Fitch: Consumer Assets Dominate North American ABCP; RMBS & CDO Exposures Fall

NEW YORK--(Business Wire)--
Consumer assets continue to make up most asset backed commercial paper (ABCP)
conduit holdings, according to a recent review of U.S. and Canadian Fitch-rated
ABCP as detailed in a new report.

Over the past two years Fitch has also noted a significant falloff in ABCP
conduit exposure to riskier assets such as residential mortgage backed
securities (RMBS), collateralized debt obligations (CDOs), and certain
auto-related transactions. The falloff in exposure to assets such as RMBS and
CDOs is not surprising, according to the new report published today by Fitch, as
in an on-going effort to allay investor concerns, conduit sponsors have taken
proactive measures to reduce, remove, or provide more support to certain
exposures.

In the report, Fitch also comments on the U.S. commercial paper (CP) market;
specifically, trends in market outstandings and the role of government-sponsored
funding facilities such as the Asset-Backed Commercial Paper Money Market Mutual
Fund Liquidity Facility (AMLF) and the Commercial Paper Funding Facility (CPFF).
To date, these programs have had little to no impact on ABCP credit ratings but
have nonetheless provided liquidity and a certain measure of stability to the
short-term market.

As noted in the '2009 Outlook for Global ABCP', Fitch maintains a negative
outlook for ABCP programs as a result of their direct exposure to financial
institutions, which provide the vast majority of credit and liquidity support
facilities.

The full report 'North American ABCP Conduits - An In-Depth Look' is available
on the Fitch Ratings web site at www.fitchratings.com. For further detail on
government-sponsored programs, please see Fitch's special report, 'U.S.
Government Sponsored ABCP-Related Initiatives' dated May 18, 2009, also
available on the Fitch web site.

Fitch's rating definitions and the terms of use of such ratings are available on
the agency's public site, www.fitchratings.com. Published ratings, criteria and
methodologies are available from this site, at all times. Fitch's code of
conduct, confidentiality, conflicts of interest, affiliate firewall, compliance
and other relevant policies and procedures are also available from the 'Code of
Conduct' section of this site.

Fitch Ratings, New York
Michael Dean, 212-908-0556
Darryl Osojnak, 212-908-0602
or
Media Relations:
Sandro Scenga, 212-908-0278
Email: sandro.scenga@fitchratings.com

Copyright Business Wire 2009