A structured investment vehicle (SIV) is a pool of investment assets that attempts to profit from credit spreads between short-term debt and long-term structured finance products such as asset-backed securities (ABS).
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SIV
“You give me that “Duration-My-Mismatch” crap, you can cram it your ass.”
| Docs |
Fund constitutions, prospectuses, commercial paper programmes, IMAs, subscription agreements, redemption gates: documentation galore, though none of it makes a damn of difference when the market won’t roll your paper. |
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| Amendability |
Nope. It’s CP. If you don’t like it, don’t roll it. |
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| Collateral |
Yeah well here’s the problem. Portfolios of mortgages. Secured, collateralised, diversified... and as illiquid as hell. Extra points for looking safer than it was. |
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| Transferability |
Some, in theory, but it is CP. It redeems in a month. Why transfer it? Just let it roll off. |
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| Leverage |
Not levered, as such, but a means of providing leverage. When you most want your money back, fast, you are least likely to get it. |
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| Fright-o-meter |
Before 2007: We have allocated risk to those in the market best placed to bear it. After: ARMAGEDDON. |
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A SIV, administered by a commercial bank or another asset manager such as a hedge fund, will issue asset-backed commercial paper (ABCP) to fund the purchase of these securities.
Structured investment vehicles are sometimes known as conduits.
See also
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