank N.A.	A+/Stable/A-1	Partial
	Collateralized Commercial Paper Co. LLC	A-1	Single-Seller	4,977	JPMorgan Securities LLC	A+/Stable/A-1	Full
	Collateralized Commercial Paper II Co. LLC	A-1	Single-Seller	5,002	JPMorgan Securities LLC	A+/Stable/A-1	Full
	Collateralized Commercial Paper III Co. LLC	A-1	Single-Seller	2,926	JPMorgan Securities PLC	A+/Stable/A-1	Full
	Collateralized Commercial Paper Flex Co. LLC	A-1	Single-Seller	5,078	JPMorgan Securities LLC	A+/Stable/A-1	Full
	Collateralized Commercial Paper V Co. LLC	A-1	Single-Seller	-	JPMorgan Securities LLC	A+/Stable/A-1	Full
	Jupiter Securitization Co. LLC	A-1	Multi-Seller	6,317	JPMorgan Chase Bank N.A.	A+/Stable/A-1	Partial
Guggenheim Treasury Services, LLC (iii)(iv)
	Multiple See Below			30,134
	Bennington Stark Capital Company, LLC	A-1	Multi-Seller	3,348	Societe Generale	A/Positive/A-1	Full
	Cedar Springs Capital Company, LLC	A-1	Multi-Seller	1,339	Multiple support providers with a minimum A/A-1 rating	Multiple support providers with a minimum A/A-1 rating	Full
	Concord Minutemen Capital Company, LLC	A-1	Multi-Seller	4,182	Multiple support providers with a minimum A/A-1 rating	Multiple support providers with a minimum A/A-1 rating	Full
	Crown Point Capital Company, LLC	A-1	Multi-Seller	9,294	Credit Suisse AG	A+/Stable/A-1	Full
	Great Bridge Capital Company, LLC	A-1	Multi-Seller	1,156	Standard Chartered Bank	A/Stable/A-1	Full
	Legacy Capital Company, LLC	A-1	Multi-Seller	319	Macquarie Bank Ltd.	A/Positive/A-1	Full
	Lexington Parker Capital Company, LLC	A-1	Multi-Seller	3,335	Natixis S.A.	A+/Stable/A-1	Full
	Ridgefield Funding Company, LLC (Series A)	A-1	Multi-Seller	6,616	BNP Paribas	A+/Stable/A-1	Full
	White Plains Capital Company, LLC	A-2	Multi-Seller	545	Nomura Securities Co. Ltd.	A-/Stable/A-2	Full
Royal Bank of Canada(v)
	Multiple See Below			26,931
	Bedford Row Funding Corp	A-1+	Single Seller	11,924	Royal Bank of Canada	AA-/Stable/A-1+	Full
	Old Line Funding LLC	A-1+	Multi-Seller	9,130	Royal Bank of Canada	AA-/Stable/A-1+	Partial
	Thunder Bay Funding LLC	A-1+	Multi-Seller	5,877	Royal Bank of Canada	AA-/Stable/A-1+	Partial
Citibank N.A. New York, NY
	Multiple See Below			16,394
	CAFCO LLC	A-1	Multi-Seller	4,726	Citibank N.A.	A+/Stable/A-1	Partial
	CRC Funding LLC	A-1	Multi-Seller	4,614	Citibank N.A.	A+/Stable/A-1	Partial
	Charta LLC	A-1	Multi-Seller	4,561	Citibank N.A.	A+/Stable/A-1	Partial
	Ciesco LLC	A-1	Multi-Seller	2,494	Citibank N.A.	A+/Stable/A-1	Partial
FMS Wertmanagement Anstalt des oeffentlichen Rechts
	Kells Funding, LLC	A-1+	Single-Seller	14,528	FMS Wertmanagement Anstalt des oeffentlichen Rechts	AAA/Stable/A-1+	Full
Credit Agricole Corporate and Investment Bank
	Multiple See Below			11,581
	La Fayette Asset Securitization LLC	A-1	Multi-Seller	1,860	Credit Agricole CIB	A+/Stable/A-1	Full
	Atlantic Asset Securitization LLC	A-1	Multi-Seller	9,720	Credit Agricole CIB	A+/Stable/A-1	Full
Bank of Tokyo-Mitsubishi UFJ Ltd., New York branch
	Multiple See Below			10,849
	Victory Receivables Corp.	A-1	Multi-Seller	5,826	The Bank of Tokyo-Mitsubishi Ltd. UFJ	A/Positive/A-1	Full
	Gotham Funding Corp.	A-1	Multi-Seller	5,023	The Bank Of Tokyo - Mitsubishi, Ltd., New York Branch	A/Positive/A-1	Full
Barclays Bank PLC
	Multiple See Below			9,555			Full
	Salisbury Receivables Company LLC	A-1	Multi-Seller	746	Barclays Bank PLC	A/Stable/A-1	Full
	Sheffield Receivables Company LLC	A-1	Multi-Seller	8,809	Barclays Bank PLC	A/Stable/A-1	Full
	Sunderland Receivables S.A.	A-1	Multi-Seller	-	Barclays Bank PLC	A/Stable/A-1	Full
Societe Generale
	Barton Capital LLC	A-1	Multi-Seller	6,561	Societe Generale	A/Stable/A-1	Full
Sumitomo Mitsui Banking Corp.
	Manhattan Asset Funding Co. LLC	A-1	Multi-Seller	5,340	SMBC	A/Positive/A-1	Full
Credit Suisse AG
	Alpine Securitization LTD	A-1	Multi-Seller	5,192	Credit Suisse AG, Cayman Islands Branch	A+//A-1	Full
Bank of Nova Scotia
	Liberty Street Funding LLC	A-1	Multi-Seller	4,827	Bank of Nova Scotia	A+/Stable/A-1	Full
BNP Paribas
	Starbird Funding Corp.	A-1	Multi-Seller	4,321	BNP Paribas	A+/Stable/A-1	Full
Bank of Montreal
	Fairway Finance Co. LLC	A-1	Multi-Seller	3,314	Bank of Montreal	A+/Stable/A-1	Full
Natixis Financial Products Inc.
	Versailles Commercial Paper LLC	A-1	Multi-Seller	3,258	Natixis Financial Products LLC	A+/Stable/A-1	Full
Cantor Fitzgerald, L.P.
	Institutional Secured Funding (Jersey) Limited	A-1	Multi-Seller	2,641	1. BNP Paribas, 2. Macquarie Bank Limited 3. Societe Generale	1. A+/Stable/A-1, 2. A/Positive/A-1, 3. A/Positive/A-1	Full
20 Gates Management LLC
	MountCliff Funding LLC	A-1	Multi-Seller	2,297	1. BNP Paribas, 2. Credit Suisse AG, 3. Societe Generale 4. Natixis Financial Products LLC	1. A+/Stable/A-1, 2. A+/Stable/A-1, 3. A/Positive/A-1, 4. A+/Stable/A-1	Full
Berkadia Commercial Mortgage LLC
	Welsh Road Funding LLC	A-1+	Single-Seller	1,472	Berkshire Hathaway Inc.	AA/Stable/A-1+	Full
Cooperative Association of Tractor Dealers Inc.
	DCAT, LLC	A-1	Single-Seller	1,367	Caterpillar Financial Services Corporation	A/Stable/A-1	Full
DZ BANK AG Deutsche Zentral-Genossenschaftsbank
	Autobahn Funding Co. LLC	A-1+	Multi-Seller	1,253	DZ Bank AG	AA-/Negative/A-1+	Full
Bunge Limited
	Bunge Asset Funding Corp.	A-1	Single-Seller	545	Multiple support providers with a minimum A/A-1 rating	Multiple support providers with a minimum A/A-1 rating	Full
Nearwater Liquid Markets, LLC
	Columbia Funding Co. LLC	A-1	Single-Seller	-	1. J.P. Morgan Securities LLC, 2. Counterparty with a minimum A/A-1 rating	1. A+/Stable/A-1, 2. Counterparty with a minimum A/A-1 rating	Full
Total
				203,307
(i)Total ABCP outstandings may be either the face amount or discounted value based on the reporting. (ii)For purposes of this report, all collateralized commercial paper programs are categorized under JP Morgan Chase Bank N.A., which serves as the administrative sub-agent for these programs. (iii)For purposes of this report, Guggenheim Treasury Services LLC is the Manager for Concord Minutemen Capital Co. LLC, Great Bridge Capital Co. LLC, Lexington Parker Capital Co. LLC, White Plains Capital Co LLC, and Ridgefield Funding Co. LLC Series A. (iv)Unfunded amounts are excluded. (v)For purposes of this report, Royal Bank of Canada is the administrator. USD--U.S. dollars. ABCP--Asset-backed commercial paper.

Appendix 1b

EMEA: ABCP Liquidity Facility Provider By Conduit As Of June 2019
Sponsor/administrator	Program	Program rating	Conduit type	Total ABCP outstanding (mil. USD)(ii)	LF provider/eligibility criteria	LF provider rating	Nature of LF support
Credit Agricole Corporate and Investment Bank
	LMA S.A./LMA Americas LLC	A-1	Multi-Seller	18,367	Credit Agricole CIB	A+/Stable/A-1	Full
BSN Holdings Ltd./BSN Capital Partners Ltd.
	Multiple see below			11,973
	Chesham Finance Ltd.	A-1	Multi-Seller	3,035	Multiple support providers with a minimum A/A-1 rating	Minimum support provider rating is A/A-1	Full
	Chesham Finance Ltd. (Series I)	A-1	Single-Seller	600	ING Bank N.V.	A+/Stable/A-1	Full
	Chesham Finance Ltd. (Series II)	A-1	Single-Seller	1,145	Bank of China Luxembourg Branch	A/Stable/A-1	Full
	Chesham Finance Ltd. (Series III)	A-1	Single-Seller	1,835	Societe Generale	A/Positive/A-1	Full
	Chesham Finance Ltd. (Series IV)	A-1+	Single-Seller	150	HSBC Bank PLC	AA-/Stable/A-1+	Full
	Chesham Finance Ltd. (Series V)	A-1	Single-Seller	662	Mizuho Securities USA Inc	A/Positive/A-1	Full
	Chesham Finance Ltd. (Series VI)	A-1	Single-Seller	777	JPMorgan Securities PLC	A+/Stable/A-1	Full
	Halkin Finance PLC	A-1	Multi-Seller	1,924	Multiple support providers with a minimum A/A-1 rating	Minimum support provider rating is A/A-1	Full
	Ebury Finance Ltd.	A-1	Multi-Seller	1,845	Multiple support providers with a minimum A/A-1 rating	Minimum support provider rating is A/A-1	Full
BNP Paribas
	Matchpoint Finance PLC	A-1	Multi-Seller	10,970	BNP Paribas SA	A+/Stable/A-1	Full
Northcross Capital Management Ltd.
	Multiple see below			10,192
	Anglesea Funding PLC	A-1	Multi-Seller	6,338	Multiple support providers with a minimum A/A-1 rating	Minimum support provider rating is A/A-1	Full
	Glencove Funding DAC	A-1	Single-Seller	1,534	1. JP Morgan Chase Bank NA, 2. JP Morgan Securities PLC, and 3. JP Morgan Securities LLC	A+/Stable/A-1	Full
	Longship Funding DAC	A-1+	Single-Seller	2,320	Nordea Bank AB	AA-/Stable/A-1+	Full
Societe Generale
	Antalis S.A.	A-1	Multi-Seller	10,075	Societe Generale	A/Positive/A-1	Full
Intesa Sanpaolo SpA
	Romulus Funding Corp.	A-2	Multi-Seller	6,125	Intesa Sanpaolo SpA	BBB/Negative/A-2	Full
UniCredit Bank AG
	Arabella Finance Ltd.	A-2	Multi-Seller	5,418	UniCredit Bank AG	BBB+/Negative/A-2	Full
MUFG Bank Ltd.
	Albion Capital Corporation S.A.	A-1	Multi-Seller	5,020	MUFG Bank Ltd.	A/Positive/A-1	Full
Lloyds Bank plc
	Cancara Asset Securitisation Ltd.	A-1	Multi-Seller	5,000	1. Bank of Scotland plc and 2. Lloyds TSB Bank plc	A+/Stable/A-1	Full
Cooperatieve Rabobank U.A.
	Nieuw Amsterdam Receivables Corp. B.V.	A-1	Multi-Seller	4,731	Rabobank International, New York Branch	A+/Stable/A-1	Full
Natixis S.A.
	Managed and Enhanced Tap (Magenta) Funding SAT	A-1	Multi-Seller	2,934	Natixis S.A.	A+/Stable/A-1	Full
HSBC Bank PLC
	Regency Assets Ltd.	A-1	Multi-Seller	2,604	HSBC Bank PLC	AA-/Stable/A-1+	Full
The International Islamic Liquidity Management Corporation
	International Islamic Liquidity Management 2 SA	A-1	Multi-Seller	2,210	Multiple support providers/sukuk asses with a minimum 'A/A-1' rating	Minimum support provider rating is A/A-1	Full
Commerzbank AG
	Silver Tower Funding Ltd.	A-2	Multi-Seller	1,999	1. Credit Suisse, 2. Landesbank Hessen-Thuringen, 3. DZ Bank AG, and 4. Commerzbank AG	A/Stable/A-1; A+/Stable/A-1; AA-/Negative/A-1+; A-/Negative/A-2	Full
ING Bank NV
	Mont Blanc Capital Corp.	A-1	Multi-Seller	1,181	ING Bank N.V.	A+/Stable/A-1	Full
Landesbank Hessen-Thueringen Girozentrale
	Opusalpha Funding Ltd.	A-1	Multi-Seller	901	1. Landesbank Hessen and 2. DZ BANK AG	A+/Stable/A-1; AA-/Negative/A-1+	Full
Titrisation et Finance Internationales
	General Funding Ltd.	A-1	Multi-Seller	262	Credit Industriel et Commercial	A/Stable/A-1	Full
AIG Financial Products Corp.
	Curzon Funding Ltd.(i)	A-2	Multi-Seller	-	AIG Financial Products Corp.	BBB+/Stable/A-2	Full
Nordea Bank AB
	Viking Asset Securitisation Ltd.	A-1	Multi-Seller	-	Nordea Bank Abp	AA-/Stable/A-1+	Full
Total
				99,963
(i)All liabilities are in the form of euro medium-term notes, which are not rated. (ii)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.

Appendix 1c

Australia: ABCP Liquidity Facility Provider By Conduit As Of June 2019
Sponsor/administrator	Program	Program rating	Conduit type	Total ABCP outstanding (mil. USD)	LF provider	LF provider rating	Nature of LF support
Liberty Financial
	Liberty Sirius Trust	A-1 (sf)	Single Seller	240	National Australia Bank Ltd.	AA-/Stable/A-1+	Full
Westpac Banking Corp.
	Waratah Securities Australia Ltd.- Callable ABCP	A-1+ (sf)	Multi Seller	-	Westpac Banking Corp.	AA-/Stable/A-1+	Partial
	Sydney Capital Corp. Inc. (USD)	A-1+ (sf)	Multi Seller	-			Partial
	Waratah Securities Australia Ltd.	A-1+ (sf)	Multi Seller	-			Partial
Total
				240
ABCP--Asset-backed commercial paper. USD--U.S. dollars.

Appendix 2a

U.S.: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of June 2019
Sponsor/administrator	Program	USD	EUR	GBP	Others	Total ABCP outstanding (mil. USD) (i)	Total ABCP outstanding (% of total)	Committed funding amounts (mil. USD)(iv)	Capacity utilization (%)
JPMorgan Chase Bank N.A. (ii)
	Multiple See Below					40,947	20.16
	Chariot Funding LLC	16,647	-	-	-	16,647		22,286	74.7
	Collateralized Commercial Paper Co. LLC	4,977	-	-	-	4,977		-	0.0
	Collateralized Commercial Paper II Co. LLC	5,002	-	-	-	5,002		-	0.0
	Collateralized Commercial Paper III Co. LLC	560	1,391	975	-	2,926		-	0.0
	Collateralized Commercial Paper Flex Co. LLC	5,078	-	-	-	5,078		-	0.0
	Collateralized Commercial Paper V Co. LLC	-	-	-	-	-		-	0.0
	Jupiter Securitization Co. LLC	6,317	-	-	-	6,317		10,421	60.6
Guggenheim Treasury Services, LLC (iii)(iv)
	Multiple See Below					30,134	14.82
	Bennington Stark Capital Company., LLC	3,348	-	-	-	3,348		3,336	100.4
	Cedar Springs Capital Company., LLC	1,339	-	-	-	1,339		1,211	110.6
	Concord Minutemen Capital Company., LLC	4,182	-	-	-	4,182		3,648	114.7
	Crown Point Capital Company., LLC	9,294	-	-	-	9,294		7,916	117.4
	Great Bridge Capital Company, LLC	1,156	-	-	-	1,156		1,120	103.2
	Legacy Capital Company., LLC	319	-	-	-	319		319	100.2
	Lexington Parker Capital Company., LLC	3,335	-	-	-	3,335		2,927	113.9
	Ridgefield Funding Company., LLC (Series A)	6,616	-	-	-	6,616		6,578	100.6
	White Plains Capital Company, LLC	545	-	-	-	545		540	101.0
Royal Bank of Canada(v)
	Multiple See Below					26,931	13.24
	Bedford Row Funding Corp	11,924	-	-	-	11,924		15,000	79.5
	Old Line Funding LLC	9,130	-	-	-	9,130		14,139	64.6
	Thunder Bay Funding LLC	5,877	-	-	-	5,877		9,851	59.7
Citibank N.A. New York, NY
	Multiple See Below					16,394	8.06
	CAFCO LLC	4,726	-	-	-	4,726		8,606	54.9
	CRC Funding LLC	4,614	-	-	-	4,614		8,922	51.7
	Charta LLC	4,561	-	-	-	4,561		7,893	57.8
	Ciesco LLC	2,494	-	-	-	2,494		6,864	36.3
FMS Wertmanagement Anstalt des oeffentlichen Rechts
	Kells Funding, LLC	14,528	-	-	-	14,528	7.15	14,211	102.2
Credit Agricole Corporate and Investment Bank
	Multiple See Below					11,581	5.69
	La Fayette Asset Securitization LLC	1,860	-	-	-	1,860		3,098	60.0
	Atlantic Asset Securitization LLC	9,720	-	-	-	9,720		13,379	72.7
Bank of Tokyo-Mitsubishi UFJ Ltd., New York branch
	Multiple See Below					10,849	5.33
	Victory Receivables Corp.	5,826	-	-	-	5,826		10,162	57.3
	Gotham Funding Corp.	5,023	-	-	-	5,023		10,869	46.2
Barclays Bank PLC
	Multiple See Below					9,555	4.70
	Salisbury Receivables Company LLC	746	-	-	-	746		4,242	17.6
	Sheffield Receivables Company LLC	7,005	813	992	-	8,809		17,237	51.1
	Sunderland Receivables S.A.	-	-	-	-	-		-	0.0
Societe Generale
	Barton Capital LLC	6,561	-	-	-	6,561	3.23	12,041	54.5
Sumitomo Mitsui Banking Corp.
	Manhattan Asset Funding Co. LLC	5,340	-	-	-	5,340	2.63	8,418	63.4
Credit Suisse AG
	Alpine Securitization LTD	5,192	-	-	-	5,192	2.55	12,251	42.4
Bank of Nova Scotia
	Liberty Street Funding LLC	4,827	-	-	-	4,827	2.37	10,155	47.5
BNP Paribas
	Starbird Funding Corp.	4,321	-	-	-	4,321	2.13	8,215	52.6
Bank of Montreal
	Fairway Finance Co. LLC	3,314	-	-	-	3,314	1.63	5,328	62.2
Natixis Financial Products Inc.
	Versailles Commercial Paper LLC	3,258	-	-	-	3,258	1.60	5,774	56.4
Cantor Fitzgerald, L.P.
	Institutional Secured Funding (Jersey) Limited	2,641	-	-	-	2,641	1.30	-	0.0
20 Gates Management LLC
	MountCliff Funding LLC	2,297	-	-	-	2,297	1.13	2,732	84.1
Berkadia Commercial Mortgage LLC
	Welsh Road Funding LLC	1,472	-	-	-	1,472	0.72	-	0.0
Cooperative Association of Tractor Dealers Inc.
	DCAT, LLC	1,367	-	-	-	1,367	0.67	1,367	100.0
DZ BANK AG Deutsche Zentral-Genossenschaftsbank
	Autobahn Funding Co. LLC	1,253	-	-	-	1,253	0.62	1,864	67.2
Bunge Limited
	Bunge Asset Funding Corp.	545	-	-	-	545	0.27	600	90.8
Nearwater Liquid Markets, LLC
	Columbia Funding Co. LLC	-	-	-	-	-	0.00	-	0.0
Total
		199,137	2,203	1,967	-	203,307	99.99	273,521
(i)Total ABCP outstandings may be either the face amount or discounted value based on the reporting. (ii)For purposes of this report, all collateralized commercial paper programs are categorized under JP Morgan Chase Bank N.A., which serves as the administrative sub-agent for these programs. (iii)For purposes of this report, Guggenheim Treasury Services LLC is the Manager for Concord Minutemen Capital Co. LLC, Great Bridge Capital Co. LLC, Lexington Parker Capital Co. LLC, White Plains Capital Co LLC, and Ridgefield Funding Co. LLC Series A. (iv)Unfunded amounts are excluded. (v)For purposes of this report, Royal Bank of Canada is the administrator. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling. ABCP--Asset-backed commercial paper.

Appendix 2b

EMEA: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of June 2019
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 (%)
Credit Agricole Corporate and Investment Bank
	LMA S.A./LMA Americas LLC	10,432	4,487	3,116	332	18,367	18.37	23,161	79.3
BSN Holdings Ltd./BSN Capital Partners Ltd.
	Multiple see below					11,973	11.98
	Chesham Finance Ltd.	2,614	153	229	40	3,035		3,037	100.0
	Chesham Finance Ltd. (Series I)	600	-	-	-	600		600	99.9
	Chesham Finance Ltd. (Series II)	514	312	318	-	1,145		1,147	99.8
	Chesham Finance Ltd. (Series III)	1,027	297	511	-	1,835		1,836	100.0
	Chesham Finance Ltd. (Series IV)	150	-	-	-	150		150	99.7
	Chesham Finance Ltd. (Series V)	662	-	-	-	662		663	99.9
	Chesham Finance Ltd. (Series VI)	777	-	-	-	777		777	99.9
	Halkin Finance PLC	1,817	68	-	39	1,924		1,925	100.0
	Ebury Finance Ltd.	1,706	115	-	24	1,845		1,847	99.9
BNP Paribas
	Matchpoint Finance PLC	2,047	6,894	2,029	-	10,970	10.97	13,562	80.9
Northcross Capital Management Ltd.
	Multiple see below					10,192	10.20
	Anglesea Funding PLC	6,328	-	-	11	6,338		6,337	100.0
	Glencove Funding DAC	1,534	-	-	-	1,534		1,530	100.2
	Longship Funding DAC	2,320	-	-	-	2,320		2,297	101.0
Societe Generale
	Antalis S.A.	4,756	4,866	433	20	10,075	10.08	11,919	84.5
Intesa Sanpaolo SpA
	Romulus Funding Corp.	566	5,462	97	-	6,125	6.13	8,193	74.8
UniCredit Bank AG
	Arabella Finance Ltd.	1,008	4,346	45	20	5,418	5.42	6,925	78.2
MUFG Bank Ltd.
	Albion Capital Corporation S.A.	3,566	950	504	-	5,020	5.02	7,962	63.0
Lloyds Bank plc
	Cancara Asset Securitisation Ltd.	5,000	-	-	-	5,000	5.00	10,528	47.5
Cooperatieve Rabobank U.A.
	Nieuw Amsterdam Receivables Corp. B.V.	4,562	28	140	-	4,731	4.73	6,878	68.8
Natixis S.A.
	Managed and Enhanced Tap (Magenta) Funding SAT	814	1,230	889	-	2,934	2.93	3,399	86.3
HSBC Bank PLC
	Regency Assets Ltd.(i)	1,753	298	553	-	2,604	2.61	15,307	17.0
The International Islamic Liquidity Management Corporation
	International Islamic Liquidity Management 2 SA	2,210	-	-	-	2,210	2.21	2,210	100.0
Commerzbank AG
	Silver Tower Funding Ltd.	695	1,280	-	24	1,999	2.00	3,273	61.1
ING Bank NV
	Mont Blanc Capital Corp.	927	130	124	-	1,181	1.18	1,345	87.8
Landesbank Hessen-Thueringen Girozentrale
	Opusalpha Funding Ltd.	-	901	-	-	901	0.90	2,922	30.8
Titrisation et Finance Internationales
	General Funding Ltd.	-	262	-	-	262	0.26	262	100.0
AIG Financial Products Corp.
	Curzon Funding Ltd.(ii)	-	-	-	-	-	0.00	2	0.0
Nordea Bank AB
	Viking Asset Securitisation Ltd.	-	-	-	-	-	0.00	1,163	0.0
Total
		58,385	32,081	8,988	509	99,963	100.00	141,155
(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 2c

Australia: ABCP Outstanding By Currency And Capacity Utilization By Conduit As Of June 2019
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 (%)
Liberty Financial
	Liberty Sirius Trust	240	-	-	-	-	240	100	281	85.5
Westpac Banking Corp.
	Waratah Securities Australia Ltd.- Callable ABCP	-	-	-	-	-	-	-	3,509	-
	Sydney Capital Corp. Inc. (USD)	-	-	-	-	-	-	-		-
	Waratah Securities Australia Ltd.	-	-	-	-	-	-	-		-
Total
		240	-	-	-	-	240	100	3,789
ABCP--Asset-backed commercial paper. AUD--Australian dollars. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling.

Appendix 3a

U.S.: Asset Types Based On Invested Amount As Of June 2019
		(Mil. USD)
Sponsor/administrator	Program	Auto	Cash and permitted investments	CDO (i)	Commercial - other	Consumer - other	Credit card	Equipment	Mortgage	Student loans	Trade rec.	Other	Total
JPMorgan Chase Bank N.A. (i)
	Chariot Funding LLC	9,868	-	-	1,590	798	787	-	-	2,813	627	106	16,588
	Collateralized Commercial Paper Co. LLC	-	-	-	-	-	-	-	-	-	-	4,977	4,977
	Collateralized Commercial Paper II Co. LLC	-	-	-	-	-	-	-	-	-	-	5,002	5,002
	Collateralized Commercial Paper III Co. LLC	-	-	-	-	-	-	-	-	-	-	2,926	2,926
	Collateralized Commercial Paper Flex Co. LLC	-	-	-	-	-	-	-	-	-	-	5,078	5,078
	Collateralized Commercial Paper V Co. LLC	-	-	-	-	-	-	-	-	-	-	-	-
	Jupiter Securitization Co. LLC	4,025	-	-	896	146	222	138	-	578	279	-	6,283
Guggenheim Treasury Services, LLC (ii)(iii)
	Bennington Stark Capital Company, LLC	-	1	-	3,336	-	-	-	-	-	-	-	3,337
	Cedar Springs Capital Company, LLC	-	124	-	439	110	-	-	-	-	-	662	1,335
	Concord Minutemen Capital Company, LLC	-	521	-	1,601	294	35	30	393	-	-	1,295	4,168
	Crown Point Capital Company, LLC	459	9,800	-	3,083	2,148	428	324	1,217	130	127	-	17,716
	Great Bridge Capital Company, LLC	-	-	-	-	-	-	-	-	-	-	1,120	1,120
	Legacy Capital Company, LLC	-	0	-	-	-	-	-	-	-	319	-	319
	Lexington Parker Capital Company, LLC	-	393	-	2,927	-	-	-	-	-	-	-	3,320
	Ridgefield Funding Company, LLC (Series A)	-	6	-	-	-	-	-	-	-	-	6,578	6,584
	White Plains Capital Company, LLC	-	0	-	-	-	-	-	-	-	-	540	540
Royal Bank of Canada(iv)
	Bedford Row Funding Corp	-	-	-	-	-	-	-	-	-	-	12,108	12,108
	Old Line Funding LLC	4,318	-	-	35	1,083	1,085	622	-	1,094	473	374	9,084
	Thunder Bay Funding LLC	2,056	-	-	665	619	759	167	-	127	731	698	5,821
Citibank N.A. New York, NY
	CAFCO LLC	1,407	-	-	1,156	351	478	61	-	235	242	774	4,704
	CRC Funding LLC	1,395	-	-	1,236	555	186	229	-	438	-	555	4,593
	Charta LLC	1,915	-	-	840	283	200	250	-	208	-	845	4,541
	Ciesco LLC	1,549	-	-	607	-	-	-	-	6	99	221	2,482
FMS Wertmanagement Anstalt des oeffentlichen Rechts
	Kells Funding, LLC	-	-	-	-	-	-	-	-	-	-	14,411	14,411
Credit Agricole Corporate and Investment Bank
	La Fayette Asset Securitization LLC	1,367	-	-	243	-	-	-	-	-	250	-	1,860
	Atlantic Asset Securitization LLC	3,147	-	-	1,149	-	-	710	30	-	4,684	-	9,720
Bank of Tokyo-Mitsubishi UFJ Ltd., New York branch
	Victory Receivables Corp.	1,155	-	-	534	-	420	432	-	-	3,061	224	5,826
	Gotham Funding Corp.	2,405	-	-	100	-	-	497	-	-	2,021	-	5,023
Barclays Bank PLC
	Salisbury Receivables Company LLC	130	-	-	111	123	69	57	658	233	-	-	1,379
	Sheffield Receivables Company LLC	2,679	-	-	817	412	263	384	397	597	288	460	6,296
	Sunderland Receivables S.A.	-	-	-	-	-	-	-	-	-	-	-	-
Societe Generale
	Barton Capital LLC	3,522	-	-	209	563	419	291	-	279	158	1,101	6,542
Sumitomo Mitsui Banking Corp.
	Manhattan Asset Funding Co. LLC	2,621	-	-	1,015	-	125	174	-	-	1,382	-	5,317
Credit Suisse AG
	Alpine Securitization LTD	-	-	-	-	-	-	-	-	-	-	5,402	5,402
Bank of Nova Scotia
	Liberty Street Funding LLC	1,671	-	-	98	-	350	100	-	-	2,071	498	4,788
BNP Paribas
	Starbird Funding Corp.	1,593	-	-	35	1,218	536	-	-	-	256	510	4,148
Bank of Montreal
	Fairway Finance Co. LLC	2,097	34	-	98	-	-	409	-	534	112	18	3,303
Natixis Financial Products Inc.
	Versailles Commercial Paper LLC	300	118	307	2,426	-	-	-	-	-	14	94	3,259
Cantor Fitzgerald, L.P.
	Institutional Secured Funding (Jersey) Limited	-	-	-	-	-	-	-	-	-	-	-	-
20 Gates Management LLC
	MountCliff Funding LLC	-	98	137	291	5	-	150	37	-	-	1,571	2,288
Berkadia Commercial Mortgage LLC
	Welsh Road Funding LLC	-	-	-	-	-	-	-	1,472	-	-	-	1,472
Cooperative Association of Tractor Dealers Inc.
	DCAT, LLC	-	-	-	-	-	-	1,367	-	-	-	-	1,367
DZ BANK AG Deutsche Zentral-Genossenschaftsbank
	Autobahn Funding Co. LLC	-	-	-	580	117	-	96	-	46	55	360	1,253
Bunge Limited
	Bunge Asset Funding Corp.	-	-	-	-	-	-	-	-	-	-	545	545
Nearwater Liquid Markets, LLC
	Columbia Funding Co. LLC	-	-	-	-	-	-	-	-	-	-	-	-
Total
		49,678	11,095	445	26,119	8,823	6,361	6,487	4,203	7,318	17,249	69,050	206,827
(i)For purposes of this report, all collateralized commercial paper programs are categorized under JP Morgan Chase Bank N.A., which serves as the administrative sub-agent for these programs. (ii)For purposes of this report, Guggenheim Treasury Services LLC is the Manager for Concord Minutemen Capital Co. LLC, Great Bridge Capital Co. LLC, Lexington Parker Capital Co. LLC, White Plains Capital Co LLC, and Ridgefield Funding Co. LLC Series A. (iii)Unfunded amounts are excluded. (iv)For purposes of this report, Royal Bank of Canada is the administrator. USD--U.S. dollars. EUR--Euro. GBP--British pound sterling. ABCP--Asset-backed commercial paper. Trade rec.--Trade receivables.

Appendix 3b

EMEA: Asset Investment Based On Asset Types As Of June 2019
		(Mil. USD)
Sponsor/administrator	Program	Auto	Cash and permitted investments	CDO	Commercial - other	Consumer - other	Credit Card	Equipment	Mortgage	Student Loans	Trade rec.	Other	Total
Credit Agricole Corporate and Investment Bank
	LMA S.A./LMA Americas LLC	2,055.2	-	-	-	1,111.0	-	-	-	-	15,199.3	-	18,366
BSN Holdings Ltd./BSN Capital Partners Ltd.
	Chesham Finance Ltd.	-	-	-	3,037	-	-	-	-	-	-	-	3,037
	Chesham Finance Ltd. (Series I)	-	-	-	600	-	-	-	-	-	-	-	600
	Chesham Finance Ltd. (Series II)	-	-	-	1,147	-	-	-	-	-	-	-	1,147
	Chesham Finance Ltd. (Series III)	-	-	-	1,836	-	-	-	-	-	-	-	1,836
	Chesham Finance Ltd. (Series IV)	-	-	-	150	-	-	-	-	-	-	-	150
	Chesham Finance Ltd. (Series V)	-	-	-	663	-	-	-	-	-	-	-	663
	Chesham Finance Ltd. (Series VI)	-	-	-	777	-	-	-	-	-	-	-	777
	Ebury Finance Ltd.	-	-	-	1,847	-	-	-	-	-	-	-	1,847
	Halkin Finance PLC	-	-	-	1,925	-	-	-	-	-	-	-	1,925
BNP Paribas
	Matchpoint Finance PLC	3,189	-	-	1,068	313	1,180	743	31	-	4,419	-	10,942
Northcross Capital Management Ltd.
	Anglesea Funding PLC	-	-	-	6,337	-	-	-	-	-	-	-	6,337
	Glencove Funding DAC	-	-	-	1,530	-	-	-	-	-	-	-	1,530
	Longship Funding DAC	-	-	-	2,297	-	-	-	-	-	-	-	2,297
Societe Generale
	Antalis S.A.	1,674	-	-	427	714	756	314	282	-	5,794	156	10,116
Intesa Sanpaolo SpA
	Romulus Funding Corp.	955	-	-	-	645	-	-	142	-	3,693	690	6,125
UniCredit Bank AG
	Arabella Finance Ltd.	3,036	-	-	-	497	-	191	-	-	2,699	-	6,422
MUFG Bank Ltd.
	Albion Capital Corporation S.A.	4,167	-	-	-	89	25	113	-	-	971	508	5,872
Lloyds Bank plc
	Cancara Asset Securitisation Ltd.	4,118	588	-	220	-	-	-	908	-	1,999	114	7,947
Cooperatieve Rabobank U.A.
	Nieuw Amsterdam Receivables Corp. B.V.	485	-	-	-	165	-	79	-	-	3,810	224	4,763
Natixis S.A.
	Managed and Enhanced Tap (Magenta) Funding SAT	394	-	-	-	320	-	228	444	-	1,408	135	2,930
HSBC Bank PLC
	Regency Assets Ltd.	3,664	-	-	63	1,448	95	509	2,746	-	3,054	127	11,705
The International Islamic Liquidity Management Corporation
	International Islamic Liquidity Management 2 SA	-	-	-	-	-	-	-	-	-	-	2,210	2,210
Commerzbank AG
	Silver Tower Funding Ltd.	1,461	-	-	-	57	-	-	-	-	1,755	-	3,273
ING Bank NV
	Mont Blanc Capital Corp.	332	-	-	-	228	375	-	-	-	248	-	1,183
Landesbank Hessen-Thueringen Girozentrale
	Opusalpha Funding Ltd.	1,594	-	-	-	-	-	337	-	-	775	-	2,706
Titrisation et Finance Internationales
	General Funding Ltd.	-	-	-	262	-	-	-	-	-	-	-	262
AIG Financial Products Corp.
	Curzon Funding Ltd.	-	-	-	-	-	-	-	-	2	-	-	2
Nordea Bank AB
	Viking Asset Securitisation Ltd.	-	-	-	-	-	-	-	-	-	1,133	-	1,133
Total
		27,124	588	-	24,185	5,586	2,430	2,513	4,552	2	46,959	4,165	118,103
CDO--Collateralized debt obligation. Trade rec.--Trade receivables.

Appendix 3c

Australia: Asset Investment Based On Asset Types As Of June 2019
		(Mil. USD)
Sponsor/administrator	Program	Residential mortgages - prime	Residential mortgages - subprime	Auto/equipment loans/leases	Credit card	Trade rec.	RMBS - prime	SME	Temporary cash holding	Total
Liberty Financial
	Liberty Sirius Trust	-	96	-	-	-	-	-	151	247
Westpac Banking Corp.
	Waratah Securities Australia Ltd.- Callable ABCP	-	-	-	-	-	-	-	-	-
	Sydney Capital Corp. Inc. (USD)	-	-	-	-	-	-	-	-	-
	Waratah Securities Australia Ltd.	-	-	-	-	-	-	-	-	-
Total
		-	96	-	-	-	-	-	151	247
RMBS--Residential Mortgage Backed Securities. SME--Small and medium-size enterprises. Trade rec.--Trade receivables.

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
	Radhika Kalra, New York (1) 212-438-2143; radhika.kalra@spglobal.com
Research Contributors:	Vanessa M Martinez, New York + 1 (212) 438 1415; vanessa.martinez@spglobal.com
	Derek K Yau, Centennial (1) 303-721-4872; derek.yau@spglobal.com
	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
	Shashikant Jaiswal, Mumbai; shashikant.jaiswal@spglobal.com