The credit crisis

Author: | Published: 1 Oct 2007

In light of the recent upheavals in the structured investment vehicle (so-called Siv-Lites) and Asset-Backed Commercial Paper (ABCP) markets, sponsors have taken different approaches to restructuring their vehicles in an effort to eliminate so-called wind-down events that would cause the vehicle to stop investment and liquidate its portfolio at depressed prices.

In one recent example, a Siv-Lite issuer that issued commercial paper notes, mezzanine notes and capital notes was faced with the prospect of a wind-down due to breach of certain programme compliance tests, which had been triggered by the decline in market value of its investment portfolio and an increase in the interest rate spreads necessary to place its commercial paper notes. Without a quick restructuring, the...