Fitch Affirms Silver Tower's ABCP at 'F2sf'
Silver Tower is a multi-seller fully supported conduit established in 1998 to issue USCP and ECP with tenors of 270 days and 364 days, respectively.
KEY RATING DRIVERS
The affirmation is driven by the full liquidity support provided by Commerzbank AG (BBB/Positive/F2), DZ Bank AG (A+/Stable/F1+), Credit Suisse AG (A/Stable/F1) and Landesbank Hessen-Thueringen Girozentrale (A+/Stable/F1+).
All transactions funded by Silver Tower benefit from full liquidity support that covers the nominal amount of all CP outstanding, regardless of the performance of the underlying assets. Therefore, the credit risk of the CP is dependent on the liquidity support providers. The CP rating reflects the rating of the lowest rated liquidity support provider.
Additionally, Fitch conducted an on-site operational review of Commerzbank AG, which is the transaction's sponsor, administrator, main liquidity support provider, account bank and hedge provider. The review takes into consideration the conduit's performance, CP issuance, IT administration systems, administrative procedures, credit policies and portfolio composition.
TRANSACTION CHARACTERISTICS
The maximum programme limit is EUR15bn and Silver Tower currently has EUR1.96bn of CP outstanding as of end-May 2015.
The underlying portfolio comprises trade receivables (55.3%), auto loans and leases (44.4%), and consumer loans (0.3%). The assets are primarily concentrated in Germany. The majority of the portfolio is denominated in euro (88%). All foreign exchange risks from assets denominated in currencies other than euro are hedged at the transaction level.
RATING SENSITIVITIES
If the Short-term Issuer Default Rating of any liquidity provider is downgraded or upgraded from 'F2', the CP notes issued by Silver Tower would also be respectively downgraded or upgraded.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
Onsite presentation material provided by Commerzbank and monthly investor reports.
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