Things will never be the same in the extendible note (EN) portion of the ABCP sector, and that is the way investors want it. The buy-side community made its wishes plain over the past two weeks, firmly refusing to buy much new extendible note ABCP debt, especially the sort that funded MBS and CDO debt via single-seller vehicles.
By press time last week, skittish investors had all but retreated from that corner of the ABCP market, destabilizing the sector and delivering one bad day after another. Consequently, EN paper volume, which stood at about $185 billion at last count, should be dramatically scaled back by the time the market normalizes again. Pushed to the heights of frustration, according to one market professional, some dealers took the drastic step of practically threatening investors: either roll paper at wider spreads or have the maturities extended anyway.