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  • 1. GLGi: Structured Investment Vehicles (SIVs) Jay Eisbruck
  • 2.
    • Council Member Biography
    • Jay Eisbruck was the Managing Director of Moodys Asset-Backed Finance Group, until November 2007. Jay had worked with Moody's since 1991 managing the credit analysis of all non-residential mortgage Asset-Backed Securities. During this time Mr. Eisbruck analyzed the quantitative, qualitative, structural, and legal risks of over 70 different asset classes including whole business securitization, reverse mortgages, credit cards, autos loans, intellectual property, insurance-related assets, and aircraft leases. He currently is focusing his efforts on aiding the development of new assets. Mr. Eisbruck also contributed to a number of articles on structural innovations and general trends in the asset-backed market. His article on the rating approach to intellectual property assets was included in the Wiley and Co. publication, From Ideas to Assets, Mr. Eisbruck earned both a MBA in Finance and a B.S. in Economics from New York Universitys Stern School of Business, where he was a Racoosin Scholar.
  • 3.
    • Topics
    • What is a SIV?
    • How are they rated?
    • What went wrong?
    • Future outlook
    • How are structured transactions purchased by SIVs rated?
  • 4.
    • About GLG Institute
    • GLG Institute (GLGi SM ) is a professional organization focused on educating business and investment professionals through in-person meetings. It is designed to revolutionize the professional education market by putting the power of programming into the hands of the GLG community.
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  • 5.
    • Gerson Lehrman Group Contacts
    • Aaron Liberman
    • Managing Director, Sales and Marketing
    • Gerson Lehrman Group
    • 850 Third Avenue, 9th Floor
    • New York, NY 10022
    • 212-984-3684
    • [email_address]
    • Carly Pisarri
    • Process Manager
    • Gerson Lehrman Group
    • 850 Third Avenue, 9th Floor
    • New York, NY 10022
    • 212-750-1435
    • [email_address]
  • 6.
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  • 7. An Introduction to Structured Investment Vehicles Presentation by Jay Eisbruck
  • 8. Agenda
    • What is a SIV?
    • How are they rated?
    • What went wrong?
    • Future outlook
    • How are structured transactions purchased by SIVs rated?
  • 9. Part 1-What is a Structured Investment Vehicle?
    • SIVs are investment vehicles that fund a diversified portfolio of assets by issuing:
      • Commercial paper (CP)
      • Medium term notes (MTNs)
      • Capital
    • Generate yield on portfolio by managing:
      • Credit risks (Aa vs. Aaa/P-1)
      • Liquidity/funding risks
    • Exhibit characteristics of both structured transactions and operating companies
  • 10. History
    • First SIVs created in late 1980s-Alpha and Beta Finance Corps created by Citibank
    • Sophistication grows over time
      • Dynamic capital structures
      • Alternative liquidity
      • Synthetic exposures
    • To date approximately 36 SIVS have been launched including 6 SIV-Lites
    • As of August 2007 SIVs held over $400 billion of assets (Largest $55 billion)
  • 11. Structure
    • Set up to be bankruptcy remote
    • Established in beneficial tax jurisdiction (Cayman Islands, Jersey)
    • Can issue
      • Euro CP
      • US CP
      • MTNs
      • Subordinated debt
      • Equity
    • SIV investments run by manager
      • Operating manual
  • 12. Typical SIV Structure SIV Manager Custodian Derivative Counterparties Liquidity Providers Security Trustee SIV Board of Directors Assets Senior Liabilities CP & MTN Investors CP & MTN Dealers Issuer and Paying Agents Capital Note Investors Capital SIV Source: DerivativeFitch
  • 13. The Asset Portfolio
    • Guidelines set to maintain senior and sub ratings
      • Limits on individual assets
      • Limits on portfolio assets
      • Limits on unrated assets
      • Hedging with investment grade counterparties
  • 14. Sample Asset Guidelines Additional concentration limits are imposed dynamic