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Definition of a Run

Definition of a Run. Empirical Results. A substantial number of ABCP programs experienced a run in the last five months of 2007 About 30% of programs were in a run within weeks of the onset of the ABCP crisis (August 9 th , 2007)

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Definition of a Run

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  1. Definition of a Run

  2. Empirical Results • A substantial number of ABCP programs experienced a run in the last five months of 2007 • About 30% of programs were in a run within weeks of the onset of the ABCP crisis (August 9th, 2007) • Nearly 40% of programs were in a run at the end of 2007, and the odds of exiting were very low. • Declines in outstandings at programs experiencing runs accounted for most of the drop in ABCP outstanding in 2007.

  3. Empirical Results • Runs were not random but instead were significantly more likely at riskier programs – based on program characteristics, program type, sponsor type, and macro-financial variables. • For programs that could issue, yield spreads and maturities of new issues had explainable variation during the crisis and the determinants were similar to those that help explain runs.

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