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ABCP 101

ABCP 101. Emma-Jane Fulcher, Director. The Importance of the Sponsor. Investment advisor Credit and Investment policy Role as a PWCE provider Role as a Liquidity Provider Swap/Hedge Counterparty Role as an Administrator Asset/liability management

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ABCP 101

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  1. ABCP 101 Emma-Jane Fulcher, Director

  2. The Importance of the Sponsor • Investment advisor • Credit and Investment policy • Role as a PWCE provider • Role as a Liquidity Provider • Swap/Hedge Counterparty • Role as an Administrator • Asset/liability management • Calculation of required/available credit enhancement and liquidity support • Drawing upon support agreements, as necessary • Documentation → Operations Manual → Systems → Daily Procedure • Training of personnel; origination and back office • Support of other departments: Credit, IT, Internal audit, Treasury

  3. Fitch’s Sponsor Review • Review of the last 12 months • New asset pools added during the last 12 months • Existing asset pools (previously funded) • Present operational capabilities • Originations process and transaction structuring • Ongoing conduit management • Level of surveillance • Liquidity support • Funding the conduit • Commercial paper issuance • Investor relations • Looking forward over the next 12 months • Strategic position of conduit • Proposed structural changes • Fitch’s relationship with the conduit

  4. amortization CP time Liquidity Funding– Migration Risk • CP issuance tests • When the borrowing base test is completed determines who takes migration risk of assets: • At the time of a termination event; or • at the time of cash flow shortage (when CP is due)

  5. Funding Outs • Acceptable funding outs • Bankruptcy of the CP conduit • Illegality of draw • Funding outs are never based on • Solvency or the performance of the seller/servicer • Market price of the assets

  6. Post Issuance Reporting Standards • Fitch published its Post Issuance Reporting Standards in January 2007 • Programme level reporting should include: • programme-wide data • liability data • counterparty data • Asset reporting should include: • Seller name • Geographic location • Maximum purchase amount • Transaction amount • Type of credit enhancement • Liquidity providers • Industry

  7. Monthly Reports Should… • Be timely • Be consistent from month to month • Be delivered in an efficient manner • Be clear and not full of abbreviations or specialist terms • Show a full breakdown of liabilities by market, maturity and currency • Show an up to date analysis of the asset pools • Seek to show an accurate picture of the vehicle at that point

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