Which party's credit to analyze in terms of Asset Backed Securities

Hello Monkeys,

I am looking at an ABP Product: asset-backed commercial paper.

Banks function as a sponsor to create a Special Purpose Vehicle(SPV)

Party A, B, C, D provide their trade receivables to the SPV in exchange for short term loans and pay interested rates to SPV

SPV pools those loans together and sells them to Investors

So in this case, as a sponsor, when analyzing credit risk, are we analyzing which one of the below?

1. Party A, B, C, D defaults that they don't pay the principal to redeem the trade receivables?

2. Investors fails to provide incoming cash flow to keep SPV up-and-running

Can anyone shade some light? Much appreciated!

Thanks!

1 Comments
 

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