ABCP 101

Abstract

This panel was intended to provide an introductory overview of asset-backed commercial paper (ABCP) programs and structures, as well as information regarding recent developments in the market for this type of securitization. Traditional ABCP programs provide committed financing to originators that is collateralized by receivables, loans, leases, securities, and repurchase agreements. Money market funds are the most important investors in ABCP. Structured investment vehicles (SIVs), a structure no longer welcome, drove outstandings to a peak in 1977; since then, the market has contracted to traditional ABCP programs. Issuances by multi-seller ABCP conduits make the largest percentage of total market outstandings today, with portfolios concentrated with core consumer and customer assets. ABCP is affected by many regulatory issues, including rules pertaining to consolidation of ABCP conduits under GAAP, permissible money market fund investments under the Investment Company Act of 1940, the liquidity coverage ratio under Basel III, risk retention rules, and the Volcker Rule.

TOPICS: Asset-backed securities (ABS), legal and regulatory issues for structured finance