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Finance and Economics Discussion Series: 2009-36 Screen Reader version

The Evolution of a Financial Crisis: Panic in the Asset-Backed Commercial Paper Market

by
Daniel Covitz, Nellie Liang, and Gustavo Suarez
August 18, 2009





Figure 1A: The market for asset-backed commercial paper (ABCP): aggregate amount of paper outstanding and overnight spreads
Series DescriptionAsset-backed commercial paper outstanding
3-Jan1118
10-Jan1115
17-Jan1098
24-Jan1094
31-Jan1085
7-Feb1092
14-Feb1103
21-Feb1096
28-Feb1090
7-Mar1096
14-Mar1101
21-Mar1094
28-Mar1098
4-Apr1099
11-Apr1109
18-Apr1093
25-Apr1104
2-May1124
9-May1139
16-May1147
23-May1138
30-May1141
6-Jun1161
13-Jun1164
20-Jun1163
27-Jun1170
4-Jul1176
11-Jul1186
18-Jul1178
25-Jul1188
1-Aug1198
8-Aug1211
15-Aug1161
22-Aug1089
29-Aug1011
5-Sep985
12-Sep970
19-Sep955
26-Sep950
3-Oct953
10-Oct948
17-Oct926
24-Oct925
31-Oct917
7-Nov901
14-Nov896
21-Nov871
28-Nov863
5-Dec855
12-Dec853
19-Dec831
26-Dec830
Return to Figure 1, Panel A


Figure 1B: The market for asset-backed commercial paper (ABCP): aggregate amount of paper outstanding and overnight spreads
DateOvernight asset-backed commercial paper spread
2-Jan0.0899999999999999
3-Jan0.0300000000000002
4-Jan0.0199999999999996
5-Jan0.00999999999999979
8-Jan0.0199999999999996
9-Jan0.00999999999999979
10-Jan0
11-Jan0
12-Jan0.00999999999999979
16-Jan0.0599999999999996
17-Jan0.00999999999999979
18-Jan0.00999999999999979
19-Jan-0.00999999999999979
22-Jan0
23-Jan0
24-Jan-0.0199999999999996
25-Jan0
26-Jan0.00999999999999979
29-Jan0.00999999999999979
30-Jan0
31-Jan0.04
1-Feb0.00999999999999979
2-Feb0.00999999999999979
5-Feb0.00999999999999979
6-Feb0.00999999999999979
7-Feb-0.00999999999999979
8-Feb0.00999999999999979
9-Feb0.00999999999999979
12-Feb0.00999999999999979
13-Feb0.00999999999999979
14-Feb0.0199999999999996
15-Feb0.0700000000000003
16-Feb0.0199999999999996
20-Feb0.0499999999999998
21-Feb0.0300000000000002
22-Feb0
23-Feb0
26-Feb0.0199999999999996
27-Feb0.04
28-Feb0.0800000000000001
1-Mar0.0899999999999999
2-Mar0.0499999999999998
5-Mar0.0300000000000002
6-Mar0.0499999999999998
7-Mar0.0199999999999996
8-Mar0.0199999999999996
9-Mar0.0199999999999996
12-Mar0.0199999999999996
13-Mar0.0199999999999996
14-Mar0.0499999999999998
15-Mar0.11
16-Mar0.0199999999999996
19-Mar0.0199999999999996
20-Mar0.0199999999999996
21-Mar0.0199999999999996
22-Mar0.0199999999999996
23-Mar0.00999999999999979
26-Mar0.0199999999999996
27-Mar0.0199999999999996
28-Mar0.0499999999999998
29-Mar0.0700000000000003
30-Mar0.18
2-Apr0.0899999999999999
3-Apr0.0300000000000002
4-Apr0.04
5-Apr0.04
6-Apr0.13
9-Apr0.0800000000000001
10-Apr0.0700000000000003
11-Apr0.0599999999999996
12-Apr0.0499999999999998
13-Apr0.04
16-Apr0.0700000000000003
17-Apr0.0700000000000003
18-Apr0.00999999999999979
19-Apr-0.00999999999999979
20-Apr-0.00999999999999979
23-Apr0.00999999999999979
24-Apr0
25-Apr0.00999999999999979
26-Apr0.00999999999999979
27-Apr0.0199999999999996
30-Apr0.0700000000000003
1-May0.0599999999999996
2-May0.00999999999999979
3-May0.00999999999999979
4-May0.00999999999999979
7-May0.0199999999999996
8-May0.00999999999999979
9-May0.00999999999999979
10-May0
11-May0
14-May0.0199999999999996
15-May0.0700000000000003
16-May0.0199999999999996
17-May0.0199999999999996
18-May0.0199999999999996
21-May0.0199999999999996
22-May0.00999999999999979
23-May0.00999999999999979
24-May0.00999999999999979
25-May0.0199999999999996
29-May0.0499999999999998
30-May0.0499999999999998
31-May0.0800000000000001
1-Jun0.0700000000000003
4-Jun0.0300000000000002
5-Jun0.0199999999999996
6-Jun0.0199999999999996
7-Jun0.0300000000000002
8-Jun0.0300000000000002
11-Jun0.0300000000000002
12-Jun0.0300000000000002
13-Jun0.0499999999999998
14-Jun0.0700000000000003
15-Jun0.0899999999999999
18-Jun0.0300000000000002
19-Jun0.0199999999999996
20-Jun0.00999999999999979
21-Jun0.0300000000000002
22-Jun0.0199999999999996
25-Jun0.04
26-Jun0.0700000000000003
27-Jun0.0899999999999999
28-Jun0.12
29-Jun0.16
2-Jul0.0999999999999996
3-Jul0.0499999999999998
5-Jul0.04
6-Jul0.0300000000000002
9-Jul0.0300000000000002
10-Jul0.00999999999999979
11-Jul0.00999999999999979
12-Jul0.0199999999999996
13-Jul0.0199999999999996
16-Jul0.0800000000000001
17-Jul0.0199999999999996
18-Jul0.0199999999999996
19-Jul0.0199999999999996
20-Jul0.0199999999999996
23-Jul0.0300000000000002
24-Jul0.0300000000000002
25-Jul0.0300000000000002
26-Jul0.0800000000000001
27-Jul0.0899999999999999
30-Jul0.13
31-Jul0.14
1-Aug0.11
2-Aug0.11
3-Aug0.0899999999999999
6-Aug0.11
7-Aug0.12
8-Aug0.14
9-Aug0.5
10-Aug0.89
13-Aug0.25
14-Aug0.21
15-Aug0.26
16-Aug0.55
17-Aug0.67
20-Aug0.71
21-Aug0.72
22-Aug0.7
23-Aug0.64
24-Aug0.5
27-Aug0.45
28-Aug0.47
29-Aug0.66
30-Aug0.69
31-Aug0.73
4-Sep0.65
5-Sep0.63
6-Sep0.58
7-Sep0.46
10-Sep0.42
11-Sep0.35
12-Sep0.29
13-Sep0.22
14-Sep0.2
17-Sep0.43
18-Sep0.22
19-Sep0.36
20-Sep0.33
21-Sep0.32
24-Sep0.31
25-Sep0.33
26-Sep0.37
27-Sep0.57
28-Sep0.82
1-Oct0.48
2-Oct0.44
3-Oct0.39
4-Oct0.37
5-Oct0.35
9-Oct0.38
10-Oct0.4
11-Oct0.36
12-Oct0.34
15-Oct0.39
16-Oct0.33
17-Oct0.3
18-Oct0.24
19-Oct0.21
22-Oct0.2
23-Oct0.2
24-Oct0.18
25-Oct0.16
26-Oct0.18
29-Oct0.2
30-Oct0.28
31-Oct0.28
1-Nov0.26
2-Nov0.27
5-Nov0.32
6-Nov0.28
7-Nov0.29
8-Nov0.29
9-Nov0.28
13-Nov0.35
14-Nov0.49
15-Nov0.6
16-Nov0.42
19-Nov0.44
20-Nov0.46
21-Nov0.46
23-Nov0.5
26-Nov0.52
27-Nov0.52
28-Nov0.53
29-Nov0.51
30-Nov0.56
3-Dec0.5
4-Dec0.49
5-Dec0.5
6-Dec0.51
7-Dec0.43
10-Dec0.45
11-Dec0.32
12-Dec0.24
13-Dec0.2
14-Dec0.24
17-Dec0.31
18-Dec0.28
19-Dec0.25
20-Dec0.21
21-Dec0.26
24-Dec0.26
26-Dec0.21
27-Dec0.37
28-Dec0.29
31-Dec0.34
Return to Figure 1, Panel B


Figure 3: Risk spreads on overnight asset-backed commercial paper (ABCP) issues for selected program types
DateOvernight spread for multi-seller programsOvernight spread for securities arbitrage programsOvernight spread for structured investment vehicles
2-Jan0.090.100.07
3-Jan0.030.040.01
4-Jan0.020.030.01
5-Jan0.020.020.01
8-Jan0.020.020.01
9-Jan0.010.010.00
10-Jan0.000.00-0.02
11-Jan0.010.020.00
12-Jan0.020.020.01
16-Jan0.070.060.06
17-Jan0.020.020.00
18-Jan0.020.020.00
19-Jan0.000.00-0.01
22-Jan0.010.010.01
23-Jan0.000.010.00
24-Jan-0.010.00-0.02
25-Jan0.000.000.00
26-Jan0.010.020.01
29-Jan0.010.030.01
30-Jan0.000.01-0.01
31-Jan0.040.050.04
1-Feb0.010.020.00
2-Feb0.010.010.00
5-Feb0.010.020.01
6-Feb0.010.010.00
7-Feb0.000.00-0.01
8-Feb0.000.01-0.01
9-Feb0.020.020.01
12-Feb0.010.010.00
13-Feb0.020.020.01
14-Feb0.030.030.02
15-Feb0.070.080.07
16-Feb0.020.02-5.25
20-Feb0.050.040.04
21-Feb0.020.210.02
22-Feb0.010.02-0.01
23-Feb0.010.010.00
26-Feb0.020.040.02
27-Feb0.050.050.03
28-Feb0.080.090.07
1-Mar0.090.090.08
2-Mar0.060.050.04
5-Mar0.040.040.02
6-Mar0.070.020.01
7-Mar0.020.020.01
8-Mar0.020.020.01
9-Mar0.020.020.01
12-Mar0.030.030.02
13-Mar0.020.020.01
14-Mar0.050.050.05
15-Mar0.110.100.10
16-Mar0.030.020.02
19-Mar0.030.020.02
20-Mar0.030.020.02
21-Mar0.020.020.02
22-Mar0.020.010.01
23-Mar0.020.010.01
26-Mar0.030.020.01
27-Mar0.030.020.02
28-Mar0.060.040.04
29-Mar0.080.080.06
30-Mar0.190.180.17
2-Apr0.090.080.10
3-Apr0.040.040.04
4-Apr0.050.040.04
5-Apr0.000.050.06
6-Apr0.14  
9-Apr0.080.080.09
10-Apr0.080.060.06
11-Apr0.060.060.04
12-Apr0.060.040.05
13-Apr0.060.040.04
16-Apr0.080.080.08
17-Apr0.080.070.07
18-Apr0.020.010.00
19-Apr0.00-0.01-0.02
20-Apr-0.010.00-0.02
23-Apr0.010.010.00
24-Apr0.00-0.010.00
25-Apr0.010.010.00
26-Apr0.010.010.00
27-Apr0.020.020.00
30-Apr0.080.080.06
1-May0.060.050.04
2-May0.010.020.01
3-May0.010.020.01
4-May0.010.010.02
7-May0.030.030.03
8-May0.010.010.00
9-May0.000.01-0.01
10-May0.000.00-0.01
11-May0.000.00-0.01
14-May0.020.030.01
15-May0.070.070.06
16-May0.020.020.00
17-May0.020.020.01
18-May0.020.020.02
21-May0.020.020.02
22-May0.010.010.00
23-May0.010.010.00
24-May0.020.010.01
25-May0.020.030.02
29-May0.050.060.04
30-May0.060.050.05
31-May0.090.080.08
1-Jun0.070.070.05
4-Jun0.030.040.05
5-Jun0.030.030.03
6-Jun0.020.030.02
7-Jun0.030.030.03
8-Jun0.040.040.02
11-Jun0.030.040.03
12-Jun0.030.040.03
13-Jun0.050.060.04
14-Jun0.080.070.07
15-Jun0.100.100.10
18-Jun0.040.040.03
19-Jun0.030.030.01
20-Jun0.020.020.01
21-Jun0.040.030.03
22-Jun0.030.030.02
25-Jun0.040.050.05
26-Jun0.070.080.08
27-Jun0.100.100.11
28-Jun0.130.130.13
29-Jun0.160.160.14
2-Jul0.100.110.11
3-Jul0.050.050.05
5-Jul0.050.040.03
6-Jul0.040.030.03
9-Jul0.030.040.03
10-Jul0.020.030.01
11-Jul0.020.020.01
12-Jul0.030.020.01
13-Jul0.030.030.02
16-Jul0.090.080.08
17-Jul0.030.030.02
18-Jul0.030.030.03
19-Jul0.030.030.03
20-Jul0.020.020.03
23-Jul0.030.030.02
24-Jul0.040.030.03
25-Jul0.040.040.03
26-Jul0.090.080.09
27-Jul0.110.100.10
30-Jul0.150.140.14
31-Jul0.170.150.17
1-Aug0.160.130.13
2-Aug0.140.140.14
3-Aug0.120.100.12
6-Aug0.130.150.15
7-Aug0.150.150.15
8-Aug0.170.170.17
9-Aug0.490.520.56
10-Aug0.860.940.86
13-Aug0.280.320.30
14-Aug0.220.290.17
15-Aug0.290.250.22
16-Aug0.540.690.20
17-Aug0.660.710.50
20-Aug0.700.660.78
21-Aug0.700.680.57
22-Aug0.670.740.77
23-Aug0.590.660.57
24-Aug0.460.580.25
27-Aug0.400.500.25
28-Aug0.440.500.61
29-Aug0.650.640.81
30-Aug0.660.690.83
31-Aug0.750.640.97
4-Sep0.650.650.71
5-Sep0.620.690.80
6-Sep0.560.710.63
7-Sep0.440.540.69
10-Sep0.380.550.55
11-Sep0.290.490.49
12-Sep0.260.430.36
13-Sep0.170.380.41
14-Sep0.180.300.27
17-Sep0.420.490.51
18-Sep0.220.200.31
19-Sep0.370.370.28
20-Sep0.330.360.27
21-Sep0.300.350.27
24-Sep0.300.350.30
25-Sep0.320.360.74
26-Sep0.360.400.35
27-Sep0.540.560.90
28-Sep0.770.820.87
1-Oct0.450.450.30
2-Oct0.390.480.47
3-Oct0.330.460.51
4-Oct0.330.480.47
5-Oct0.290.470.54
9-Oct0.290.54 
10-Oct0.320.55 
11-Oct0.300.500.23
12-Oct0.280.470.60
15-Oct0.330.460.80
16-Oct0.260.440.75
17-Oct0.220.400.58
18-Oct0.180.350.70
19-Oct0.160.300.71
22-Oct0.160.270.67
23-Oct0.150.280.63
24-Oct0.140.240.47
25-Oct0.110.190.40
26-Oct0.140.250.46
29-Oct0.160.250.42
30-Oct0.250.320.84
31-Oct0.240.320.80
1-Nov0.230.310.77
2-Nov0.220.330.80
5-Nov0.260.400.75
6-Nov0.200.350.69
7-Nov0.200.420.69
8-Nov0.210.440.71
9-Nov0.210.430.72
13-Nov0.290.520.85
14-Nov0.420.690.93
15-Nov0.540.770.95
16-Nov0.360.560.82
19-Nov0.380.600.65
20-Nov0.410.64 
21-Nov0.400.83 
23-Nov0.460.72 
26-Nov0.470.670.87
27-Nov0.480.64 
28-Nov0.480.690.65
29-Nov0.450.70 
30-Nov0.490.76 
3-Dec0.430.740.65
4-Dec0.400.750.65
5-Dec0.430.72 
6-Dec0.430.72 
7-Dec0.360.640.70
10-Dec0.340.810.73
11-Dec0.210.600.52
12-Dec0.150.530.53
13-Dec0.100.600.50
14-Dec0.140.590.62
17-Dec0.230.690.68
18-Dec0.190.64 
19-Dec0.140.60 
20-Dec0.120.44 
21-Dec0.130.34 
24-Dec0.180.201.60
26-Dec0.180.21 
27-Dec0.270.57 
28-Dec0.230.00 
31-Dec0.270.23 
Return to Figure 3


Figure 4: Runs on asset-backed commercial paper (ABCP) programs in 2007
DateFraction of ABCP programs experiencing runsUnconditional hazard of leaving the run state
3-Jan-071.59 
10-Jan-072.8720
17-Jan-072.5444
24-Jan-073.4825
31-Jan-073.4727
7-Feb-074.1018
14-Feb-074.1023
21-Feb-074.1031
28-Feb-073.4738
7-Mar-075.0018
14-Mar-073.7538
21-Mar-073.7417
28-Mar-072.8025
4-Apr-074.330
11-Apr-073.0950
18-Apr-074.6220
25-Apr-076.4627
2-May-074.3148
9-May-074.6036
16-May-074.8933
23-May-075.5031
30-May-073.9650
6-Jun-074.2231
13-Jun-074.4929
20-Jun-074.1827
27-Jun-074.1536
4-Jul-074.4414
11-Jul-074.4420
18-Jul-075.0033
25-Jul-076.4718
1-Aug-079.3823
8-Aug-0713.7425
15-Aug-0719.5921
22-Aug-0724.2710
29-Aug-0726.167
5-Sep-0729.0710
12-Sep-0732.2710
19-Sep-0732.2713
26-Sep-0733.437
3-Oct-0733.2410
10-Oct-0733.538
17-Oct-0733.829
24-Oct-0734.398
31-Oct-0735.265
7-Nov-0737.862
14-Nov-0737.466
21-Nov-0739.944
28-Nov-0737.3612
5-Dec-0739.942
12-Dec-0739.835
19-Dec-0740.003
26-Dec-0740.862
Return to Figure 4


Figure 5: Aggregate variables related to stresses in the ABCP market
DateAverage fraction of issuance with maturity less than 10 days (percent)1-month Libor-OIS spread (percentage points)Return on the ABX.HE index, 2006:2, AAA tranche (percent)Fraction of ABCP outstanding under default or extension (percent)
3-Jan76.645270.06916010.00250020
10-Jan63.145360.0647001-0.00250010
17-Jan59.600940.063500200.0175963
24-Jan57.243980.068300200.0179018
31-Jan67.380130.0691001-0.01798160.022544
7-Feb62.979810.06700040.00599240.0226733
14-Feb66.588360.0657002-0.18184970.0225029
21-Feb62.927260.0644002-0.06607060.0223689
28-Feb65.487490.0654003-0.44075170.0224006
7-Mar65.58990.06532620.04829110.0633379
14-Mar64.655610.06260010.1206810.0810623
21-Mar61.604770.06090010.05825610.0808323
28-Mar64.58990.0598001-0.04015510.0812352
4-Apr70.750810.0646001-0.05824560.0805253
11-Apr65.141520.062833500.0806547
18-Apr61.324370.06160010.00201620.079919
25-Apr56.081780.06410030.03817760.0857453
2-May68.343260.061700200.0846597
9-May67.940750.0603751-0.02009310.0830393
16-May63.780080.05870020.04220240.0821735
23-May63.236640.0604002-0.00402230.0819235
30-May66.777970.0578752-0.00100370.1062366
6-Jun73.472770.05410030.01707080.1057537
13-Jun69.384230.0546002-0.00200710.1038789
20-Jun66.554050.0553001-0.01405760.1037971
27-Jun69.081920.0589001-0.0261040.1039137
4-Jul77.890710.0639003-0.03516190.1032909
11-Jul68.591010.0627002-0.32658090.1024459
18-Jul63.863930.0627003-2.0062560.1023474
25-Jul61.690280.0626002-0.46501630.102453
1-Aug76.041410.0782001-2.0341530.1017317
8-Aug67.320220.0917-3.272840.3169336
15-Aug73.951870.4900760.42758160.4249685
22-Aug79.127750.57084990.0369330.8034557
29-Aug82.895330.5248752.4798021.513752
5-Sep82.533970.79354990.39765191.836524
12-Sep75.809570.90282611.9196961.961957
19-Sep74.621930.676150.5316662.047657
26-Sep72.784710.3989499-1.2297112.105156
3-Oct76.784520.4069260.25651412.151672
10-Oct72.498790.4120326-0.10452842.200148
17-Oct74.264790.3532-0.36180392.241351
24-Oct74.276790.33875-1.3375122.328449
31-Oct79.854270.2486501-4.99472.415261
7-Nov75.765150.2014761-1.3800932.438007
14-Nov74.233820.2214725-3.8387672.489168
21-Nov73.533130.3785761-2.1570462.527226
28-Nov76.13330.4840652-2.1835832.589007
5-Dec81.096211.0619527.3540742.600179
12-Dec78.570871.0373261.2848252.638398
19-Dec75.957540.8089076-1.0911842.851358
Return to Figure 5



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