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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.
    • GLGi hosts hundreds of Seminars worldwide each year.
    • GLGi clients receive two seats to all Seminars in all Practice Areas.
    • GLGis website enables clients to:
      • Propose Seminar topics, agenda items and locations
      • View and RSVP to scheduled and proposed Seminars
      • Receive a daily briefing with new posts on your favorite tickers, subject areas and from trusted Council Members
      • Share Seminar details with colleagues or friends
  • 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.
    • IMPORTANT GLG INSTITUTE DISCLAIMER By making contact with this/these Council Members and participating in this event, you specifically acknowledge, understand and agree that you must not seek out material non-public or confidential information from Council Members. You understand and agree that the information and material provided by Council Members is provided for your own insight and educational purposes and may not be redistributed or displayed in any form without the prior written consent of Gerson Lehrman Group. You agree to keep the material provided by Council Members for this event and the business information of Gerson Lehrman Group, including information about Council Members, confidential until such information becomes known to the public generally and except to the extent that disclosure may be required by law, regulation or legal process. You must respect any agreements they may have and understand the Council Members may be constrained by obligations or agreements in their ability to consult on certain topics and answer certain questions. Please note that Council Members do not provide investment advice, nor do they provide professional opinions. Council Members who are lawyers do not provide legal advice and no attorney-client relationship is established from their participation in this project.
    • You acknowledge and agree that Gerson Lehrman Group does not screen and is not responsible for the content of materials produced by Council Members. You understand and agree that you will not hold Council Members or Gerson Lehrman Group liable for the accuracy or completeness of the information provided to you by the Council Members. You acknowledge and agree that Gerson Lehrman Group shall have no liability whatsoever arising from your attendance at the event or the actions or omissions of Council Members including, but not limited to claims by third parties relating to the actions or omissions of Council Members, and you agree to release Gerson Lehrman Group from any and all claims for lost profits and liabilities that result from your participation in this event or the information provided by Council Members, regardless of whether or not such liability arises is based in tort, contract, strict liability or otherwise. You acknowledge and agree that Gerson Lehrman Group shall not be liable for any incidental, consequential, punitive or special damages, or any other indirect damages, even if advised of the possibility of such damages arising from your attendance at the event or use of the information provided at this event.
  • 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