One of the lesser publicized, yet more dramatic, stories of this summer's liquidity crisis has been the literal shutdown of the asset-backed commercial paper market in Canada.
Why Canada? It has very little to do with the underlying asset quality, and almost entirely to do with how the market operates. Dominion (DBRS), the Canadian rating agency, has continued to give most ABCP prime (investment grade) credit ratings, in spite of the fact that there was never any liquidity backstop from banks in the case of market turmoil. Standard & Poor's doesn't have the same policy, and for good reason, as a liquidity backstop for a CP program is an investor's only assurance of timely repayment.
Good thing the Canadian market is only about US$32 billion (as compared with almost US$2 trillion for all of the USCP market), although that has not meant any less angst and anxiety for market participants.