the upper left-hand side of the screen in Exhibit 5.6. The yield on commercial paper is higher than that on Treasury bill yields. Exhibit 5.7 presents a Bloomberg MMCV (money market curves) screen that plots two money market yield curves on May 31, 2001- dealer commercial paper (top top tier) and U.S. Treasury bill yields. There are three reasons for this relationship. First, the investor in commercial paper is exposed to credit risk. Second, interest earned from investing in     Treasury bills is exempt from state and local income taxes. As a result, commercial paper has to offer a higher yield to offset this tax advantage offered by Treasury bills. Finally, commercial paper is far less liquid than Treasury bills. The liquidity premium demanded is probably small, how- ever, because commercial paper investors typically follow a buy-and-hold strategy and therefore they are less concerned with liquidity. The yields offered on commercial paper track those of other money market instruments. Exhibit 5.8 is a time series plot of weekly observations (Fridays) of three-month commercial paper yields and three-month U.S. Treasury bills for the period of January 1, 1987 to December 31, 2000. The average spread between the two yields over this period was 54.5 basis points with a minimum of 12 basis points and a maximum of 221 basis points. The yield spread between commercial paper rates and Treasury bill rates widens considerably in times of financial crises when the markets risk aversion is piqued. For example, in August 1998 when the Russian govern- ment defaulted on its debt and devalued the rouble, the "paper-bill" spread for highly-rated non-financial companies widened from 45 basis points at the beginning of July (pre-crisis) to more than 140 basis points in October.2     ASSET-BACKED COMMERCIAL PAPER   Asset-backed commercial paper (hereafter, ABC paper) is commercial paper issued by either corporations or large financial institutions through a bankruptcy-remote special purpose corporation. Moodys reports that the amount of ABC paper outstanding surpassed half a tril- lion dollars during the first quarter of 2000.3 Exhibit 5.9 presents a Bloomberg MMR screen that presents rates for ABC paper by tier for maturities ranging from 1 day to 270 days. ABC paper is usually issued to finance the purchase of receivables and other similar assets. Some examples of assets underlying these secu- rities include trade receivables (i.e., business-to-business receivables), credit card receivables, equipment loans, automobile loans, health care