Structured Investment Vehicle

Definition:

Ein Special Purpose Vehicle, das den Ankauf von hoch gerateten Assets (meistens ABS, MBS) durch die Emission von Medium Term Notes (MTNs), Commercial Paper (CPs) und Eigenkapital (sogenannten Capital oder Income Notes) finanziert.

Der Zweck eines Structured Investment Vehicle (SIV) liegt darin, eine positive Credit- und Ratingarbitrage zwischen dem hochgerateten Assetportfolio und dessen Finanzierung zu erzielen. Dies gelingt unter anderem durch das aktive Management von Credit-Risiken sowie das Management des Funding-Risikos (Fristentransformation). Währungs- sowie Zinsrisiken werden im Regelfall zu 100 Prozent gesichert. Der Überschussanteil (Excess Spread) wird dabei in der Regel nach dem Erreichen eines Mindestkupons zwischen dem Sponsor / Manager und dem Käufer der Capital Notes in einem bestimmten Verhältnis geteilt.

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