Knowledge (XXG)

Structured investment vehicle

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housing prices were constantly increasing, borrowers with inadequate income could cover mortgage repayments by borrowing further money against increased value of their house. This somewhat fictitious good payment record, which may be obvious if it was monitored by a bank manager, fed into the mathematical model of rating agencies whose weakness was exposed when the housing market start to tank. The credibility of credit assessment provided by rating agencies was further eroded when it was revealed that they took a cut in the sales of securitised bonds which they themselves rated. When the entire spectrum of bundled loans from sub prime to premium AAA start to under-perform against statistical expectations, the valuation of assets held by SIVs became suspect. SIVs suddenly found it difficult to sell commercial paper while their previously sold commercial paper neared maturity. Moreover, their supposedly prime rated assets could be sold only at a heavy discount. In effect, this preciptaed a run on the entire non-bank system and since the banks relied on the SIVs and other non-banks for funding this also created a huge pressure on the banking system.
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managers. In securitised loan, those who originate the loan can immediately sell off the loan to SIVs and other institutional investors and these buyers of securitised loans are the ones who are stuck with credit risk. Therefore, in SIV intermediation, there is the same incentive to assess credit risk of borrowers, as they expect to hold the asset to maturity. However, the loan originators', typically a Bank's, reward is structured so that as more loans are made and sold wholesale, more commission will be earned. So there is little need for bank originators to monitor their borrowers' credit risk. The monitoring was the responsibility of the end investor in the securitised tranches and, theoretically, the rating agencies. While most SIVs were able to make good credit decisions for their portfolios and did not experience any credit losses from securitisations, some invested in Sub prime US RMBS.
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financial condition, separate good borrowers from bad ones and provide individually tailored adjustments. SIVs, on the other hand, are staffed by investment managers, who assess the content of pools of securitized loans, but not the individual loans. The banks were exposed to first loss risks while the SIVs were only exposed to last loss risk. The ratings on the most shaky types of sub prime securitisations were exposed when it turned out that complicated mathematical models, which is used to rate securitized loan, made fundamental assumptions that turned out to be wrong. The most significant among these assumptions were the trends in U.S. housing prices which declined far faster, deeper and broader than statistical model predicted.
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quality. Beta had leverage of up to 10 times capital but leverage was based on risk weightings of the assets. In 1993, Sossidis and Partridge-Hicks left Citigroup to form their own management firm, Gordian Knot, located in London's Mayfair. "Alpha Finance was created in response to volatility in the capital markets at the time. Investors wanted a highly-rated vehicle that would yield more stable returns on their capital, said Henry Tabe, a managing director for Moody's Investors Service's London office." Henry Tabe provides further historical background in his book on how SIVs unravelled during the crisis and lessons that can be learned from the sector's extinction.
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seeks to 'arbitrage' credit by issuing debt or debt-like liabilities and purchasing debt or debt-like assets, and earning the credit spread differential between its assets and liabilities. Much of an SIV's portfolio may consist of asset-backed securities." However, Portnoy's quote is misleading, in reality there is no such "arbitrage", the SIV is acting like any old fashioned spread banker, seeking to earn a spread between its income on assets and cost of funds on liabilities. It earns this spread by accepting two types of risk: a credit transformation (lending to AA borrowers while issuing AAA liabilities) and a
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on-demand (1 day) deposits; however, in extreme circumstances like the 2007-8 credit crunch, the worried usual buyers of CP, facing liquidity worries, might buy more secure bonds such as government bonds or simply put money in bank deposits instead and decline to buy CP. If this happens, facing maturity of short term CP which was sold previously, SIV might be forced to sell their assets to pay off the debts. If the price of asset in depressed market is not adequate to cover the debt, SIV will default.
157:(ABSs) expensive for a bank, depending on the ratings assigned by one of the Government sponsored ratings agencies. ABS's that were able to attain a rating of AA or AAA had capital requirements as low as 1.6% of the securities' size (8%x20%), allowing for higher leverage than would have been allowed otherwise. Bank capital securities, such as dated subordinated debt could be weighted as highly as to amount to a deduction from capital. That is to say all the investment would be funded from capital. 530: 656: 285:, bundling of loans creates statistical predictability. Credit agencies then allocate each bundle of loans into several risk categories and provide statistical risk assessment for each bundle in similar manner to how insurance companies assign risk. At this point, the bundle of small loans is transformed into a financial commodity and traded on the money market as if it were a share or bond. The bonds usually selected by a SIV are predominantly (70-80%) Aaa/AAA rated 366:), and by the start of September the market was almost completely illiquid. That showed how risk-averse CP investors had become even though SIVs contain minimal sub-prime exposure and as yet had suffered no losses through bad bonds. It's a matter of debate, however, whether this risk aversion was a matter of prudence or misunderstanding by the CP market or contamination by a few SIVs that had Sub Prime exposure of the many that had little or no Sub Prime risk. 875: 782: 704: 689: 671: 641: 626: 578: 548: 842: 767: 485: 827: 797: 593: 563: 500: 165:
those assets. If it could, market participants with low funding rates would simply purchase the financial assets directly, and capture the spread for themselves. Put more simply, if a vehicle purchases $ 100 million of asset-backed bonds, priced at par, with a coupon of seven percent, and it seeks to fund that purchase by borrowing $ 100 million, it should not be able to borrow at a rate lower than seven percent."
110:, while other SIV had no exposure to these products that are so linked to the financial crisis in 2008. After a slow start (there were only seven SIVs before 2000) the SIV sector tripled in assets between 2004 and 2007, and at their peak just before the financial crisis in mid 2007, there were about 36 SIVs with assets under management in excess of $ 400 billion. By October 2008, no SIVs remained active. 737: 336:
and past data with few assumptions like "the future will be similar to past". But to estimate the likelihood of mortgage default triggering defaults in auto loans is extremely difficult as past data points will miss that largely. So even if we assume some interaction effect was taken into consideration while pricing the SIV, it was far from accurate even mathematically from the beginning.
893: 752: 722: 611: 860: 812: 515: 197:(CP), medium term notes (MTNs) and public bonds to professional investors. SIVs had the highest ratings of AAA/Aaa, as a result of their very high quality portfolio requirements, almost zero exposure to interest rate and FX risk and large capital base (compared to traditional banks). This enabled them to borrow at interest rates close to the 433:(TAF), a special arrangement set up by the Federal Reserve Bank in December 2007 to help ease the credit crunch. It is reported that the banks have borrowed nearly $ 50 billion of one-month funds collateralized by "garbage collateral nobody else wants to take". The Fed continued to conduct the TAF twice a month to ensure 354:
crisis caused a widespread liquidity crunch in the CP market. Because SIVs rely on short-dated CP to fund longer-dated assets, they need to roll over their liabilities, just like Banks do. Unlike standard asset backed commercial paper conduits, SIVs do not have liquidity facilities that cover 100% of
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On the other hand, the money market for CP is far more volatile. There are no government guarantees for these products in case of default, and both sellers and lenders have equal power at setting the rate. This explains why the borrowing side of SIV consists of fixed term (30 to 270 days) rather than
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Central banks failed to heed Bagehot's dictum "to lend to all, against good collateral but at a penal rate" and to provide funding to the SIV during the liquidity crisis. They mistakenly believed that the SIVs were funded by the banks, not that the SIVs were a core part of funding the banking system
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of the banks that set them up – like asset management activity – escaping even indirect restraints through regulation even though the sponsoring banks usually provided some level of guarantee to investors in the SIV. Due to their structure, the assets and liabilities of the SIV were more transparent
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When a traditional deposit bank provide loans such as business lending, mortgage, overdraft or credit card, they are stuck with the borrowers for years or even decades. Therefore, they have incentive to assess the borrowers' credit risk and further monitor the borrowers finance through their branch
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There are number of crucial difference between SIV and traditional banking. The type of financial service provided by traditional deposit banks is called intermediation, that is the banks become intermediate (middlemen) between primary lenders (depositor) and primary borrowers (individual, small to
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Partnoy then questioned the economic theory of SIVs: "How is the SIV able to earn such an 'arbitrage' spread between its assets and liabilities? If the SIV is simply a vehicle for purchasing financial assets, it should not be able to fund purchases of those assets at a lower rate than the rate on
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from components as the interaction effects could not be estimated with similar accuracy as the independent effect. For example, if an SIV had mortgage as well as auto loans the probability of default in the mortgage part or auto part could be estimated more accurately with the law of large numbers
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These complex statistical analyses were supposed to function as a good substitute for risk monitoring provided by individual branch bank managers. Had the model been correct, these inadequately assessed loans would have been rated as high risk resulting in a lower price for the bond. However, when
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Portnoy's theory misses the simple fact that the SIVs raised capital from third party investors with which to enhance the liabilities so these were not simple pass-through structures. Those investors benefitted from the SIV raising funding on their behalf at lower rates than they could themselves
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called them "Limited Purpose Investment Companies" or "LiPICs". They are considered to be part of the non-bank financial system, which has two parts, the shadow banking system comprising the "bank sponsored" SIVs (which operated in the shadows of the bank sponsors' balance sheets) and the parallel
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announced they would rescue the SIVs they had sponsored and would consolidate them onto the banks' balance sheets. On 11 February 2008, Standard Chartered Bank reversed its pledge to support the Whistlejacket SIV. Deloitte & Touche announced that it had been appointed receiver for the failing
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wrote, "certain types of so-called 'arbitrage vehicles' demonstrate that companies are purchasing credit ratings for something other than their informational value. One example is the credit arbitrage vehicle, also known as a Structured Investment Vehicle (SIV). A typical SIV is a company which
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In 1988 and 1989, two London bankers, Nicholas Sossidis and Stephen Partridge-Hicks launched the first two SIVs for Citigroup, called Alpha Finance Corp. and Beta Finance Corp. Alpha had a maximum leverage of 5 times its capital with each asset requiring 20% of capital irrespective of its credit
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both via loans and through their investments in securitisations). Some mortgage loans even turned up to be liar's loans with some borrowers essentially being NINJA (No Income, No Job or Assets). In traditional banking, when a downturn occurred, branch managers could individually review clients'
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As of September 2007, one paper reported: "All SIVs to date have been established in either the Cayman Islands or Jersey so as to benefit from certain zero-tax regimes available in those jurisdictions. As mentioned, the SIV will usually also establish a subsidiary in Delaware to facilitate the
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Alpha's maximum leverage was five times. Beta's leverage was up to 10 times, depending upon the quality of its asset portfolio. Subsequent SIVs, such as Centauri and Dorada, raised the leverage to around 20 times. Typically banks are leveraged between 25 and 50 times, so most SIVs operated with
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On the lending side, traditional deposit banks directly deal with borrowers who seek business loans, mortgages, students loans, credit cards, overdrafts, etc. Each loan's credit risk are individually assessed and reviewed periodically. More crucially, the bank manager often maintains personal
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A 'loophole' in the Basel accords meant that banks could provide a liquidity facility to the SIV of up to 360 days without holding capital against it so long as it was undrawn. However these facilities typically represented only between 10% and 20% of the total balance sheet of the SIV.
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1 October 2004 Banker: Capital Markets: Team of the Month - Citigroup SIV Enters Uncharted Space - Citigroup Alternative Investments Last Month Launched A Pioneering Structured Investment Vehicle. It Boosts Leverage to the Subordinated Noteholder Without Really Increasing The
429:, which in August 2007 became the first UK bank to have substantial problems from being unable to issue mortgage securitisations to fund itself, was nationalized by the British government in February 2008. At the same time, U.S. banks began borrowing extensively from the 1100:
1 July 2005 Structured Finance International 28, Breathing in: tight asset spreads make life tough for SIV managers, but if spreads widen the sector should grow dramatically. Chris Dammers looks at how managers are coping in the current environment, and talks to the new
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On 2 October 2008 the Financial Times reported that Sigma Finance, the last surviving and oldest of the SIVs has collapsed and entered liquidation. Note that Sigma Finance actually disclaimed the SIV label and referred to itself as a "Limited Purpose Finance Company".
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Though the assumption of ever increasing housing prices was the fundamental problem, there were other mathematical / statistical problems too. This is particularly important to prevent such things from happening again. There was an error in estimating the aggregate
146:(borrowing short while lending long). The scale of both transformations were considerably less than traditional banks, and leverage was also typically half to a quarter of that used by banks, so the risks were less and the returns available were also much lower. 305:
of the SIV may be at risk if the value of the long-term security that the SIV has bought falls below that of the short-term securities that the SIV has sold. Banks typically avoid this risk by not marking to market their loan portfolios. Second, there is a
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Upon review, it is evident that the credit risk assessment conducted by these forms of lending was far more inadequate than with the traditional lending done by deposit banks (although many large traditional Banks turned out to be over-exposed to
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At the end of 2004, there were 18 operational SIVs that managed assets then valued at a total of $ 147 billion. At the end of 2005, according to Standard & Poor's, SIVs represented more than $ 200 billion of assets under management.
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ratio ranging from 10 to 15 times. The senior debt is invariably rated AAA/Aaa/AAA and A-1+/P-1/F1 (usually by two rating agencies). The junior debt may or may not be rated, but when rated it is usually in the BBB area. There may be a mezzanine
310:, as the SIV borrows short term and invests long term; i.e., outpayments become due before the inpayments are due. Unless the borrower can refinance short-term at favorable rates, he may be forced to sell the asset into a depressed market. 205:
with credit ratings of between AAA and BBB. These assets earned higher interest rates, typically 0.25% to 0.50% higher than the cost of funding. The difference in interest rates represents the profit that the SIV pays to the
62:, which were usually rated AAA until the onset of the financial crisis. They did not expose themselves to either interest rate or currency risk and typically held asset to maturity. SIVs differ from 239:
combination of medium-term notes (MTN) and commercial paper (CP). The junior debt traditionally comprises puttable, rolling 10-year bonds, but shorter maturities and bullet notes became more common.
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their outstanding CP. Instead, a SIV's safeguard against being unable to issue new CP to repay maturing paper is being able to sell their assets, which were until then both highly rated and liquid.
281:. Instead of assessing individual credit risk, loans (for example, mortgage or credit card) are bundled with thousands (or tens of thousands or more) of the same type of loans. According to the 121:, at lower rates and then use that money to buy longer term securities at higher margins, earning the net credit spread for their investors. Long term assets could include, among other things, 193:(i.e. it does not accept deposits). Instead of gathering deposits from the public, it borrows cash from the money market by selling short maturity (often less than a year) instruments called 173:
leverage of approx half that of traditional banks. By 2004, Sedna was offering notes that were leveraged over 100 times that attempted to achieve a spread of 10% or more in the medium term.
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and so avoid paying tax and escape the regulation that banks and finance companies are normally subject to. In addition, until changes in regulations around 2008, they could often be kept
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between the longer-term assets held in its portfolio and the shorter-term liabilities it issues. They are simple credit spread lenders, frequently "lending" by investing in
293:(MBSs). However, credit losses among the SIVs were very low until the last SIV entrants into the market invested in US Sub-prime. Most SIVs experienced no credit losses. 1062:
The Unravelling of Structured Investment Vehicles: How Liquidity Leaked Through SIVs (Lessons in Risk Management and Regulatory Oversight), Thoth Capital, November 2010
377:. Others are believed to be receiving support from their sponsoring banks. It is notable that even among "failed" SIVs there have still been no losses to CP investors. 950: 181:
issuance of debt in the US domestic market. The debt issued in the US will either be guaranteed by the offshore parent, or co-issued by the SIV and the subsidiary."
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The strategy of SIVs is the same as traditional credit spread banking. They raise capital and then lever that capital by issuing short-term securities, such as
463:(CPFF), created under the TARP legislation became available to CP borrowers on 27 October 2008. However, by this time there were no SIVs left to rescue. 269:
In more traditional deposit banking, bank deposits are often guaranteed by the government. Regulators assume that deposits are stable as a consequence.
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that might prevent the SIV from refinancing its CP debt. To the extent that the SIV invests in fixed rate assets, it hedges against interest-rate risk.
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In order to support their high senior ratings, SIVs were obliged to obtain significant capital and liquidity facilities (so-called
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medium size business, mortgage holder, overdraft, credit card, etc.). SIVs do exactly the same, "in effect", providing funds for
223: 125:(RMBS), collateralized bond obligation, auto loans, student loans, credit cards securitizations, and bank and corporate bonds. 915: 190: 67: 39: 452:
by investing in the senior tranches of securitization and bank capital securities. This exacerbated the liquidity crisis.
201:, the rate at which banks lend to each other. The gathered funds are then used to purchase long term (longer than a year) 1216: 91: 958: 1260: 107: 1195: 1006:. National Commission on the Causes of the Financial and Economic Crisis in the United States. 2011. p. 252. 394: 370: 388:). This plan was abandoned in December 2007 and served to contaminate the entire sector. Instead, banks such as 345: 290: 410: 143: 87: 930: 332: 71: 920: 430: 286: 211: 154: 63: 1169: 1036: 247: 246:
facilities) from banks to cover some of the senior issuance. This helps to reduce investor exposure to
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http://www2.standardandpoors.com/portal/site/sp/en/us/page.article_print/2,1,1,0,1031342466642.html
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oversight over these borrowers. In contrast, SIV lending is conducted through the process known as
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Donna Mitchell, SIV market grows, so do SIV-lites', 21 August 2006 Asset Securitization Rep.
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subsidiary which had been one of the six largest SIVs in 2007, went into liquidation.
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In October 2007 the U.S. government announced that it would initiate (but not fund) a
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The risks that arise are the same that Banks have always faced: First, the
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banking system, made up from independent (i.e. non-bank-aligned) sponsors.
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The short-term securities that a SIV issues often contain two tiers of
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Centauri Dorada Five Finance Sedna Finance Vetra Finance Zela Finance
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than traditional banks for investors. SIVs were given the label by
514: 198: 419:'s fourth-quarter 2007 earnings fell 95% due to SIV investments. 951:"Citi Agrees to Acquire SIV Assets for $ 17.4 Billion (Update1)" 445: 1063: 169:
due to the tight criteria required by the rating agencies.
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Valerie Bauerlin, Andrew Edwards (24 January 2008).
397:has $ 80 million invested in Whistlejacket. 189:A SIV may be thought of as a very simple virtual 210:holders part of which return is shared with the 1121:"Bank of America barely profitable; $ 5.3B hit" 106:. Some SIVs had significant concentrations in 467:List of Structured Investments Vehicles (SIVs) 1170:"US banks borrow $ 50bn via new Fed facility" 423:' earnings fell 98% during the same quarter. 8: 1019:"$ 400bn SIV market sold off in two years" 470: 153:regulations made holding bank capital and 1037:"Sigma collapse ends shadow bank project" 942: 102:in 1988, SIVs were large investors in 926:Asset-backed commercial paper program 7: 1217:"Sigma collapse marks end of an era" 867:Premier Asset Collateralised Entity 633:Eaton Vance Variable Leveraged Fund 386:Master Liquidity Enhancement Conduit 123:residential mortgage-backed security 74:and have an active management team. 1000:The Financial Crisis Inquiry Report 713:Cullinan Finance Solitaire Funding 1168:Gwen Robinson (18 February 2008). 957:. 19 November 2008. Archived from 77:They are generally established as 25: 1076:Partnoy, Frank (September 1999). 615:Dresdner Kleinwort (Commerzbank) 461:Commercial Paper Funding Facility 117:and medium term notes and public 891: 873: 858: 840: 825: 810: 795: 780: 765: 750: 735: 720: 702: 687: 669: 654: 639: 624: 609: 591: 576: 561: 546: 528: 513: 498: 483: 1215:Gillian Tett (2 October 2008). 1123:. cnnmoney.com. 22 January 2008 973:"Structured Investment Vehicle" 68:collateralized debt obligations 916:Collateralized debt obligation 409:defaulted on its maturing CP. 235:rated A. The senior debt is a 191:non-bank financial institution 40:non-bank financial institution 27:Non-bank financial institution 18:Structured investment vehicles 1: 1144:"Loans Gone Bad Hit SunTrust" 1017:Neate, Rupert (7 July 2009). 362:widened to as much as 100bp ( 340:2007 Subprime mortgage crisis 70:in that they are permanently 32:structured investment vehicle 693:HBOS (Lloyds Banking Group) 226:, junior and senior, with a 373:—have fallen victim to the 266:through securitised bonds. 50:, but also by investing in 1277: 975:. Askville. Archived from 369:Several SIVs—most notably 343: 291:mortgage-backed securities 645:Eiger Capital Management 395:Orange County, California 900:Harrier Finance Funding 729:Carrera Capital Finance 405:On 14 January 2008, SIV 346:Subprime mortgage crisis 1148:The Wall Street Journal 831:NSM Capital Management 567:Ceres Capital Partners 522:Axon Financial Funding 413:downrated debt to "D". 384:bailout fund (see also 287:asset-backed securities 155:asset-backed securities 144:maturity transformation 64:asset-backed securities 54:and funding by issuing 931:Special-purpose entity 882:Whistlejacket Capital 804:Hudson-Thames Capital 555:Sheffield Receivables 519:Axon Asset Management 333:probability of default 42:established to earn a 921:Shadow banking system 786:Lloyds Banking Group 660:Fortis (BNP Paribas) 431:Term auction facility 411:Standard & Poor's 108:US subprime mortgages 88:Standard & Poor's 83:off the balance-sheet 507:Nightingale Finance 459:The US Government's 401:Developments in 2008 283:law of large numbers 149:The introduction of 1023:The Daily Telegraph 879:Standard Chartered 834:Abacas Investments 358:In August 2007, CP 137:In 1999, Professor 1261:Structured finance 979:on 10 January 2014 759:Rhineland Funding 248:market disruptions 212:investment manager 79:offshore companies 961:on 13 March 2010. 907: 906: 864:Societe Generale 819:Cortland Capital 696:Grampian Funding 570:Victoria Finance 539:Parkland Finance 534:Bank of Montreal 60:medium term notes 16:(Redirected from 1268: 1233: 1232: 1230: 1228: 1212: 1206: 1205: 1192: 1186: 1185: 1183: 1181: 1165: 1159: 1158: 1156: 1154: 1139: 1133: 1132: 1130: 1128: 1117: 1111: 1108: 1102: 1098: 1092: 1088: 1082: 1081: 1073: 1067: 1060: 1054: 1051: 1045: 1044: 1033: 1027: 1026: 1014: 1008: 1007: 1005: 995: 989: 988: 986: 984: 969: 963: 962: 947: 902:Kestrel Funding 896: 895: 878: 877: 863: 862: 845: 844: 830: 829: 815: 814: 800: 799: 785: 784: 770: 769: 755: 754: 740: 739: 725: 724: 711:Asscher Finance 707: 706: 692: 691: 674: 673: 663:Scaldis Capital 659: 658: 644: 643: 629: 628: 614: 613: 596: 595: 581: 580: 566: 565: 551: 550: 533: 532: 518: 517: 503: 502: 488: 487: 471: 442:Cullinan Finance 435:market liquidity 407:Victoria Finance 375:liquidity crisis 195:commercial paper 115:commercial paper 56:commercial paper 21: 1276: 1275: 1271: 1270: 1269: 1267: 1266: 1265: 1251: 1250: 1242: 1237: 1236: 1226: 1224: 1221:Financial Times 1214: 1213: 1209: 1194: 1193: 1189: 1179: 1177: 1174:Financial Times 1167: 1166: 1162: 1152: 1150: 1141: 1140: 1136: 1126: 1124: 1119: 1118: 1114: 1109: 1105: 1099: 1095: 1089: 1085: 1075: 1074: 1070: 1064:leakingSIVs.com 1061: 1057: 1052: 1048: 1043:. October 2008. 1041:Financial Times 1035: 1034: 1030: 1016: 1015: 1011: 1003: 997: 996: 992: 982: 980: 971: 970: 966: 949: 948: 944: 939: 912: 890: 872: 857: 839: 824: 809: 794: 779: 764: 749: 734: 719: 701: 686: 668: 653: 638: 623: 608: 590: 585:Cheyne Finance 582:Cheyne Capital 575: 560: 545: 527: 512: 497: 492:Amstel Funding 482: 469: 417:Bank of America 403: 348: 342: 299: 220: 187: 131: 52:corporate bonds 48:securitizations 28: 23: 22: 15: 12: 11: 5: 1274: 1272: 1264: 1263: 1253: 1252: 1249: 1248: 1241: 1240:External links 1238: 1235: 1234: 1207: 1201:Bloomberg News 1187: 1160: 1134: 1112: 1103: 1093: 1083: 1068: 1055: 1046: 1028: 1009: 990: 964: 941: 940: 938: 935: 934: 933: 928: 923: 918: 911: 908: 905: 904: 898: 887: 886: 880: 869: 868: 865: 854: 853: 851:Tango Finance 847: 836: 835: 832: 821: 820: 817: 806: 805: 802: 791: 790: 789:Cancara Asset 787: 776: 775: 772: 761: 760: 757: 746: 745: 742: 731: 730: 727: 716: 715: 709: 698: 697: 694: 683: 682: 680:Theta Finance 678:Sigma Finance 676: 665: 664: 661: 650: 649: 648:Orion Finance 646: 635: 634: 631: 620: 619: 616: 605: 604: 598: 587: 586: 583: 572: 571: 568: 557: 556: 553: 542: 541: 537:Links Finance 535: 524: 523: 520: 509: 508: 505: 494: 493: 490: 479: 478: 475: 468: 465: 421:SunTrust Banks 402: 399: 344:Main article: 341: 338: 308:liquidity risk 298: 295: 279:securitization 256:mortgage loans 219: 216: 186: 183: 130: 127: 104:securitization 26: 24: 14: 13: 10: 9: 6: 4: 3: 2: 1273: 1262: 1259: 1258: 1256: 1247: 1244: 1243: 1239: 1222: 1218: 1211: 1208: 1203: 1202: 1197: 1191: 1188: 1175: 1171: 1164: 1161: 1149: 1145: 1138: 1135: 1122: 1116: 1113: 1107: 1104: 1097: 1094: 1087: 1084: 1079: 1072: 1069: 1065: 1059: 1056: 1050: 1047: 1042: 1038: 1032: 1029: 1024: 1020: 1013: 1010: 1002: 1001: 994: 991: 978: 974: 968: 965: 960: 956: 952: 946: 943: 936: 932: 929: 927: 924: 922: 919: 917: 914: 913: 909: 903: 899: 894: 889: 888: 885: 881: 876: 871: 870: 866: 861: 856: 855: 852: 849:Atlantis One 848: 843: 838: 837: 833: 828: 823: 822: 818: 813: 808: 807: 803: 798: 793: 792: 788: 783: 778: 777: 774:Mane Funding 773: 768: 763: 762: 758: 753: 748: 747: 744:Morrigan TRR 743: 738: 733: 732: 728: 726:HSH Nordbank 723: 718: 717: 714: 710: 705: 700: 699: 695: 690: 685: 684: 681: 677: 675:Gordian Knot 672: 667: 666: 662: 657: 652: 651: 647: 642: 637: 636: 632: 627: 622: 621: 617: 612: 607: 606: 603: 599: 594: 589: 588: 584: 579: 574: 573: 569: 564: 559: 558: 554: 549: 544: 543: 540: 536: 531: 526: 525: 521: 516: 511: 510: 506: 501: 496: 495: 491: 486: 481: 480: 476: 474:Sponsor name 473: 472: 466: 464: 462: 457: 453: 449: 447: 443: 438: 436: 432: 428: 427:Northern Rock 424: 422: 418: 414: 412: 408: 400: 398: 396: 391: 387: 383: 378: 376: 372: 367: 365: 361: 360:yield spreads 356: 353: 350:In 2007, the 347: 339: 337: 334: 328: 324: 321: 320:mortgage risk 315: 311: 309: 304: 296: 294: 292: 288: 284: 280: 274: 270: 267: 265: 264:student loans 261: 257: 251: 249: 245: 240: 238: 234: 229: 225: 217: 215: 213: 209: 204: 200: 196: 192: 184: 182: 178: 174: 170: 166: 162: 158: 156: 152: 147: 145: 140: 139:Frank Partnoy 135: 128: 126: 124: 120: 116: 111: 109: 105: 101: 96: 93: 89: 84: 80: 75: 73: 69: 65: 61: 57: 53: 49: 45: 44:credit spread 41: 37: 33: 19: 1227:29 September 1225:. Retrieved 1220: 1210: 1199: 1190: 1180:29 September 1178:. Retrieved 1173: 1163: 1153:29 September 1151:. Retrieved 1147: 1137: 1127:29 September 1125:. Retrieved 1115: 1106: 1096: 1086: 1071: 1058: 1049: 1040: 1031: 1022: 1012: 999: 993: 981:. Retrieved 977:the original 967: 959:the original 954: 945: 901: 883: 850: 712: 679: 630:Eaton Vance 601: 538: 477:SIV conduit 458: 454: 450: 439: 425: 415: 404: 379: 368: 364:basis points 357: 351: 349: 329: 325: 316: 312: 300: 275: 271: 268: 260:credit cards 252: 241: 221: 208:capital note 188: 179: 175: 171: 167: 163: 159: 148: 136: 132: 112: 98:Invented by 97: 76: 35: 31: 29: 884:White Pine 289:(ABSs) and 224:liabilities 72:capitalized 937:References 597:Citigroup 237:pari passu 1025:. London. 983:25 August 955:Bloomberg 846:Rabobank 552:Barclays 489:ABN AMRO 440:In 2008, 382:Super SIV 352:sub-prime 244:back-stop 218:Structure 100:Citigroup 1255:Category 1223:. London 1196:"Stocks" 1176:. London 1101:entrants 910:See also 816:Natixis 390:Citibank 303:solvency 297:Problems 228:leverage 185:Overview 897:WestLB 233:tranche 151:Basel I 129:History 92:Moody's 38:) is a 393:fund. 371:Cheyne 1004:(PDF) 801:MBIA 741:Hypo 708:HSBC 600:Beta 203:bonds 199:LIBOR 119:bonds 1229:2008 1182:2008 1155:2008 1129:2008 985:2013 771:ING 756:IKB 504:AIG 446:HSBC 444:, a 66:and 58:and 1110:Id. 618:K2 36:SIV 1257:: 1219:. 1198:. 1172:. 1146:. 1039:. 1021:. 953:. 262:, 258:, 214:. 30:A 1231:. 1204:. 1184:. 1157:. 1131:. 1091:R 1080:. 1066:. 987:. 90:— 34:( 20:)

Index

Structured investment vehicles
non-bank financial institution
credit spread
securitizations
corporate bonds
commercial paper
medium term notes
asset-backed securities
collateralized debt obligations
capitalized
offshore companies
off the balance-sheet
Standard & Poor's
Moody's
Citigroup
securitization
US subprime mortgages
commercial paper
bonds
residential mortgage-backed security
Frank Partnoy
maturity transformation
Basel I
asset-backed securities
non-bank financial institution
commercial paper
LIBOR
bonds
capital note
investment manager

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