The asset-backed commercial paper market saw an apparent spike in volume during the first two days of July. According to figures posted by the Federal Reserve, month-end outstandings in June came in at just below $720 billion, though the Fed reports outstanding ABCP at $734.7 billion for Wednesday July 2, implying a near $15 billion increase in just two days.
Whether or not this is reflective of an actual surge in issuance is unclear, as the last time numbers showed a significant and unexplained jump, the Fed subsequently footnoted the increase as a reporting anomaly (click for past coverage). The Fed’s numbers reflect data provided by the Depository Trust Company.
Two ABCP sources said the increase is possible, as the market has shown volume movement of that magnitude in the past. However, neither source — one being an ABCP trader — had actually witnessed the activity that would explain the increase.
As for the $720 billion month-end figure, ABCP volume declined roughly $17 billion from the close of May, while the overall CP market dropped nearly $57 billion.
During the same two-day period, overall CP increased $11.8 billion.
More to come...