RPT-Fitch Affirms Silver Tower's ABCP at 'F1sf'

Mon Jul 14, 2014 9:29am EDT

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July 14 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Silver Tower Funding Limited / Silver Tower US Funding LLC's (Silver Tower) asset-backed commercial paper's (CP) Short-term Rating at 'F1sf'.

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 (A+/Negative/F1+), 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.

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 EUR2.4bn of CP outstanding as of end-May 2014. Funded assets amounted to about EUR3.3bn. The underlying portfolio comprises trade receivables (55%), auto loans and leases (44%), and consumer loans (1%). The assets are primarily concentrated in Germany. A majority of the portfolio is denominated in euro (89%). 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 to below 'F1', the CP notes issued by Silver Tower would also be downgraded.

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