Management reviews and surveillance are key parts of S&P Global Ratings' process of analyzing and rating asset-backed commercial paper (ABCP; see Section 3: Program Administration And Operational Risks of "Global Asset-Backed Commercial Paper Methodology And Assumptions," March 22, 2024). We generally perform a management review before assigning ratings to ABCP issued by a new conduit and periodically throughout the conduit's life through on- and off-site visits. We also review monthly program-level and transaction-level performance data and compare them against the applicable performance triggers.
Program administrators manage the daily activities of conduits. This includes selecting assets for investment, providing ABCP issuance instructions, and monitoring asset performance. We assess the ability of program administrators to manage various aspects of conduits in four basic areas discussed below (see Conduit Administrator Reviews).
As part of our process for surveilling ABCP ratings issued over the life of the conduit, we review material changes to the conduit to ensure that there are no new risks that could adversely affect the rating on the ABCP. In addition, we require routine conduit reporting to maintain our assessment of the overall conduit administration (see Minimum Data Requirements below).
Conduit Administrator Reviews
We focus on four basic areas--which we refer to as the four pillars--of conduit administration:
- Asset origination;
- Asset credit approval;
- ABCP funding; and
- Evaluation of seller risks and risk management.
This approach applies for all conduit types: single-seller, multi-seller, derivative-backed, and others.
Asset origination
A program administrator generally has a clear and well-defined strategy for the ABCP conduit and its target customer base and asset types. The assets a conduit funds usually reflect the program administrator's expertise in financing those assets and knowledge of the associated risks. Our evaluation of a program administrator's asset-origination process focuses on its underwriting expertise and business strategy along with any anticipated changes in either target markets or asset types.
Asset credit approval
A program administrator uses a well-established internal credit approval process to review each asset the ABCP program funds. The extent of this process typically depends on the transaction's asset type, size, and complexity. Our evaluation focuses on several elements, such as:
- Delegation of credit-related responsibilities to the program administrator under the program documents and any credit and investment policies;
- Policies and procedures for due diligence on sellers, newer or complex asset types, tracking exceptions, and compliance with the credit-approval process; and
- Staff expertise, including prior credit experience.
ABCP funding
A program administrator has the ability to quickly access sources of funds to maintain uninterrupted and timely funding. The administrator also forms a business-continuity plan for ABCP issuance and repayment during times of unforeseen disruptions of funding operations. In our view, a well-established contingency plan that is tested and has dedicated back-up/off-site support away from the administrator's principal place of business is key to a comprehensive business continuity plan.
Our evaluation of a program administrator's funding capabilities focuses on the following factors, among others:
- Monitoring conditions precedent to ABCP issuance, asset performance relative to outstanding ABCP and available support facilities, and ratings on support facility providers;
- Procedures for providing economical funding in the selection of ABCP maturities and timely payment of ABCP, regardless of any ABCP market disruption;
- Availability of cross-trained backup staff to perform any critical funding tasks; and
- Safeguards for disaster recovery and cyber security.
Evaluation of seller risks and risk management
A program administrator has an asset surveillance system that is supported by an established infrastructure--such as software systems--dedicated to monitoring ongoing asset performance for as long as the ABCP conduit finances the asset. Such monitoring is essential for transactions where 1) the conduit purchases additional assets upon the satisfaction of certain asset-quality tests (revolving transactions) and 2) the documents require the conduit to cease funding assets upon the breach of certain asset-quality tests (short-tail transactions).
Asset surveillance systems track key performance factors, such as:
- ABCP outstanding and maturities as well as aggregate liquidity support and program-wide credit enhancement levels;
- Transaction-specific financing commitments and utilization, liquidity support, credit enhancement levels, and performance metrics relative to triggers; and
- Aggregate risk factors such as originator, obligor, asset and geographic concentrations.
On-site reviews
We generally perform a management review before rating a new ABCP conduit and then periodically throughout the conduit's life through on-site visits. Several ABCP analysts typically attend on-site reviews, which take place at the administrator's main office. If the conduit's administration occurs at multiple locations (for example, when using a third-party administrator), we may visit additional offices. During the review, the program administrator typically makes a presentation describing its capabilities and track record in each of the areas covered in the four pillars. We might not perform a management review for a new conduit if we've already completed such a review for the administrator in connection with an existing rated program.
Examples Of Questions To Be Discussed During The ABCP Conduit Administrator Management Review Process
We may seek responses to some or all types of questions below, as applicable. If we've recently performed a formal, in-depth management review, we may instead conduct a more abbreviated review that focuses on the changes since the last interaction.
I. Asset origination
A. General Overview
1. In light of the recent changes in regulatory capital requirements, how does the ABCP business fit within the overall funding strategy of your corporate institution?
2. Describe the organizational relationship between the ABCP and the term securitization businesses and whether this organizational relationship has changed since S&P Global Ratings' last management review.
3. Provide us with a current organizational chart and phone list (including all areas of the organization that interact with your ABCP group).
4. Explain how your operational strategy and the management of your ABCP conduit(s) business have evolved and describe reasons for changes since S&P Global Ratings' last management review.
B. Market Position And Chief Competition
1. Whom do you consider to be your chief competitors, and what measures do you use to determine your competitive position? What do you consider your competitive advantages and disadvantages?
2. In your view, what are the current primary drivers affecting your market position (pricing, investor access, etc.)? How do you expect it will change?
3. What opportunities and risks do you see in the current ABCP market?
C. Target Markets, Customer Base, And Target Receivable Types
1. What asset types are financed in your ABCP conduits? Has there been a deliberate change in asset composition? If yes, please explain the reason for the change.
2. For rated securities, describe what benchmarks other than ratings (such as performance metrics) that you use when analyzing these assets.
3. Which asset types are financed through your ABCP conduits versus term securitization businesses? Describe the considerations, if any, when deciding whether to provide financing through the ABCP conduits versus through the term markets.
II. Asset credit approval
A. Credit Approval And Servicing
1. Explain the credit approval process for new ABCP transactions and renewals. Describe any deviations/exceptions to this process. Who are the key personnel in this process?
2. Provide S&P Global Ratings with the most recent copy of your credit guidelines/policy for the ABCP conduits. Describe how your credit guidelines have changed since our last management review.
3. Describe the due diligence process and frequency of review for new ABCP transactions and renewals. How does this process address fraud risk?
4. Do you engage any outside due diligence firms? If yes, please describe the frequency and provide the names of these firms. What is the scope of their reviews? Have there been any notable findings in these reviews that have caused you to reconsider a transaction?
5. Describe the conditions under which the credit review and approval processes is modified (such as to address assets with different risk characteristics)?
6. How does servicer risk factor into your underwriting process? In what circumstances would you deem it appropriate for your client/transaction to use a back-up servicer?
7. Describe the asset performance measures that are relevant to your credit approval process (by asset type) and the level of consistency in the ability of each seller to provide this information in a reliable manner.
B. Hedging
1. Describe how the hedging policies of the ABCP business differ from those of the term securitization businesses.
2. What internal guidelines do you use in selecting hedge counterparties? Do you have a list of approved hedge counterparties? Does the approach differ for counterparties at the ABCP conduit level versus seller level?
III. ABCP funding
A. Management And Funding Team
1. What is the size of your ABCP funding team, and who are the team's key personnel?
2. Describe the interaction among origination, structuring, credit approval, funding, and surveillance. Are there any personnel overlaps?
3. How do you gain comfort that when ABCP is issued, there is adequate liquidity coverage in the respective currency (consideration for currency mismatch)?
4. Describe the relationship between the treasury operations of the institution and the funding operations of the ABCP conduits.
5. Explain how the funding process works starting at the point a seller requests funding and ending when the requested funds are disbursed to the seller. What is the planned process under a failed ABCP issuance scenario?
B. Funding Capabilities
1. How has your ABCP traded relative to like-maturity SOFR over the past year, and do you anticipate any changes in the next year? Explain any spikes or material deviations from the average trading patterns.
2. How has your ABCP traded relative to that of your competitors and other funding alternatives offered by your institution? If these trading levels are different from either, please offer your interpretation as to the reasons.
3. Does the ABCP business typically seek a particular target weighted average maturity for ABCP? If so, what factors determine this? Does the ABCP business manage the conduits' issuance to maintain minimum or maximum amounts of ABCP in particular maturity buckets (min/max overnight, one-month, two-month, three-month maturities, etc.)?
4. Does the ABCP business take into consideration either client preferences or interest rate forecasting when deciding on the maturity distribution of outstanding ABCP?
C. Investors And Dealers
1. Describe your investor base (how many investors, what types, and are they concentrated?) and how it has changed in the past year.
2. How much interaction do you have with investors? What have been the key takeaways from those discussions?
3. Does your organization or any of its affiliates hold any of their sponsored ABCP conduits paper?
4. How does investor feedback affect the ABCP business' decisions to either lengthen or shorten ABCP tenors?
5. Describe your process for investor reporting. How does investor feedback affect your reporting content and format?
6. How much interaction do you have with dealer trading personnel?
7. Do you conduct any type of reviews to address dealer performance? If so, how do you use this information?
8. What factors do you consider in either adding to or removing dealers from your ABCP conduits?
9. How are individual trades monitored? Please include process details on how ABCP is placed with dealers; monitoring of the maturity dates, currencies, rates, etc.; and any associated hedging.
10. Have you used any third-party ABCP conduit administrators? If so, what was the basis for your consideration?
D. Liquidity And Credit Support
1. What is your process for selecting third-party liquidity and credit support providers to your ABCP conduits?
2. Have there been any liquidity draws? If so, describe the conditions leading up to such draws and whether the same-day funding process worked according to plan.
IV. Evaluation of seller risks and risk management
A. ABCP Surveillance Team (Size, Key Personnel, Structure, And Training)
1. What is the size of your ABCP conduit surveillance team, and what is the reporting structure? Who are the key personnel?
2. How many transactions, on average, does a surveillance analyst handle?
3. Describe the allocation of transactions to the surveillance analyst (by asset type, industry, and client name, for example).
4. Describe the interaction between the ABCP surveillance team and the institution's other asset-backed surveillance teams and credit areas.
B. Key Aspects Of Evaluation Of Seller Risks
a. Risk Management Overview
1. Describe your credit policies for the surveillance of ABCP transactions. How do these credit policies differ from the institution's overall credit policies?
2. What tools does risk management use to ensure adherence to the above policies?
3. Describe the frequency of monitoring each transaction. What determines how frequently each transaction is monitored?
4. What primary factors do you analyze to determine aggregate portfolio risks? Discuss the relative importance of each when monitoring a transaction.
5. What is the process for assessing the risk profile of the portfolio and obtaining management approval?
b. Reporting/Data
1. Describe the process for collecting transaction performance data (seller reports provided by clients).
2. How is the accuracy of the data verified?
3. Describe your process for dealing with exceptions to data reporting/quality (such as delays in reporting, missing or inconsistent data, or transaction trigger breaches) and examples of how such exceptions have been resolved. Please specify if there are other groups involved in resolving these exceptions? How are these exceptions ranked and escalated to senior management?
4. What internal and external surveillance reports do you typically produce? How often are they updated?
5. Describe the surveillance process for performing versus non-performing transactions.
6. What information do you monitor as early warning indicators on weakening credits?
c. Surveillance Review Process
1. Describe the process surrounding the surveillance review of transactions. How frequently do you formally review transaction performance, and how are these reviews documented?
2. Describe the composition of the personnel involved in any formal reviews and the role of each.
3. List any exceptions to this process.
4. Do transaction exceptions at various threshold levels (by amounts, concentrations, or asset types, for example) require the verification of senior personnel? If so, by whom, and what are the approval limits?
C. Information Systems And Disaster Recovery
1. Describe the IT systems used to support all of your operations (origination, credit underwriting, funding, and surveillance). Are each of these systems developed and administered internally or externally? If externally, what are the procedures to ensure validity and accuracy of information and reports generated?
2. Which groups have access to the systems? Describe the level of access for each group of users.
3. Describe your disaster recovery plan. How often is it tested?
4. Describe the procedures for manually performing critical tasks (assuming a loss of the IT systems). How long can operations continue without computer support and not adversely affect the daily business activities?
5. Have you had any systems problems over the last year? If so, what were they, and how did you resolve them?
D. Audit, Quality Control, And Regulation For The Sponsor Institution
1. Describe the types of audits that the ABCP business is subject to (be they external or internal). Describe the purpose of each audit and their frequency and scope. Describe any material findings, recommendations, and resolutions, including any noted deficiencies and the resolution thereof.
2. How do you address any regulatory changes in your administration process?
V. Other
We may seek responses to questions focusing on the impact of emerging risks such as cyber, climate (environmental, social, and governance) and artificial intelligence on the overall business.
Examples Of Questions To Be Discussed During The ABCP Conduit Third-Party Administrator Management Review Process
We may seek responses to some or all types of questions below, as applicable. If we've recently performed a formal, in-depth management review, we may instead conduct a more abbreviated review that focuses on the changes since the last interaction.
I. General overview
Overview
1. Describe the organizational relationship with ABCP conduits and whether this organizational relationship has changed.
2. Provide S&P Global Ratings with a current organizational chart and phone list (including all areas of the organization that interact with the ABCP group).
3. Explain how your operational strategy and the management of your ABCP conduits business have evolved and the reasons for any changes.
Market Position And Competition
1. Whom do you consider to be your competitors, and what measures do you use to determine your competitive position? What do you consider your competitive advantages and disadvantages?
2. What opportunities and risks do you see in the ABCP administrative services?
II. Approval process and management
Approval
1. Explain the approval process for new ABCP conduits and renewals of existing relationships.
2. Describe the due diligence process and frequency of review for new ABCP conduits.
3. Describe the conditions under which the approval processes are modified.
III. ABCP funding
Management And Funding Team
1. What is the size of your ABCP funding team, and who are the key personnel on the team?
2. Describe the interaction among relationship management, funding, and surveillance.
3. How do you gain comfort that when ABCP is issued, there is adequate liquidity coverage in the respective currency (consideration for currency mismatch, for example)?
4. Explain how the process works, starting at the point a request for funding is received and ending when the requested funds are disbursed.
Clients
1. Describe your client base (how many clients, what types, and are they concentrated?).
2. How much interaction do you have with investors? What have been the key takeaways from those discussions?
3. Does your organization or any of its affiliates hold any of their sponsored ABCP conduit(s) paper?
4. How much interaction do you have with dealer trading personnel?
5. How are trades monitored? Please include process details on how ABCP is placed, monitoring of the maturity dates, currencies, rates, liquidity draws, etc., and any associated hedging.
IV. Evaluation of seller risks and risk management
A. ABCP Surveillance Team
1. What is the size of your ABCP conduit surveillance team, and what is the reporting structure? Who are the key personnel?
2. How many transactions, on average, are handled by a surveillance analyst?
B. Key Aspects Of Evaluation Of Seller Risks
a. Risk Management Overview
1. Describe your policies for the surveillance of ABCP transactions.
2. What tools are used by risk management to ensure adherence to the above policies?
3. Describe the frequency of monitoring each transaction. What factors determine how frequently each transaction is monitored?
b. Reporting/Data
1. Describe the process for collecting transaction performance data.
2. How is the accuracy of the data verified?
3. Describe your process for dealing with exceptions to data reporting/quality (such as a delay in reporting, missing or inconsistent data, transaction trigger breaches) and examples of how such exceptions have been resolved. Please specify if there are other groups involved in resolving these exceptions? How are these exceptions ranked and escalated to senior management?
4. What internal and external surveillance reports do you typically produce? How often are these updated?
C. Information Systems And Disaster Recovery
1. Describe the IT systems used to support all of your operations (systems used to support each of the functional areas of relationship management, funding, and surveillance). Are each of these systems developed and administered internally or externally? If externally, what are the procedures to ensure validity and accuracy of information and reports generated?
2. Which groups have access to the systems? Describe the level of access per group of users.
3. Describe your disaster recovery plan. How often is it tested?
4. Describe the procedures in place for manually performing critical tasks (assuming a loss of the IT systems). How long can operations continue without computer support and not adversely affect the daily business activities?
5. Have you had any systems problems over the last year? If so, what were they, and how did you resolve them?
D. Audit, Quality Control, And Regulation For The Sponsor Institution
1. Describe the types of audits that the ABCP business is subject to (be they external or internal). Describe the purpose of each audit and their frequency and scope. Describe any material findings, recommendations, and resolutions, including any noted deficiencies and the resolution thereof.
2. How do you address any regulatory changes in your administration process?
V. Other
We may seek responses to questions focusing on the impact of emerging risks such as cyber, climate (environmental, social, and governance) and artificial intelligence on the overall business.
Minimum Data Requirements
We require sponsors and/or administrators of ABCP conduits to provide specific information in relation to:
- Program-level rated liabilities (whether funded from the issuance of rated liabilities or from liquidity draws), liquidity commitments, support providers, and program-level credit enhancement, if applicable for fully and partially supported conduits;
- Transaction-level credit enhancement and asset performance for any partially supported transactions; and
- Liquidity support arrangements and short-term investments not covered by a liquidity facility.
Sponsors and/or administrators should send all of the information listed below for surveillance to the regional mailbox as follows:
- North America: abcp@spglobal.com
- Europe: ABCPeuropeansurveillance@spglobal.com
Table 1
| Timing for conduit information provided | ||
|---|---|---|
| Table | Table information | Timing |
| 2A-2C | Program-level rated liabilities and program-wide credit enhancement for fully and partially supported conduits | Five business days after each month-end |
| 3 | Transaction-level credit enhancement information for partially supported transactions | 45 calendar days after each month-end |
| 4 | Transaction-level asset performance information for partially supported asset types | 45 calendar days after each month-end |
| 5A-5C | Liquidity support arrangements and short-term investments not covered by a liquidity facility | Five business days after each month-end |
Program-level rated liabilities and program-wide credit enhancement for fully and partially supported conduits
Table 2A
| Transaction/seller amount outstanding | |||
|---|---|---|---|
| Transaction/seller | Originator | Commitment amount | Invested amount |
| Full legal name of the entity directly receiving funding from the conduit | Full legal name of the entity that originated the asset | The commitment amount that the conduit has for this particular seller | The amount the conduit has actually invested for this particular seller |
Table 2B
| Program-wide credit enhancement (PWCE) details | |||
|---|---|---|---|
| PWCE provider | Commitment amount | Draw amount | Draw during month? |
| Legal name of the entity providing PWCE | The commitment amount of the support provider | The amount of outstanding draws under the support provider | Were there any draws under the related support provider during the reported month? |
Table 2C
| Rated liabilities details | ||
|---|---|---|
| Type of liability outstanding | Currency | Amount |
| Standard CP, callable CP, puttable CP, extendible CP, etc. | U.S. dollars, euros, etc. | Amount of the liability outstanding in each specific currency |
Transaction-level credit enhancement information for partially supported transactions
Table 3
| Internal and external credit enhancement | ||||||||
|---|---|---|---|---|---|---|---|---|
| Internal (if there are multiple asset types, disclose each separately) | ||||||||
| Credit support type | Required enhancement percentage | Actual enhancement percentage | ||||||
| Overcollateralization, excess spread, cash collateral account, etc. | Amount of enhancement required per the transaction documents as a percentage of the receivables or asset balance | Amount of enhancement actually available in the transaction as a percentage of the receivables or asset balance | ||||||
| External (if there are multiple asset types, disclose each separately) | ||||||||
| Credit support type | Provider name | Required enhancement percentage | Actual enhancement percentage | |||||
| Guarantee, bond insurance, etc. | Full legal name of the entity providing the credit enhancement | Amount of enhancement required per the transaction documents as a percentage of the receivables or asset balance | Amount of enhancement actually available in the transaction as a percentage of the receivables or asset balance | |||||
| All internal and external credit enhancement herein applies to all asset types except securities rated by S&P Global Ratings. | ||||||||
Transaction-level asset performance data for partially supported asset types
We ask conduit sponsors and administrators to provide certain asset performance information for each partially supported transaction. Table 4 lists the most common asset types funded through ABCP conduits and specifies the performance information that we expect for each of those asset types. For asset types not included in Table 4, the sponsor/administrator should contact us before any new transactions including such asset types are funded to discuss the relevant performance information that we expect to receive monthly.
When liquidity or another type of support facility covers a portion of the credit risks associated with a transaction--such as an auto lease transaction where the available liquidity is structured to cover any residual risk--we won't expect to receive the related performance information for that transaction in the monthly report.
On a case-by-case basis, we also may consider alternative metrics (for instance, 90-plus-day delinquency instead of 60-plus-day) to those listed in Table 4 as long as we believe they directly relate to the specified asset performance attribute listed in the table. We may ask for additional information on a case-by-case basis (for example, where unique jurisdictional or structural issues arise).
Sponsors/administrators should generally provide this information for all transactions where there is an asset balance regardless of whether the transaction is funded with outstanding rated liabilities.
Table 4
| Asset-Specific Performance Metrics | ||||||
|---|---|---|---|---|---|---|
| Asset type | Performance data requested | General definition | ||||
| Consumer auto lease--amortizing | ||||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance | |||||
| Cumulative gross losses percentage | Cumulative gross losses as a percentage of original pool balance | |||||
| 60-plus days past due (dpd) delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Residual losses percentage | Residual loss amount as a percentage of the average pool balance | |||||
| Consumer auto lease--revolving | ||||||
| Monthly net losses percentage | Monthly net losses as a percentage of current pool balance | |||||
| Monthly gross losses percentage | Monthly gross losses as a percentage of current pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Residual losses percentage | Residual loss amount as a percentage of the average pool balance | |||||
| Consumer auto loan--amortizing | ||||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance | |||||
| Cumulative gross losses percentage | Cumulative gross losses as a percentage of original pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Consumer auto loan--revolving | ||||||
| Monthly net losses percentage | Monthly net losses as a percentage of current pool balance | |||||
| Monthly gross losses percentage | Monthly gross losses as a percentage of current pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Commercial other--amortizing | ||||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance | |||||
| Cumulative gross losses percentage | Cumulative gross losses as a percentage of original pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Commercial other--revolving | ||||||
| Monthly net losses percentage | Monthly net losses as a percentage of current pool balance | |||||
| Monthly gross losses percentage | Monthly grosslosses as a percentage of current pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Consumer other--amortizing | ||||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance | |||||
| Cumulative gross losses percentage | Cumulative gross losses as a percentage of original pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Consumer other--revolving | ||||||
| Monthly net losses percentage | Monthly net losses as a percentage of current pool balance | |||||
| Monthly gross losses percentage | Monthly gross losses as a percentage of current pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Credit cards | ||||||
| Charge-off rate | The weighted average losses on principal receivables for the collection period, as a percentage of eligible principal receivables (annualized) | |||||
| Excess spread | The weighted average surplus of cash inflow for the collection period (yield minus charge-offs minus the base rate) | |||||
| Total payment rate | The weighted average total monthly collections (obligor principal and finance charge payments), as a percentage of total outstandings | |||||
| Dealer floorplan | ||||||
| Charge-off rate | The weighted average losses on principal receivables for the collection period, as a percentage of eligible principal receivables (annualized) | |||||
| Total payment rate | The weighted average total monthly collections (obligor principal and finance charge payments), as a percentage of total outstandings | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Equipment loans and leases--amortizing | ||||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance | |||||
| Cumulative gross losses percentage | Cumulative gross losses as a percentage of original pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Equipment loans and leases--revolving | ||||||
| Monthly net losses percentage | Monthly net losses as a percentage of current pool balance | |||||
| Monthly gross losses percentage | Monthly gross losses as a percentage of current pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Student loans | ||||||
| Gross defaults percentage | Gross defaults as a percentage of original pool balance | |||||
| 60-plus dpd delinquencies percentage | Percentage of the collateral pool that is delinquent 60 days or greater as of the end of the current reporting period | |||||
| Parity ratio | Percentage of the total assets, including the pool balance, the initial reserve account, and the capitalized interest account, divided by the total bond principal amount | |||||
| FELP versus private student loans (%) | Percentage of the student loans currently in the pool that are FELP student loans versus the percentage of student loans currently in the pool that are private student loans | |||||
| Trade receivables | ||||||
| Monthly default ratio | The monthly defaulted receivables (as defined in the transaction documents) divided by the sales in the month the receivables were originated | |||||
| Top five obligor concentrations (only for obligors constituting more than 2% of the pool) | List the name of the top five obligors based on outstandings in the pool and their respective concentration percentage, but only for those obligors rated below the rating on the ABCP conduit notes and accounting for more than 2% of the pool | |||||
| Mortgage--residential | ||||||
| Total delinquencies percentage | Percentage of the collateral pool that is delinquent as of the end of the current reporting period | |||||
| Serious delinquencies (i.e., 90-plus dpd delinquencies percentage) | Percentage of the collateral pool that is delinquent 90 days or greater as of the end of the current reporting period | |||||
| Serious delinquencies including foreclosure and real estate owned (REO) (yes/no) | Does the serious delinquencies provided above include foreclosure and REO (yes/no) | |||||
| Cumulative net losses percentage | Cumulative net losses as a percentage of original pool balance for amortizing transactions and/or current pool balance for revolving transactions | |||||
| Cash flow CDO | ||||||
| Non-investment-grade percentage | Percentage of the pool that is non-investment-grade | |||||
| 'CCC' bucket percentage | Percentage of the pool that is rated 'CCC' | |||||
| Overcollateralization ratio | Total assets in the pool divided by total liabilities | |||||
| Synthetic CDO | ||||||
| Non-investment-grade percentage | Percentage of the pool that is non-investment-grade as a percentage of the total pool | |||||
| 'CCC' bucket percentage | Percentage of the pool that is rated 'CCC' as a percentage of the total pool | |||||
| Gross losses are losses prior to recoveries and net losses are losses after recoveries. dpd--Days past due. FFELP--Federal Family Educational Loan Program. | ||||||
Liquidity Support Arrangements And Short-Term Investments Not Covered By A Liquidity Facility
In addition to the credit enhancement and asset performance information described above, sponsors and/or administrators provide--within five business days after the end of each calendar month--information related to any liquidity support facilities available to an ABCP conduit. They also provide information related to any short-term investments held by the ABCP conduit that aren't covered by a liquidity facility.
Sponsors/administrators should report liquidity facilities that are structured as derivative contracts (for example, a repurchase agreement or a swap agreement) in Table 5A. They should report any other liquidity facilities (for example, an asset purchase agreement or a loan agreement) in Table 5B. They should provide this information for each liquidity support agreement that's in effect regardless of whether there are outstanding liabilities related to such agreement.
Sponsors/administrators should report the aggregate amount of any short-term investments that are not supported by a committed liquidity facility (for example, permitted investments not covered by a liquidity facility) in Table 5C. If there aren't any short-term investments unsupported by a committed liquidity facility, then the sponsor and/or administrator should report this amount in Table 5C. When the rating on any individual short-term investment is lowered below the rating on the ABCP notes, then they should provide more detailed information concerning each investment, as shown in Table 5C.
Table 5A
| Derivative-backed support agreements | ||||||||
|---|---|---|---|---|---|---|---|---|
| Support provider | Maturity date | Contract amount | Draw amount | |||||
| Full legal name of the derivative provider | Maturity date of the related derivative agreement | The contract amount (such as notional amount or repurchase price) of the related derivative agreement | If applicable, the amount of outstanding draws under such derivative agreement | |||||
| Examples include repurchase agreements and swap agreements. | ||||||||
Table 5B
| Support agreements not backed by derivatives | ||||||||
|---|---|---|---|---|---|---|---|---|
| Support provider | Maturity date | Commitment amount | Draw amount | |||||
| Full legal name of the support provider | Maturity date of the related support provider agreement | The commitment amount of the support provider | The amount of outstanding draws under such support provider | |||||
| Examples include asset purchase agreements and loan agreements. | ||||||||
Table 5C
| Short-term investments not covered by a committed liquidity facility | ||||||||
|---|---|---|---|---|---|---|---|---|
| Asset name | CUSIP | Maturity date | Amount | |||||
| Full legal name of the asset, including the series and class | CUSIP of the asset purchased | Maturity date of the asset purchased | Invested amount of the asset purchased | |||||
| Total short-term investments (in the applicable currency) not covered by a committed liquidity facility that instead rely on cash flows from these assets for repayment of the related rated liabilities. | ||||||||
This report does not constitute a rating action.
| Primary Credit Analysts: | Dev C Vithani, New York + 1 (212) 438 1714; dev.vithani@spglobal.com |
| Maxime Pontois, Paris (33) 1-4075-2538; maxime.pontois@spglobal.com | |
| Radhika Kalra, Austin + 1 (212) 438 2143; radhika.kalra@spglobal.com | |
| Joshua C Saunders, Chicago + 1 (312) 233 7059; joshua.saunders@spglobal.com |
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