by Steven Stubbs, Aoto Kenmochi, CFA, and Raman Kalra Ph.D., Fitch Ratings

Fitch Ratings has observed a dramatic increase in the amount of outstanding U.S. asset-backed commercial paper (ABCP) that is being secured by unfunded capital commitments (UCCs) to private equity funds. As of December 31, 2006, over $5.4 billion of outstanding Fitch rated ABCP was secured by UCCs. This represents a 175% increase from January 2006 when only $1.9 billion of outstanding Fitch rated ABCP was secured by UCCs. As illustrated in the chart on this page, the amount of outstanding ABCP secured by this asset class has expanded at an average monthly rate of 8% during 2006.

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