slide1 n.
Skip this Video
Loading SlideShow in 5 Seconds..
Global ABS 2007 June 11, 2007 Barcelona PowerPoint Presentation
Download Presentation
Global ABS 2007 June 11, 2007 Barcelona

Global ABS 2007 June 11, 2007 Barcelona

119 Vues Download Presentation
Télécharger la présentation

Global ABS 2007 June 11, 2007 Barcelona

- - - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript

  1. Bank Loans in Core Fixed Income Space: A Bank Loan SIV Walter W. Shulits Vice President, Institutional Bank Loan Relationships Telephone: 617-598-8435 Email: Global ABS 2007 June 11, 2007 Barcelona For Consultant/Investment Professional Use Only. Not to be copied, disseminated or used with the public.

  2. Bank Loan Assets Under Management (as of 3/31/07) All figures are preliminary as of March 31, 2007. CDO assets are reported intramonth and include bank loans and proportionate share of cash (per structure guidelines). Source: Eaton Vance 2

  3. Goal: Total Return “Core” Fixed Income Investment Grade Rating CLO Equity Goal Risk (Standard Deviation) Return Unleveraged Portfolio 3

  4. Can we transform bank loans to fit core fixed income for institutions? • Find the lowest cost of leverage. • Reduce the degree of leverage to reduce potential volatility. • Reduce the lock-up period. • Eliminate performance fees 4

  5. SIV Structure Applied to Bank Loans • High quality, low spread, high leverage → Lesser quality, high spread, low leverage • Market value structure compels low volatility • Almost entirely senior secured loans • Extreme diversification • Low leverage at low cost • Lower return volatility • Continuously offered and scalable. • Scale enhances diversification and reduces total expense ratio • Manager controls size and timing of new investments • Investor can make multiple investments in same structure • Monthly compliance report →Transparency 5

  6. Why Bank Loan SIVs and SIV-lites Today? • Low spreads compel focus on cost of leverage to maintain returns • CLO “220 threshold” • Search for bond alternatives • Low yield environment • LDI requires low-correlation alternatives • Seeking transparency, sustainability of returns and low volatility • Basel II and RBC constraints 6

  7. Bank Loan SIV Structure Liability Asset AAA/Aaa Notes A-1+/P-1 CP Senior Must meet rating agency requirements Bank Loans (non-investment grade) Junior Baa2 Capital Notes 7

  8. Bank Loans: SIV versus CLO 8

  9. SIV Format: Major Pieces • Rating Agencies: • Review and rate vehicle • Monitor weekly • Asset Manager: • Select and manage assets • Monitor compliance • Manage overall product SIV • Funding Manager: • CP issuance • Manage liquidity • Custodian/Payment Agent: • Custody of assets • Valuation • Financial Statements • Distribute Income 9

  10. Portfolio Management Issues “Market value not cash flow” • Secondary market purchases • Prepayments • Problem credits 10

  11. The Future for Bank Loan SIVs Euroloans Denomination in Dollars and Euros A-rated Notes (Full Rated Coupon) Equity 11

  12. This information is made available by Eaton Vance Management (“EVM”) to persons reasonably believed by EVM to be of a kind to whom EVM may communicate such information. It is provided in the context of and ancillary to a specific presentation made by EVM and is for educational and illustrative purposes only. It should not be considered as investment advice or a recommendation to buy or sell any particular security. The information shown, including that derived from third-party sources, is believed to be reliable but is not guaranteed, and should not be taken as constituting representations or warranties by EVM. It should not be assumed that any of the strategies, securities, sectors or industries referred to in this information were or will be profitable. There can be no assurance that EVM will achieve profits or avoid incurring losses. Past performance does not predict future results. The information in this document does not constitute an offer to anyone in any jurisdiction to invest in the Eaton Vance funds, and products and services offered by EVM are only available to residents of countries where offers of such products are permitted by law. 12