Commercial paper is the "market" loaning money to companies - unsecured usually (no assets, just the faith of the company) in the short term (often 90 days or less).

I have been organizing my presentation for Friday on the Financial Crisis and came across the following interesting graph:
  Now how much of the change since September 2008 (the volatility change) is due to the #1 commercial paper dealer, Lehman Brothers, going out of business??  Hmm, I don't know but perhaps the evidence is circumstantial - I can't REALLY say for sure.  Sure begs the question though:  SOMETHING HAPPENED IN SEPTEMBER-2008!!!

Notice the change in volatility of ALL commercial paper from the mid-point of 2007 to today.  Of course, the nonfinancial lower grade commercial paper is out of this world.  THAT IS THE PROBLEM OF THE AUTO COMPANIES.  They have NO alternative!  There IS NO MARKET!!  They WILL NOT come out of bankruptcy as there is no market to loan them money!!!  Hard to understand if you are an ordinary citizen, I know.

Then there is the yield curve for commercial paper (from the Federal Reserve Bank at St. Louis:

  Notice you must have assets or your interest rates, going out 30 days even, are 5% minimum!!  Financial AA commercial paper are not even available!!!

GREAT SOURCE OF DATA THERE AT THE ST. LOUIS FED!!!