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Briefing
SIVs, Conduits and Asset-Backed Commercial Paper (ABCP)
Appears in:
North America, Finance and Banking, United States, Real Estate and Mortgage Finance, Securitization and Structured Finance
Background:
Structured Investment Vehicles (SIV) are mainly banks' off-balance sheet affiliates investing in long-term asset-backed securities by issuing short-term commercial paper (ABCP) at usually near LIBOR [SIV-lites invest in CDOs]. At the peak, conduits held roughly US$1,400 billion of assets worldwide, SIVs held about US$400 billion (and by November, US$320 billion), while SIV-lites held about US$12 billion. SIVs are so-called market value CDOs, meaning that they are meant to operate independently without credit lines from sponsor. When net asset value falls below a specified threshold (e.g. 70 cents on the dollar), the entire structure needs to be wind down. Large sponsors often prefer to back stop SIV even without legal requirement instead of realizing fire-sale losses on their balance sheets.
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Associated Readings
News
Bloomberg
Apr 30, 2009
Whistlejacket SIV’s $2.5 Billion of Assets Sold at 33% Discount
News
Bloomberg
Nov 19, 2008
Citi to Acquire Structured Vehicle Assets for $17.4 Billion
Analysis
IMF
Oct 07, 2008
Global Financial Stability Report; Financial Stress and Deleveraging: Macro-Financial Implications and Policy
Analysis
Reuters
Feb 07, 2008
Recovery for SIVs unlikely given Basel II rules - Panel discussion
Analysis
Federal Reserve Board
Oct 02, 2008
Commercial Paper Rates and Outstanding, realtime graph
Analysis
FitchRatings (free login)
Jan 29, 2008
Global Asset-Backed Commercial Paper: 2007 Review and 2008 Outlook
News
Bloomberg
Jan 16, 2008
SIV Bondholders See Value Fall by 47%, Moody's Says
Analysis
FitchRatings (free login)
Dec 17, 2007
SIVs Rating Performance Update – Issue 4
News
Bloomberg
November 26, 2007
HSBC Will Take on $45 Billion of Assets From Two SIVs - believes near-term resolution of the funding problems faced by the SIV sector is unlikely
Analysis
FitchRatings
Nov 15, 2007
SIVs — Assessing Potential Exposure of Sponsor Banks
Analysis
Fitch Ratings
Sep 19, 2007
The Rating Performance of Structured Investment Vehicles in Times of Diminishing Liquidity for Assets and Liabilities (free login)
Blogs
FT Alphaville
Sep 06, 2007
SIVs, beware the major capital loss test
Blogs
Sudden Debt
Sep 13, 2007
ImploSIVe Structures
Analysis
Fitch Teleconference
August 2007
Asset-Back Commercial Paper & Global Banks
Blogs
Fitch Rating
Sep 07, 2007
Editor Pick - Asset-Backed Commercial Paper & Global Banks Exposure - 10 Key Questions (free login)
RGE Writings
RGE Monitor
Jan 07, 2008
RGE Structured Finance Glossary – Making Sense of the Alphabet Soup
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