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Asset-backed commercial paper program (ABCP program, ABCP Conduit or Conduit) is set up as a program that issues short-term liabilities, commercial papers called asset-backed commercial papers (ABCPs), to finance medium- to long-term assets.〔Acharya, Viral, Philipp Schnabl and Gustavo Suarez (2010). Securitization Without Risk Transfer, September 2010, NBER Working Paper No. 15730〕 In terms of terminology, ABCP usually refers to asset-backed commercial paper, while ABCP conduit (or conduit) the program. The maturities of ABCP range up to 270 days but average about 30 days.〔Covitz, Daniel, Nellie Liang and Gustavo Suarez (2009). The evolution of a financial crisis: Panic in the asset-backed commercial paper market. Division of Research & Statistics and Monetary Affairs, Federal Reserve Board.〕〔Board of Governors of Federal Reserve System. http://www.federalreserve.gov/releases/cp/about.htm.〕 Like banks, ABCP programs provide liquidity and maturity transformation services.〔 Because of this structure, ABCP conduits are considered to be part of the Shadow banking system.〔Pozsar, Zoltan, Tobias Adrian, Adam Ashcraft and Hayley Boesky (2012). Shadow Banking. Staff Report No. 458. Federal Reserve Bank of New York Staff Reports〕 A common and prominent feature of many ABCP programs is that they were created by banks to fund bank assets in an off-balance sheet way, possibly to avoid regulatory capital requirements.〔 Due to this character, ABCP is blamed to be one of the reasons of the 2008–09 global financial crises. ==History== ABCP programs first appeared in the mid-1980s. Initially, ABCP conduits were primarily sponsored by major commercial banks as a means of providing trade receivable financing to their corporate customers. Over the past decade, ABCP programs have grown to serve a wide variety of needs such as: asset-based financing for companies that cannot access the commercial paper market, warehousing assets prior to security issuance, investing in rated securities for arbitrage profit, providing leverage to mutual funds, and off-balance sheet funding of bank assets.〔The Fundamentals of Asset-Backed Commercial Paper. Structured Finance Special Report. http://www.imf.org/external/np/seminars/eng/2010/mcm/pdf/rutan1.pdf〕 Above all these service types, ABCP programs are commonly used by banks to free up their regulatory capitals by moving the seemingly safe assets off their balance sheet. Traditionally, banks keep everything on their balance sheet and owners of the bank have to hold a certain amount of equity to meet the capital requirement. This means if a bank wants to invest in a large new project, i.e. increase its asset largely, it has to increase owners' equity proportionality. Moving such project off bank's balance sheet eliminates the need of increasing equity. Through setting up ABCP conduits, banks can fund assets all by short-term liabilities. In general, any asset class that has been funded in the term market has been funded in a conduit, and there are a wide variety of assets that are unique to the conduit market, however, at the time of 2007, the major asset of most ABCP programs is asset-backed security backed by residential mortgages.〔 As of September 2001, there were approximately 280 active ABCP programs, with more than $650 billion in outstanding.〔Asset-Backed Commercial Paper Explained. Fitch Ratings. http://people.stern.nyu.edu/igiddy/ABS/fitchabcp.pdf〕 During the mid-2000s, ABCP saw a steady rise in popularity because of their high ratings from the perspective of investors and the low borrowing rates from companies who need money. Gradually, even more conservative investors, such as money market mutual funds and retirement funds began purchasing ABCP. This optimism pushed the outstanding of ABCP to $1.3 trillion by the time of July 2007.〔 At that time, ABCP was the largest money market instrument in the United States, following by Treasury Bills with about $940 billion outstanding.〔 However, this trend came to an abrupt end in August 2007.〔 During 2007, as negative information about U.S. residential mortgages spreads out, securities backed with mortgages, including sub-prime mortgages, widely held by ABCP programs of financial firms globally, started to lose their value. ABCP investors started to worry about the value of the asset backing their ABCP and stopped rolling over their position. At the beginning, sponsor banks have enough liquid to pay off these liabilities, but lack of market confidence can create a subprime mortgage crisis. On August 2007, the French bank BNP Paribas halted withdrawals from three funds invested in ABCP and suspended calculation of net asset values. Even though defaults on mortgages had been rising throughout 2007, the suspension of withdrawals by BNP Paribas has a profound effect on ABCP market. The interest rate spread of over-night ABCP and Federal funds rate increased from 10 basis points to 150 basis points within one day of announcement. Subsequently, the ABCP market experienced a modern-day bank run. Several ABCP conduits fall victims to liquidity crisis, and so are their sponsor financial institutions.〔 Since banks only need to keep regulatory capital for on-balance sheet assets, and none for the assets funded by ABCP conduits, they get into huge trouble paying back investors who refuse to roll over their ABCP. Several major financial institutions collapsed in the following year because of solvency issues and have to be bailed out by government.〔 See Financial crisis of 2007–2008 for details on the crisis and see Great Recession for the recession triggered by the financial crisis. In December 2007, ABCP outstanding dropped from $1.3 trillion to $833 billion.〔 By the end of 2008, there is no SIV left. As of March 2013, the outstanding of ABCP is about $300 billion.〔Asset-backed Commercial Paper Outstanding. Federal Reserve Economic Data. http://research.stlouisfed.org/fred2/series/ABCOMP〕 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Asset-backed commercial paper program」の詳細全文を読む スポンサード リンク
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