REFILE- FACTBOX-Crunch week for Euro CP market
(Changes to "Euro" from "European" in headline)
LONDON, Sept 11 (Reuters) - Nervy markets are eyeing the refinancing in coming days of hundreds of billions of dollars worth of maturing Euro commercial paper that would normally be rolled over to fund investment in longer-term securities.
Conduits and structured investment vehicles (SIVs) set up by banks and fund managers are heavy issuers of asset-backed commercial paper (ABCP).
These debt vehicles have hit the headlines in recent weeks as prices for the assets they hold have fallen due to doubts about who is exposed to defaults on U.S. subprime mortgages. Subprime debt has been extensively repackaged and sold on to institutional investors around the world.
British bank HBOS HBOS.L in August said it would lend money to its Grampian Funding CP programme to repay maturing debt as market pricing was unacceptable. Market participants fear that more banks may be forced to take a similar decision, potentially reducing their appetite to lend elsewhere.
The following are data on maturing commercial paper, according to a note from UBS based on Dealogic figures:
*The heaviest day of maturities is Monday, Sept. 17. Analysts at UBS said that due to the settlement period for commercial paper, funding for this will be arranged this week, probably concentrated on Thursday, Sept. 13.
*Euro-denominated:
Total of 107.6 billion euros ($148.4 billion) CP maturing in September, of which 42.5 billion euros is ABCP.
Spike on Sept. 17 of 17.7 billion euros, of which 10.8 billion euros, or 61 percent, is ABCP.
End of month spike of 16.2 billion euros, of which 3.5 billion euros is ABCP.
*U.S. dollar-denominated
Total of $75.2 billion maturing in September, of which $21.4 billion is ABCP.
Spike on Sept. 17 of $13.5 billion, of which $3.5 billion, or 26 percent, is ABCP.
End-of-month spike of $12.7 billion, of which $2.6 billion is ABCP.
*Sterling-denominated
Total of 25.1 billion pounds ($51.01 billion) CP maturing in September, of which 14.7 billion pounds is ABCP.
Spike on Sept. 17 of 5.5 billion pounds, of which 1.2 billion pounds (21.7 percent) is ABCP.
