The ABCP Market For the IMF Conference on Operationalizing Systemic Risk Monitoring, May 27, 2010
Contents ABCP Market Background August 2007 and September 2008 ABCP Market Today 2
ABCP Market Overview 3
Outstanding $ Billions US Commercial Paper and Prime Money Funds 2400 2100 1800 1500 US CP Outstanding ( * ) Apr. 1995 657 Dec. 2000 1,606 Dec. 2003 1,289 Jul. 2007 2,161 * + * + 1200 * + 900 600 300 * + US Prime Money Funds ( + ) Apr. 1995 379 Nov. 2001 1,577 Jun. 2005 1,165 Aug. 2008 2,042 0 Mar-95 Sep-96 Mar-98 Sep-99 Mar-01 Sep-02 Mar-04 Sep-05 Mar-07 Sep-08 Mar-10 Source: Federal Reserve and imoneynet 4
Outstandings ($ Billions) Asset Backed and Unsecured ABCP 1,400 1,200 1,000 Unsecured CP ( + ) April 1995 588 Nov. 2000 986 Sep. 2003 605 Feb. 2008 1,036 + * + 800 600 + * * + 400 200 0 * ABCP ( * ) Apr. 1995 68 Dec. 2002 695 Sep. 2004 649 Jul. 2007 1,186 Mar-95 Mar-96 Mar-97 Mar-98 Mar-99 Mar-00 Mar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Source: Federal Reserve 5
ABCP Program Types Type Sponsor Liquidity Credit Enhancement Assets First Multiseller Bank* Bank line Overcollateralization, LOC Securities Arbitrage Term and trade receivables Bank Bank line Ratings Highly rated securities (Aa, Aaa) Hybrid Bank Bank line Overcollateralization, LOC, ratings Single Seller Single Seller Warehouse Finance Company * Mortgage Originator* Bank line, cash flow Extendible, asset sales, swap Receivables and highly rated securities 1983 2000 2000 Overcollateralization Credit cards, autos 1996 Overcollateralization, swap Mortgages 1998 Repo/TRS Independent Repo/TRS Repo/TRS Securities, loans 2004 Structured Investment Vehicle Market Value Securities Arbitrage Manager (Bank*) Manager Bank line, repo line, asset sales Extendible, asset sales Overcollateralization, mark to market Overcollateralization, mark to market Securities* 1988 Highly rated securities (Aaa) CDOs Manager Put Overcollateralization Various 2003 2003 6
Moody s Rated Programs by Outstandings Average Fourth Quarter Outstanding, $US Millions 2000 2006 2007 2008 2009 2010 Q1 Multiseller 365,076 548,410 626,324 563,434 412,667 380,831 Hybrid 12,527 148,479 116,367 76,914 45,216 41,575 Single Seller 50,635 173,548 111,058 91,617 68,362 62,359 Securities Arbitrage 94,792 214,203 139,178 63,997 48,565 53,615 SIV 25,305 92,641 49,726 25,543 12,719 8,810 CDOs - 45,742 52,249 14,922 1,510 1,475 Other 37,732 58,915 39,550 30,024 5,772 5,248 Total 586,067 1,281,938 1,134,453 866,451 594,811 553,914 Percent Share 2000 2006 2007 2008 2009Q4 2010 Q1 Multiseller 62.3% 42.8% 55.2% 65.0% 69.4% 68.8% Hybrid 2.1% 11.6% 10.3% 8.9% 7.6% 7.5% Single Seller 8.6% 13.5% 9.8% 10.6% 11.5% 11.3% Securities Arbitrage 16.2% 16.7% 12.3% 7.4% 8.2% 9.7% SIV 4.3% 7.2% 4.4% 2.9% 2.1% 1.6% CDOs 0.0% 3.6% 4.6% 1.7% 0.3% 0.3% Other 6.4% 4.6% 3.5% 3.5% 1.0% 0.9% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Source: Moody s ABCP Program Index 7
Moody s Rated Programs Number of programs in fourth quarter 2000 2006 2007 2008 2009 2010Q1 Multiseller 143 139 132 149 145 140 Hybrid 8 28 28 20 15 15 Single Seller 55 63 67 36 30 29 Securities Arbitrage 59 36 33 18 11 11 SIV 13 28 36 29 20 18 CDOs - 35 60 15 8 7 Other 18 8 11 7 7 6 Total 296 337 367 274 236 226 Percent Share 2000 2006 2007 2008 2009Q4 2010Q1 Multiseller 48.3% 41.2% 36.0% 54.4% 61.4% 61.9% Hybrid 2.7% 8.3% 7.6% 7.3% 6.4% 6.6% Single Seller 18.6% 18.7% 18.3% 13.1% 12.7% 12.8% Securities Arbitrage 19.9% 10.7% 9.0% 6.6% 4.7% 4.9% SIV 4.4% 8.3% 9.8% 10.6% 8.5% 8.0% CDOs 0.0% 10.4% 16.3% 5.5% 3.4% 3.1% Other 6.1% 2.4% 3.0% 2.6% 3.0% 2.7% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Source: Moody s ABCP Program Index 8
August 2007 and September 2008 9
Spread in Basis Points Overnight Spreads Spike 400 350 Overnight Commercial Paper Spreads (Source: Federal Reserve) Sep. 15, 2008 300 250 200 ABCP to Non-Financial CP 150 Aug. 1, 2007 100 50 0-50 Financial to Non-Financial CP -100 3-Jan-06 22-Jul-06 7-Feb-07 26-Aug-07 13-Mar-08 29-Sep-08 17-Apr-09 3-Nov-09 10
Spread in Basis Points As Do 30-Day Spreads 400 350 30-Day Commercial Paper Spreads (Source: Federal Reserve) Sep. 15, 2008 300 250 ABCP to Non-Financial CP 200 150 Aug. 1, 2007 100 50 0-50 Financial to Non-Financial CP -100 3-Jan-06 22-Jul-06 7-Feb-07 26-Aug-07 13-Mar-08 29-Sep-08 17-Apr-09 3-Nov-09 11
Overnight Issuance Dominates the Market 90% 85% "Overnight "ABCP As A Share of Total Issuance (21-day rolling average) Sep. 15 thru Oct. 15, 2008 80% 75% Aug. 10 thru Sep. 10, 2007 70% 65% 60% 55% 50% 45% 40% 1-Jan-07 30-Jun-07 27-Dec-07 24-Jun-08 21-Dec-08 19-Jun-09 16-Dec-09 14-Jun-10 Source: Federal Reserve 12
Moody s Rated Programs by Outstandings Average Fourth Quarter Outstanding, $US Millions 2000 2006 2007 2008 2009 2010 Q1 Multiseller 365,076 548,410 626,324 563,434 412,667 380,831 Hybrid 12,527 148,479 116,367 76,914 45,216 41,575 Single Seller 50,635 173,548 111,058 91,617 68,362 62,359 Securities Arbitrage 94,792 214,203 139,178 63,997 48,565 53,615 SIV 25,305 92,641 49,726 25,543 12,719 8,810 CDOs - 45,742 52,249 14,922 1,510 1,475 Other 37,732 58,915 39,550 30,024 5,772 5,248 Total 586,067 1,281,938 1,134,453 866,451 594,811 553,914 Percent Share 2000 2006 2007 2008 2009 2010 Q1 Multiseller 62.3% 42.8% 55.2% 65.0% 69.4% 68.8% Hybrid 2.1% 11.6% 10.3% 8.9% 7.6% 7.5% Single Seller 8.6% 13.5% 9.8% 10.6% 11.5% 11.3% Securities Arbitrage 16.2% 16.7% 12.3% 7.4% 8.2% 9.7% SIV 4.3% 7.2% 4.4% 2.9% 2.1% 1.6% CDOs 0.0% 3.6% 4.6% 1.7% 0.3% 0.3% Other 6.4% 4.6% 3.5% 3.5% 1.0% 0.9% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Source: Moody s ABCP Program Index 13
Institutional Investors Shift to Government Funds Weekly Money Market Fund Assets 1,400,000 Prime Institutional Funds September 9, 2008 1,200,000 1,000,000 800,000 March 31, 2009 600,000 Government Institutional Funds 400,000 200,000 0 1/2/2007 5/2/2007 9/2/2007 1/2/2008 5/2/2008 9/2/2008 1/2/2009 5/2/2009 9/2/2009 1/2/2010 Source: imoneynet 14
($ millions) Retail Investors Stay the Course Prime Money Funds 1,400,000 1,200,000 Institutional Sep. 9 $1,330 billion 1,000,000 800,000 Retail Oct. 7 $864 billion May 18 $1,100.6 billion 600,000 400,000 Mar. 18, 2008 $799 billion Oct. 7 $707 billion May 18 $580.2 billion 200,000 0 1-Jan-07 20-Jul-07 5-Feb-08 23-Aug-08 11-Mar-09 27-Sep-09 15-Apr-10 Source: imoneynet 15
ABCP Market Today 16
Overall ABCP Facility Utilization Has Declined 1,800 ABCP Bank Conduit Facility Utilization Utilization 70% 1,500 60% 1,200 Total Commitments 50% 900 40% 600 ABCP Outstanding 30% 300 Dec-05 Jul-06 Jan-07 Aug-07 Feb-08 Sep-08 Mar-09 Oct-09 20% Source: Moody s ABCP Query 17
Share of Top 20 ABCP Sponsor Concentration Has Increased ABCP Market Concentration 80% Administrators 70% 60% 50% Multisellers 40% 30% All Conduits 20% 10% 0% 31-Dec-05 2-Jul-06 1-Jan-07 3-Jul-07 2-Jan-08 3-Jul-08 2-Jan-09 4-Jul-09 Source: Moody s ABCP Program Index 18
Share of Top 20 Managers Money Fund Manager Concentration Has Increased 94% Money Fund Concentration 92% Institutional 90% 88% Total 86% 84% Retail 82% 80% 78% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 19
ABCP Market Asset Types $US Millions Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Autos 39,548 47,134 45,613 65,517 69,245 96,082 95,772 51,507 Credit Cards 48,561 47,133 35,081 45,076 52,234 73,744 62,334 43,777 Student Loans 3,203 4,759 8,613 14,502 19,804 39,673 40,215 26,197 Residential Mortgages 26,577 20,847 19,603 42,952 52,829 28,889 22,020 19,469 Other Consumer 18,071 26,165 27,108 20,946 19,899 18,052 12,487 8,120 Total Consumer 135,960 146,038 136,018 188,994 214,010 256,441 232,828 149,070 Trade Receivables 47,557 54,023 72,259 72,337 74,884 81,859 74,868 51,706 Commercial Loans and Leases 21,457 31,559 36,378 38,713 56,980 73,865 65,537 43,424 Equipment Loans and Leases 34,577 32,763 24,833 20,307 16,771 20,136 21,442 14,836 Floorplan Finance 8,469 7,191 6,098 4,809 5,362 12,378 16,787 6,125 Other Commercial 56,145 60,892 55,734 51,620 91,082 69,968 48,892 40,151 Total Commercial 168,204 186,428 195,302 187,785 245,079 258,206 227,526 156,242 Securities 89,941 176,807 187,696 275,147 328,001 265,991 175,525 107,914 Totals 394,106 509,272 519,015 651,926 787,091 780,638 635,880 413,226 Source: Moody s ABCP Query 20
ABCP Market Asset Types % Share Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Autos 10.0% 9.3% 8.8% 10.0% 8.8% 12.3% 15.1% 12.5% Credit Cards 12.3% 9.3% 6.8% 6.9% 6.6% 9.4% 9.8% 10.6% Student Loans 0.8% 0.9% 1.7% 2.2% 2.5% 5.1% 6.3% 6.3% Residential Mortgages 6.7% 4.1% 3.8% 6.6% 6.7% 3.7% 3.5% 4.7% Other Consumer 4.6% 5.1% 5.2% 3.2% 2.5% 2.3% 2.0% 2.0% Total Consumer 34.5% 28.7% 26.2% 29.0% 27.2% 32.9% 36.6% 36.1% Trade Receivables 12.1% 10.6% 13.9% 11.1% 9.5% 10.5% 11.8% 12.5% Commercial Loans and Leases 5.4% 6.2% 7.0% 5.9% 7.2% 9.5% 10.3% 10.5% Equipment Loans and Leases 8.8% 6.4% 4.8% 3.1% 2.1% 2.6% 3.4% 3.6% Floorplan Finance 2.1% 1.4% 1.2% 0.7% 0.7% 1.6% 2.6% 1.5% Other Commercial 14.2% 12.0% 10.7% 7.9% 11.6% 9.0% 7.7% 9.7% Total Commercial 42.7% 36.6% 37.6% 28.8% 31.1% 33.1% 35.8% 37.8% Securities 22.8% 34.7% 36.2% 42.2% 41.7% 34.1% 27.6% 26.1% Totals 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Source: Moody s ABCP Query 21
Everett Rutan Senior Vice President 7 World Trade at 250 Greenwich Street New York, NY 10007 (212) 553-4808 everett.rutan@moodys.com
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