July 2008
Beginner
384 pages
9h 52m
English
Content preview from Introduction to Securitization
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ABCP COLLATERAL
As noted earlier, ABCP was primarily designed to acquire and fund trade receivables of larger corporations. However, as the product evolved over time, the collateral composition shifted heavily into investing in financial instruments. Today, ABCP conduits invest in all possible financial instruments such as collateralized debt obligations (CDOs)43 lease receivables, and corporate loans.
To see this, consider that in 1993 the assets of conduits according to a Moody’s report authored by Rutan and Berthelon (2007) consisted of the following:
and the balance in other assets.
Trade and term receivables: 60% Credit card receivables: 12% Corporate loans: 12%
Fast forward 13 years to June 2006. U.S. multiseller conduits held the following assets according to Moody’s:
and the balance in other assets.
Trade receivables: 13% Credit cards: 15% Commercial loans: 11% Auto loans: 10% Securities: 9% Mortgage warehousing lines and other mortgage investments: 9% Highly rated CDOs: 3%
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