ABCs of ABCP

Sam Pilcer
Managing Director
Calyon Securities Inc.
212-261-3548
sam.pilcer@us.calyon.com

February 2009

Page 1

Table of Contents

Page 2

1.1.

What
WhatisisABCP?
ABCP?

2.2.

Background
Background/ /History
HistoryofofABCP
ABCP

3.3.

Types
TypesofofABCP
ABCPPrograms
Programs

4.4.

ABCP
ABCPConduits:
Conduits:Characteristics
Characteristics

5.5.

ABCP
ABCPMarket
MarketTrends
Trends

6.6.

ABCP
ABCPMarket
MarketToday
Today

One
What is ABCP?

Page 3

What is ABCP?

Commercial paper generally:

9 Money market security, usually in the form of a promissory note, issued by corporations or banks
9 Typically used to purchase inventories or to provide working capital
9 Can be Self (Direct)-Issued or Placed through Dealers
9 Issued in Book-Entry Format
9 Typically issued at a discount, although can be interest-bearing
9 Commonly bought by money market funds
9 Exemption from the Securities Act of 1933
Maturity of less than 270 days
Not publicly available ($1 million typical denominations) Rule 144a -QIBs
Proceeds required to fund current transactions
9 Exemption from the Investment Company Act of 1940 Section 3(c)(7) - Qualified purchaser
9 Traditionally provides companies with a flexible low cost short-term funding alternative to bank debt

Page 4

What is ABCP?

Asset Backed Commercial Paper:

9 Commercial paper secured (i.e. backed) by assets, typically in the form of accounts receivable,
loans, leases or securities
9 CP is issued from a special purpose vehicle (often called a Conduit) which is structured to be
bankruptcy-remote
9 Typically highly-rated - usually in the top two short term rating categories from rating agencies
9 Is repaid at maturity through (i) liquidity support lines from counterparties, (ii) from cash proceeds
from asset sales or collections or (iii) from issuance of new ABCP (i.e. rolled)
9 Like non-asset backed commercial paper ABCP is:
Unregistered with SEC
Typically purchased by money market funds subject to Rule 2a-7 Eligibility
Sold book entry on a discounted basis

Page 5

Two
Background / History of ABCP

Page 6

Background/History of ABCP

Origins in Bank Capital Adequacy Rules

9

ABCP first appeared in the 1980s as a means for large commercial banks to finance their
commercial customers trade receivables in a capital-efficient manner and at competitive rates.
9 1986 Basle Accord (Basel 1) created strong incentive for Off Balance Sheet funding options for
banks.

Extended CP Market Access to Lesser or Unrated Companies

9 Afforded access to bank clients unable to issue their own corporate CP or to borrow from banks at
lower rates.

Expanded Funding Sources for Higher Rated Companies

9 Funding anonymity has also been an attraction

Growth Has Paralleled ABS Market

9 Securitization techniques evolved and ABCP became a common source of warehousing for ABS
collateral.
9 600% Market Growth from 1997-2007 peaking at $1.2 Trillion in Summer 2007

Diversification of Asset Types & Products

Evolution of industry from short term accounts receivables collateral to auto loans, credit card assets

Further evolution into longer tenor securities purchases (arbitrage), mortgage collateral for
warehousing, term assets, etc.
Page 7

Background/History of ABCP

Why do (bank) sponsors establish ABCP programs?

Balance Sheet Management

9 Reduce regulatory capital requirements or lever existing capital
9 Finance high quality, low margin assets off the banks balance sheet
9 Control size of balance sheet

Regulatory Capital Efficiency

9 Better align regulatory capital with economic risk-based capital
9 Improves financial ratios
9 Help address loan growth expectations > deposit growth

Consistent alternative source of fee-based revenue

9 Increases non-interest income as a percentage of total income
9 Enhances market awareness of bank sponsors

Alternative Funding
9 Additional source of highly liquid funding
9 Asset specific funding program separate from sponsors direct liabilities such as holding
company CP or CDs
9 Utilize alternative funding baskets of money market investors (secured bank risk vs.
unsecured)
Page 8

Three
Types of ABCP Programs

Page 9

Types of ABCP Programs

ABCP Program Structures include the following:

9 Multi-seller
9 Single-seller
9 Securities Arbitrage Vehicles
Structured Investment Vehicles (extinct)
Credit Arbitrage (almost extinct)
9 Loan-Backed (extinct)
9 Hybrid Vehicles - incorporating a combination of the above types (almost extinct)

Page 10

Types of ABCP Programs: Multi-Seller Programs

A Multi-Seller ABCP Conduit is a limited purpose, bankruptcy-remote SPV that provides financing for
receivables pools generated by multiple, unaffiliated originators/sellers

Multi-seller programs are most commonly established and sponsored by large commercial banks and
typically provide financing to that banks corporate clients

These banks typically serve as Program Administrator or Administrative Agent for the Conduit, and
commonly provide liquidity and credit support as well

Multi-seller Conduits are typically structured to:

9 Make loans against or purchase interests in receivables pools
9 Warehouse assets prior to a term ABS take-out, and/or
9 Purchase securities

ABCP issued from a large multi-seller vehicle is typically perceived as low risk for investors due to
9
9
9
9

Page 11

Originator diversification
Asset diversification and Deal-Specific Credit Enhancement
Program-Wide Credit Enhancement and 100% Bank Liquidity Support
Bank Sponsorship

Multi-Seller Schematic
Receivables Generated

Obligors

Obligors

Obligors

Obligors

Obligors

Seller 1

Seller 2

Seller 3

Seller 4

Seller n

Seller
Receivables

advances against
new receivables

True Sale

SPV
Transferor
Receivables

collections

First Priority
Perfected Security
Interest

credit support
payments

Credit
Enhancement
Providers

liquidity advances

ABCP Conduit
fees

Liquidity
Providers
fees
dividends

fees

payments on
maturing ABCP

purchase price
of new ABCP

Conduit
Owner

ABCP Conduit
Administrator

Issuing & Paying Agent

payments on
maturing ABCP

purchase price
of new ABCP

ABCP Investors
(generally money market funds)

Page 12

First Loss /
Equity holder

Types of ABCP Programs: Other Types of ABCP Programs

Single-seller ABCP conduit - a limited-purpose, bankruptcy-remote entity that issues CP as a way to

finance the receivables of a single originator. Since there is one seller, seller-insolvency is greater than in
a multi-seller vehicle.
9 Single-seller programs are popular among large credit-card issuers, major auto manufacturers and
some mortgage originators (now extinct). Motivations for their use include the following:
Cost benefits over participating in another sponsors multi-seller program
Allows sponsor more control over operations
Favorable accounting or tax treatment

Page 13

Types of ABCP Programs: Other Types of ABCP Programs (mostly

extinct)

Securities Arbitrage Vehicles these vehicles were set up to efficiently fund the purchase of various types
of securities; the two basic types are Structured Investment Vehicles and Credit Arbitrage Vehicles.
9 Structured Investment Vehicle (SIV): SIVs are market value programs that purchase highly-rated
securities (ABS, corporate debt) and seek to benefit from spread differentials between longer
maturity assets and short term funding.
An SIV would typically fund itself by issuing both CP and MTNs as well as equity-like capital
notes.
SIV-Lites - these structures are hybrids between CDOs and traditional SIVs. In their quest to
gain additional yield particularly in a tightened spread environment, they are more levered than
a typical SIV and often invest in subprime mortgages due to their higher spread.
This combination of higher leverage and exposure to more risky collateral put SIV-Lites
at greater risk when the market started to experience liquidity problems in mid-2007
9 Credit Arbitrage Vehicles expose investors to credit risk, like a cash flow CDO but not market risk
(as with an SIV). They are more passive than a typical SIV and their risk profile tends to follow that of
their sponsors securities portfolio.

Page 14

Types of ABCP Programs: Other Types of ABCP Programs

Loan-Backed similar to a CLO, these are designed to fund a portfolio of bank loans, often to unrated
companies

CDOs: ABCP has also been issued out of CDOs, typically being the most senior class in the capital
structure. CDO-issued ABCP usually benefited from 100% liquidity support

Hybrids: ABCP programs encompassing some characteristics of more than one of the above types of
programs

Page 15

Four
ABCP Conduits: Characteristics

Page 16

ABCP Conduit Characteristics

Full Support vs. Partial Support

9 ABCP programs can be Fully supported or Partially supported depending on the level of
external credit enhancement provided to the program:
Fully Supported: Fully supported programs use an external support facility to provide 100%
coverage against credit risk and liquidity risk to support the transactions within the conduit.
Due to the external support, rating agencies focus on the strength of the support
provider(s), which are usually highly rated banks.
Forms could be a guarantee, LOC, surety bond, TRS or liquidity facility addressing
credit risk
Partially-Supported:
These programs make use of two support facilities; a credit
enhancement facility aimed at reducing credit risk (and to some extent liquidity risk) and
another facility focusing on liquidity. The facilities do not cover 100% of credit risk, so rating
agencies focus on receivables performance in assigning ratings; i.e. investors bear a portion
of the credit risk of the receivables.
Partially funded facilities evolved in part due to capital requirements imposed on
support providers by bank regulators

Page 17

ABCP Conduit Characteristics

Post Review vs. Pre-Review

9 Post-Review these agreements allow for the conduit to enter into new transactions that are
aligned with the conduits existing written credit and investment policy without first getting rating
confirmation; The rating agencies then review the transactions at a later date as part of their
customary periodic review process.
Most Single-Seller Programs and fully supported ABCP conduits are Post Review
9 Pre-Review New transactions must be submitted to the rating agencies prior to funding for their
confirmation of conduits short term ratings.
Most multi-seller programs are Pre-Review

Page 18

ABCP Conduit Characteristics

Credit Enhancement
9 Transaction Level used to cover losses on a specific transaction
This is the first level of protection against deterioration of the collateral
Available only to a specific transaction, not to cover losses on other transactions
Forms: Overcollateralization, subordination, excess spread, reserve account, guarantee, or
liquidity facility providing credit protection or partial seller recourse
9 Program-wide used to cover losses across most receivables in the conduit

Page 19

Second layer of protection against losses after transaction level protection

Available to all transactions in a conduit
Forms: LOC, Surety Bond, third party guarantee, asset purchase agreement or loan facility
Program wide enhancement increases with the number of transactions in a conduit

ABCP Conduit Characteristics

Liquidity Facilities
9 Required to ensure that sources of funds are available to repay maturing CP on a timely basis.
9 Often structured as 364-day renewable facilities (364-day maturity driven by regulatory capital
guidelines)
9 Typically sized at 102% of the transaction limit; the extra 2% for partially hedging interest rate risk.
9 Provided by highly rated financial institutions
9 May be transaction-specific or program-wide
Liquidity Loan Agreement (LLA ) commitment to lend to a conduit when requested
Liquidity Asset Purchase Agreement (LAPA) commitment to purchase an asset when
requested

Page 20

ABCP Conduit Characteristics

Conduit Ratings
9 The majority of ABCP programs carry the highest short term ratings (P-1, A-1/A-1+, F1/F1+, R-1)
(1), which is the rough equivalent to long-term rating categories in the Aaa to A2 range / AAA to A
range.

Service Providers
9 Aside from credit and liquidity support, Conduits typically have numerous Service Providers,
including some or all of the following:

Administrator and/or Manager

Issuing & Paying Agent
Placement Agent
Collateral Agent
Custodian
Hedge Counterparty

(1) Moodys, S&P, Fitch, DBRS respectively. DBRS further delineates short term ratings into high, middle
and low

Page 21

ABCP Conduit Characteristics

Credit and Investment Policy

9 Conduits are governed by investment restrictions set forth informally or formally in a Credit and
Investment Policy.
9 Collateral eligibility requirements, portfolio composition and concentration limits are often strictly
defined

Issuance Tests
9 Must be satisfied before ABCP can be issued
9 Non-bankruptcy, positive tangible net worth, sufficient liquidity, asset quality

Authorized Amount vs. Outstanding Amount

9 Outstanding Amount < Authorized Amount

Page 22

ABCP Liabilities Different Forms of ABCP (all but extinct)

Extendible CP: ABCP programs are structured similar to normal ABCP programs, but the sponsor has
the option to extend the notes to a legal final maturity out to 397 days if new CP cannot be issued to
repay maturing CP on the expected maturity date.
9 Upon extension, investors receive higher spread until the CP is paid down, typically L+25.
9 Extendible programs are market value programs, that is they typically do not have external
liquidity support and rely on the inherent liquidity of the assets through whole loan sales or
securitizations to pay off extendible notes
9 Extendible programs have been used for various types of assets including credit cards, trade
receivables, mortgages, floorplan and student loans
9 Market value swaps are often used in extendible programs to hedge price risk, interest rate
risk or for reasons of liquidity/credit enhancement
9 Some extendible ABCP programs are referred to as Secured Liquidity Notes

Medium Term Notes (MTN): MTNs are not commercial paper but are used by some ABCP vehicles as
an incremental funding source
9 MTNs have maturities ranging from 180 days up to 30yrs and bear long term ratings, often
triple-A and generally issued on a floating rate, interest bearing basis
9 MTNs can be issued to reduce the need for additional backup liquidity as well as diversify
funding sources and locking in longer term funding to complement short term ABCP
9 Opportunistic issuance is also a key advantage of MTNs as the ability to come to market
quickly when favorable conditions prevail could mean the difference between operating in the
red and a profitable trade
Page 23

Five
ABCP Market Trends

Page 24

ABCP Market Trends

1980s and early 1990s: ABCP outstanding volume enjoyed strong growth since the markets inception in
the 1980s fueled by tremendous growth in consumer assets such as credit cards and autos plus
regulatory capital pressures on bank balance sheets
9 ABCP evolved from its roots financing trade receivables into an important tool for the financing of
several other asset types
9 Loan-backed programs emerged in the early 1990s

Mid 1990s: Credit arbitrage programs were introduced into the marketplace

Late 1990s: Hybrid programs, Single-Seller programs and Extendible note programs were introduced

Early 2000s: SIVs presence expanded (and experienced rapid growth up until mid 2007)
9 The reduced volume of ABCP in 2002-2004 impacted the corporate CP market more dramaticallyespecially in the non-financial sector and was due to several factors:
9 Given the then-slowed economy, funding needs were generally down
9 A flat yield curve and persistent low rate environment made longer term financing more attractive
9 Increased credit concerns during a period of economic stress evidenced by many corporate
downgrades
9 Uncertainty over pending Regulatory/Accounting changes:
An event which threatened to radically alter the state of the ABCP market was the introduction
of FASB's FIN46/FIN46R in 2003 which required ABCP sponsors to either consolidate conduit
assets on-balance sheet or restructure their programs to transfer the first loss position a third
party.
Page 25

ABCP Market Trends

2007: Outstanding U.S. ABCP volume reached a record high in July 2007, hitting nearly $1.2 trillion.

August 2007 generally conceded to be the beginning of the Crash - U.S. ABCP outstandings fell 30%
by year end 2007

2004-2007 Volume Growth was fueled by Market Value Programs - which rely on the liquidity and
viability of Term ABS markets for refinancing and for asset valuation, specifically:
9 Extendible ABCP programs (particularly Mortgage Backed), and
9 SIVs

As the crash in the subprime mortgage market came during the summer of 2007, Market Value
Programs were hit hard by shattered investor confidence and the lack of available liquidity
9 Most Extendible Note Programs were unable to roll paper and were subsequently forced to extend
ABCP with existing noteholders. Most of these programs have shut down.
9 SIVs were impacted on both the asset side (declining values due to marks on collateral) and the
liability side (lack of liquidity drove higher funding costs). As asset values declined and liquidity
dried up, all SIVs have either ended up on the balance sheets of bank sponsors or defaulted.

Page 26

Six
ABCP Market Today

Page 27

The ABCP Market Today

Liquidity Crunch subsided for most of 2008 until September, after which it was extreme until US
government liquidity support moves stabilized the market again (late October).

Flight to Quality: Liquidity challenges in 2007 and 2008 eliminated most alternative ABCP programs. For
the foreseeable future the programs that will be favored will be those bank-sponsored, multi-seller
programs covered by traditional liquidity facilities backed by well-diversified portfolios managed by
strong, experienced Sponsors

Market Tiering: Similar to what has occurred in the term ABS market, recent market volatility has also
resulted in tiering among ABCP issuers with the strongest, most experienced sponsors as well as
higher and more stable bank counterparty ratings, getting the best pricing

Death of substantially all Market Value Programs: Market value programs (mainly SIVs) are not likely to
recover soon if at all, as the market value model on which these programs have relied no longer
appears viable

Page 28

The ABCP Market Today

Death of most arbitrage programs These were set up to fund Aaa/AAA structured finance securities.
Lack of stability of Aaa/AAA ratings had undermined these

Spread Widening noted throughout 2008 and extreme levels in September has subsided

Credit issues with counterparties and the sudden Lehman bankruptcy created obvious issues several
MMFs Broke the Buck.

The various US federal sponsored programs CPFF and AMLF mainly, are the critical presence in the
market supporting liquidity and smooth trading of all CP, and more particularly ABCP

> 20% of ABCP is held by CPFF

Page 29

What a long strange trip it has been!

1,400

Corporate CP ( + )
April 1995
$ 588
November 2000
$ 986
September 2003
$ 605
February 2008
$1,036
October 2008
$ 871
(billions)

1,200

Outstandings ($ Billions)

1,000

800

+
600

ABCP ( * )
April 1995
December 2002
September 2004
July 2007
October 2008
(billions)

400

200

*
0
Mar-95

Mar-96

Mar-97

Mar-98

Mar-99

Mar-00

Mar-01

Mar-02

Mar-03

Mar-04

Mar-05

Mar-06

$ 68
$ 695
$ 649
$1,186
$ 712

Mar-07

Mar-08

Source: Moodys Investors Service 3Q08

Page 30

The U.S. ABCP Market and Prime Money Funds

2400
US CP Outstanding ( * )
April 1995
$ 657
December 2000
$1,606
December 2003
$1,289
July 2007
$2,161
October 2008
$1,584

2100

Outstanding $ Billions

1800

1500

*
1200

900
600
300

*
+

US Prime Money Funds ( + )

April 1995
$ 379
November 2001
$1,577
June 2005
$1,165
August 2008
$2,042
October 2008
$1,542

0
Mar-95 Mar-96 Mar-97 Mar-98 Mar-99 Mar-00 Mar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08
Source: Moodys Investors Service 3Q08

Page 31

The Crash

July 2007, rating agencies made unexpected rating cuts to several hundred Subprime RMBS.
Downgrade actions made pricing of whole loan mortgage collateral unreliable, leading to margin calls
under repos.

August 2007
9 American Home (a Subprime and Alt-A mortgage REIT) files, Broadhollow (a single-seller
extendible ABCP conduit) extends
9 Extendible ABCP market collapses
9 SIVs, CDOs can no longer fund

March 2008
9 Bear Stearns acquired by JPMorgan

September 2008
9 Lehman files for bankruptcy
9 Reserve Fund breaks the buck, Putnam liquidates

Page 32

Interest Rates Diverge

7.0

30-Day Interest Rates

LIBOR 6.30%
6.0

5.0

ABCP 5.55%
4.0

3.0

Financial CP 3.20%
2.0

1.0

LIBOR
ABCP
Financial CP
Non-Financial CP

Jun. 07
5.32
5.28
5.24
5.24

Aug. 07
5.90
6.23
5.30
5.19

Sep. 08
5.30
5.55
3.20
1.99

Non-Financial CP 2.29%

Nov. 08
3.55
2.58
2.52
1.19

Jan-98

May-99

Sep-00

Feb-02

Jun-03

Nov-04

Mar-06

Aug-07

Dec-08

Source: Moodys Investors Service 3Q08

Page 33

 and Are Volatile

7.0

Fed Funds and Overnight ABCP

6.0
August 22, 2007
ABCP 5.69%
Fed Funds 4.91%

5.0

4.0

September 17, 2008

ABCP 5.69%
Fed Funds 2.25%

3.0

2.0
October 31, 2008
ABCP 1.68%
Fed Funds 0.82%

1.0

6-Dec-99

19-Apr-01

1-Sep-02

14-Jan-04

28-May-05

10-Oct-06

22-Feb-08

6-Jul-09

Source: Moodys Investors Service 3Q08

Page 34

Investors React to Events

1,400,000,000

Prime Money Funds

1,200,000,000

Institutional
1,000,000,000

800,000,000

Sept. 16
Sept. 23
Sept. 30

$1.078 trillion
$ 827 billion
$ 768 billion

Nov. 4

$ 778 billion

600,000,000

Retail

400,000,000

April 22 $409.7 billion

Nov. 4 $375.7 billion

200,000,000

0
1-Jan-07

11-Apr-07

20-Jul-07

28-Oct-07

5-Feb-08

15-May-08

23-Aug-08

1-Dec-08

Source: Moodys Investors Service 3Q08

Page 35

 and Seek Safety

1,400,000,000

Institutional Money Funds

1,200,000,000

Prime Funds
1,000,000,000

800,000,000

600,000,000

Government Funds
400,000,000

Prime Funds
Sep. 9
Nov. 4

200,000,000

Change

Gov't Funds

$1,192
779

$ 617
1,004

-413

+387
($ billions)

0
1-Jan-07

11-Apr-07

20-Jul-07

28-Oct-07

5-Feb-08

15-May-08

23-Aug-08

1-Dec-08

Source: Moodys Investors Service 3Q08

Page 36

Government Response
FEDERAL RESERVE

ABCP Money Market Mutual Fund Liquidity Facility (AMLF)

Commercial Paper Funding Facility (CPFF)

Money Market Investor Funding Facility (MMIFF)

OTHER

Temporary Liquidity Guaranty Program expands FDIC deposit guaranty provides guaranty for newly
issued debt

Temporary Guarantee for Money Market Funds

Treasury guarantee for one year

Page 37

Federal Reserve Facilities for CP

AMLF

CPFF

MMIFF

Announced

Sep. 19, 2008

Oct. 7, 2008

Operational

Sep. 19, 2008

Oct. 27, 2008

Type of Facility

Loan

Purchase

Purchase

Assets (all P-1)

ABCP from MMMF

CP, ABCP

Financial CP

Counterparty

Banks

Issuers

2a-7 Funds

Cost

Primary Credit Rate

OIS + 200/300

90% cash / 10% CP

Size

None stated

Max Jan-Aug 08

$600 billion

Terminates

Jan. 30, 2009

Apr. 30, 2009

Apr. 30, 2009

Outstanding

$85.1 billion

$243.3 billion

Page 38

Oct. 21, 2008

Actions by Other Central Banks

Special liquidity schemes set up

9 attempt to mitigate damage caused by liquidity crisis

Bank of England
9 Special Liquidity Scheme and Discount Window Facility

ECB
9 accepts ABCP as eligible collateral in order to facilitate short-term lending to banks

Page 39

Largest U.S. ABCP Programs

Program Name
Sheffield Receivables Corporation
Gemini Securitization Corp LLC
CAFCO, LLC
CIESCO, LLC
CHARTA, LLC
FCAR Owner Trust
Ranger Funding Company LLC
Barton Capital LLC
Old Line Funding LLC
Falcon Asset Securitization LLC
Yorktown Capital LLC
Variable Funding Capital Corporation
Atlantic Asset Securitization LLC
Galleon Capital LLC
Park Avenue Receivables Company LLC
Clipper Receivables LLC
Jupiter Securitization Company LLC
CRC Funding LLC
Windmill Funding Corporation
DAKOTA CP Notes Program

Administrator
Barclays Bank PLC
Deutsche Bank AG
Citibank, N.A.
Citibank, N.A.
Citibank, N.A.
Ford Motor Credit Company
Bank of America, N.A.
Socit Gnrale
Royal Bank of Canada
JPMorgan Chase Bank
Bank of America, N.A.
Wachovia Bank, N.A.
Calyon
State Street Global Markets LLC
JPMorgan Chase Bank
State Street Global Markets LLC
JPMorgan Chase Bank
Citibank, N.A.
ABN AMRO Bank N.V.
Citibank, N.A.

Outstandings ($000)
20,481
18,606
16,895
15,153
14,575
13,618
13,508
13,080
12,620
11,911
11,769
11,754
11,662
11,511
11,121
10,250
10,097
9,625
9,552
9,000

Source: Moodys Investors Service 3Q08

Page 40

Top 20 U.S. Administrators

Administrator
Citibank, N.A.
Bank of America, N.A.
JPMorgan Chase Bank
Barclays Bank PLC
Deutsche Bank AG
State Street Global Markets LLC
Royal Bank of Canada
ABN AMRO Bank N.V.
Bank of Tokyo-Mitsubishi UFJ
Ford Motor Credit Company
Socit Gnrale
Wachovia Bank, N.A.
Calyon
Hudson Castle Group Inc.
WestLB AG
Credit Suisse
BNP Paribas
Bank of Nova Scotia
General Motors Acceptance Corp.

Outstandings ($000)
82,030
49,313
33,183
26,799
25,070
21,761
19,422
17,670
14,572
13,618
13,080
11,754
11,662
10,827
10,688
8,982
8,054
7,719
7,100
Source: Moodys Investors Service 3Q08

Page 41

U.S. Conduit Change in Asset Types

Asset Type

Oct-08

Aug-07

Change

Floorplan Finance

14,303

9,834

45.40%

Consumer Auto

67,268

66,642

0.90%

Credit Cards

59,143

61,456

-3.80%

Commercial Loans

43,942

44,470

-1.20%

Trade Receivables

42,180

43,914

-3.90%

6,095

9,959

-38.80%

Student Loans

43,637

41,584

4.90%

CBO & CLO

14,815

32,865

-54.90%

Residential Mortgages

13,484

39,353

-65.70%

Total

304,868

350,077

-12.90%

Total Outstandings

374,668

455,361

-17.70%

Percent of All Outstandings

81.40%

76.90%

Commercial Mortgage Loans

Source: Moodys Investors Service 3Q08

Page 42