To roll - with the punches - or not? This is the big question hanging over a corner of the vast asset-backed commercial paper (ABCP) market, worth roughly $1,000bn. This market, which provides short-term funding for an array of issuers, including mortgage companies, has shown unmistakable signs of stress recently, with spreads widening dramatically in August. But the real crunch will come if buyers decide not to roll over their exposure.
Increasingly, ABCP issued by mortgage originators, using mortgage assets as collateral, is extendible. This means the maturity can be pushed back several months if the market freezes up. So far there have been
