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Asset Backed Commercial Paper market shows signs of stabilization
Economic Flash
by Dr. Harm Bandholz
10.01.08

The data: The Federal Reserve reported today that the volume of assetbacked commercial paper (ABCP) outstanding rose for the second straight week following twenty consecutive weeks of declines: CP backed by mortgages or credit card loans rose USD 4.8 bn to a seasonally adjusted USD 778.6 bn in the week ending January 9. During the twenty weeks between August 10 and December 28, the ABCP market shrank by a total of USD 435 bn, before it posted a USD 26.3 bn increase in the first week of 2008. At the same time, spreads between the fed funds target rate and LIBOR or the rate for asset backed securities are approaching “normal” levels (cf. chart). The spread between 3M LIBOR and the fed funds rate declined to 12.7 bn, which is the lowest since August 7 and only slightly above the 11 bp, which has been the average spread before the crisis. Similarly the spread of the fed funds and ABCP rates declined to 11 bp after reaching a maximum of 191 bp in mid-December.

The interpretation: One reason for the recent rise in the ABCP market is probably that after firms weathered the year-end funding problems, there is a lot of cash in the money market looking for some short-term investment opportunities. Another factor is the successful liquidity injections of central banks around the world. The Fed’s TAF auctions clearly helped to reduce strains in short-term funding markets and to bring rates back to more normal levels.

The outlook: The biggest risk to the US economy is that as a result of capital constraints resulting from losses on mortgages and other loans, banks would be less willing to lend to consumers, and thus be a drag on household spending. But by now, bank lending to consumers has even accelerated and with ongoing liquidity injections by the Fed and Sovereign Wealth Funds as well, we remain confident that the US consumer will be able to weather also this storm without falling into a recession.

Quelle:
http://www.hypovereinsbank.de/pub/templates/index.jsp?pageurl=/pub/io/rese/102099.jsp&a...

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10-Jan-08 Overview
Index Series Version Coupon RED ID Price High Low
ABX-HE-AAA 07-2 7 2 76 0A08AHAD4 69.07 99.33 66.41
ABX-HE-AA 07-2 7 2 192 0A08AGAD6 39.14 97.00 34.67
ABX-HE-A 07-2 7 2 369 0A08AFAD8 26.52 81.94 23.97
ABX-HE-BBB 07-2 7 2 500 0A08AIAD2 23.64 56.61 19.88
ABX-HE-BBB- 07-2 7 2 500 0A08AOAD9 21.79 50.33 18.90
ABX-HE-AAA 07-1 7 1 9 0A08AHAC6 71.07 100.09 68.92
ABX-HE-AA 07-1 7 1 15 0A08AGAC8 40.04 100.09 37.47
ABX-HE-A 07-1 7 1 64 0A08AFAC0 22.50 100.01 21.56
ABX-HE-BBB 07-1 7 1 224 0A08AIAC4 17.11 98.35 16.76
ABX-HE-BBB- 07-1 7 1 389 0A08AOAC1 16.61 97.47 16.49
ABX-HE-AAA 06-2 6 2 11 0A08AHAB8 83.75 100.12 79.97
ABX-HE-AA 06-2 6 2 17 0A08AGAB0 57.86 100.12 51.47
ABX-HE-A 06-2 6 2 44 0A08AFAB2 32.75 100.12 31.81
ABX-HE-BBB 06-2 6 2 133 0A08AIAB6 18.00 100.59 17.89
ABX-HE-BBB- 06-2 6 2 242 0A08AOAB3 17.54 100.94 16.63
ABX-HE-AAA 06-1 6 1 18 0A08AHAA1 93.71 100.38 90.09
ABX-HE-AA 06-1 6 1 32 0A08AGAA9 83.36 100.73 77.58
ABX-HE-A 06-1 6 1 54 0A08AFAA7 55.86 100.51 47.11
ABX-HE-BBB 06-1 6 1 154 0A08AIAA4 29.93 101.20 25.00
ABX-HE-BBB- 06-1 6 1 267 0A08AOAA2 23.86 102.19 21.83

Tomo 15 Mrd um 4.1-4.2% rum (1 und 14 Tage). 125 Mrd submitted.

Gruß DT