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Debt Funding
De posits Money Market "Portfolios"
Checking Checking
Short-
Accounts Account
Loans Deposits Equity Term
Equity Funding
Bank Bank Client Bank Term
Loans
Equity Equity Funds Equity Savings
Deposit Insurance
(FDIC)
Equity 9/18/2008
*Funded by UST's $50 billion
Exchange Stabilization Fund
O ff-Balance Sheet
Notes A1 Agency Discount ARSs CP
Munis
AAA MBS Notes TOBs ABCP $1 NAV
Loans Agency Loans*
AA-BBB Private Agency or BDP Shares
Debt ABS
Equity ABS Debt VRDOs RRs
Equity *Conforming student loans 2a-7 MMMFs Other* Bank Treasurers
FHLBs A1 *ARS, MMMFs, as well as A1
SBA ABS (Retained Portfolios) A1 (AAA) ABS Tranches CP MTNs and term ABS CP
(Short-Term Funding)
*Conforming SBA loans *TOBs and VRDOs A1 *ARS, MMMFs Money Market Portfolios
Wholesale Funding
CP Direct
Short-
ABCP $1 NAV Investmen
Term
BDP Shares $1 NAV
Savings
RRs Shares
"Prime" Homeowners Com merc ial Bank * Subprime, RMBS, CMBS Trading Books SIV, SIV-Lite CP Other* LGIPs
Off-Balance Sheet
A1 Equity *TOBs and VRDOs CP
Structuring AAA Loans Savings:
Loans 1st Lien AAA Reverse ABCP $1 NAV
Assets Home Loans ABCP and Loans ABCP ABCP ABCP Excess "Equity"
AA-BBB Repos* Me zz anin e CD Os BDP Shares
Syndication AA-BBB ABS Cash
2nd Lien Equity Supers RRs
Equity Fin anc e Comp any * O/C O/C AAA O/C Other* Swee p Acc ou nts
BBB
CP Single-Seller Conduit *FHC affiliated *FHC affiliate Consumer ABS AA-BBB *FHC affiliate *ARS, MMMFs, as well as A1
ABCP (Credit Card ABS) Hybrid Conduits Equity MTNs and term ABS CP
Off-Balance Sheet
[…]
Invest- C&I AAA TAF
CP Euro
ments Loans AA-BBB Mezz
Off-Balance Sheet
Private Eq uity Arb itrag e Conduit ML III, LLC
[…]
Portfolio Comp anies LSAPs
AAA Euro
Mezz
ABCP Deposits OMO
LBO ABS
Firms AA-BBB Collatera
Loans Mezz RoW
l
O/C CDO Equity (Foreign Central Banks) Equity
Savings:
Local
FX
Currency
Reserves
Me diu m-Term Instrume nts Age nt Sec uritie s Len ding
Fed eral Governm ent RMBS
Fin anc e Comp any * (1st lien, private label) Cred it H edg e Fu nd* MTNs Cash Reinvestment Accounts
O ff-Balance Sheet
Tax Treasury CP Single-Seller Con duit A1 A1 Se curities Le ndin g*
AAA Loans
Revenues Bonds ABCP AAA Private CP
Loans Repos
BDP AA-BBB MTNs ABCP Cash Cash Securities
Loans Loans ABCP AA-BBB ABS
Wholesale Fu nding
AA-A
*Broker-dealer affiliate (2nd lien, subprime, HELOCs) Trading Books AA-BBB Trading Book A2 & A3 (AAA) ABS Tranch es *MMMFs, MTNs, term ABS and on an agent basis. Export "Equity"
Tax Tax State A1 Equity Super TOBs and VRDOs Revenue
Bonds Structuring
(Independent Speciali sts: Ori ginate-to-Fun d Model | DBDs: O riginate-to-D istribute Model )
Revenues Revenues Bonds AAA Seniors AAA
and Loans AA-BBB Repos Repos Loans FX
AA-BBB Me zz anin e CD Os Super (A2-A3) Prin cip al Sec urities Len din g Bonds*
Syndication Reserves
Equity Supers Seniors
Industrial Loan Comp any * Haircuts AAA Cash Reinvestment Accounts *Issued to central banks
BBB
Local Governm en ts Broker Sweep Accounts *DBD affiliate CMBS and High-Yield CLOs AA-BBB *Broker-dealer affiliate A1 Se curities Le ndin g* in exchange for investibe FX
Brokerage (LBO Loans) Equity Liqu idity Puts* Ag enc y De bt* CP Long-Term Savings
O ff-Balance Sheet
Brokered
Tax Muni Brokered Clients' A1 ABCP Cash Cash Securities
Loans Deposits Long- Short- Loans
Revenues Bonds Deposits Cash AAA Agency BDP Collateral Collateral Lent Fixed Income Portfolios*
Inde pe nde nt Spec ialists' Cre dit Inte rmed iation Proce ss
AAA Cash
ABCP Loans Repos
AA-BBB Long -Te rm D eb t MTNs
Loans Loans ABCP AA-BBB
Equity Private LTD Client Equity Portfolios*
MTNs Loans
Haircuts LTD Equity Funds
Equity O/C Multi-Seller Conduit* Other ABS Agency Structured Public Term
ABS
("Rent-a-Conduit") (Floorplan, Equipment, Fleets) LPFCs LTD Credit Equity Savings
Public Equity
Private Credit Transformation
Loans
( Tail Risk Absorption)
TLGP Cash
Credit He dge s
Equity
MTNs
Debt Credit Credit Credit ABS
LTD Client
MTNs Insu- Premia Insurance Premia Insurance Premia Insurance
Funds
rance
Structured Credit Equity Equity
Equity Equity Equity ABS
Loans
*Unaffiliated with originators! *Unaffiliated with originators! *Unaffiliated with originators! and *Hedge Funds and Private Equity
CDO (only credit exposures)
ABS
(Shadow Bank Backstops)
Equity
Federal Responses
CPFF TALF TSLF/Maiden Lane LLC Maide n Lane III LLC TAF FX Swap s TSLF/ PDCF AMLF MMIFF Maiden Lane II LLC
10/7/2008 11/25/2008 3/11/08 and 3/24/2008, respectively 10/11/2008 12/12/2007 12/12/2007 3/11/08 and 3/16/08, respectively 9/19/2008 10/21/2008 11/10/2008
The "Synthetic" Shadow Banking System Counterparty Hedges Warehouse Hedges Counterparty Hedges Warehouse Hedges
Warehouse and
Counterparty Hedges
Single -Name and Inde x
Corporate CDS CDPCs CPDO s* Sh ort-Term Sy nthe tic Liabilities He dge rs*
Ultimate Borrowers Unfunded Loans, Portfolio Protection* Ultimate Creditors
Protec- AAA ABS Funded
Bond(s) CDS Protec- […]
The "Synth etic " Shad ow Bankin g System
Protection
Households, Businesses, Governments Single -Name and Inde x Equity Broke r-De alers* *Hedging Motives and the Rest of the World (RoW)
Sovereign CD S Long-Term Sy nthe tic Liabilities Broker-dealer CVA desks, ABS pipeline hedges,
Loans Loans, negative basis traders, real money accounts, etc.
Protec-
Protec- ABS Funded
Assets Bond(s) CDS Counterparty Hedges Warehouse Hedges tion Counterparty Hedges Warehouse Hedges Warehouse Hedges
tion Sold and Protection
Bonds Bought
CDOs
Equity Credit He dge Fund s Sp ecu lators*
Structu re d Cre dit and Loan Unfunded *Market Makers Fun ded Sy nth etic CDO s* Synthetic Exposure s*
CD S In dic es Protec- (Credit-Linked Notes) Unfu nde d Synth etic CD Os* Counte rparty Risks*
Protec-
tion Loans, "Naked" Credit Term
tion Sold AAA AAA AAA
Funded ABS Unfunded Positions Bets Savings
Loan(s) CDS […]
Protec- AA-BBB AA-BBB and Protection
Treasurys
tion Equity Equity Equity CDOs *Speculative Motives
Referencing ABS and single-name CDS *Referencing single-name CDS indices, etc. *Inability to meet Proprietary trading desks, credit hedge funds, etc.
indices, etc. unfunded liabilities, etc.