Bank One Capital Markets is readying its first European structured investment dollar- and euro-denominated medium-term note programs as well as commercial paper programs in both currencies. Ultimately, the SIV will reach a capacity of $20 billion, says Jim Irvine, managing director and head of structured investment vehicles in London. The SIV, called White Pine, will manage its interest-rate and foreign exchange exposure through swaps. The swap counterparties have not yet been selected, but Irvine says they must be rated at least A- long-term or A1 short-term.
In addition, Bank One is looking for an investment manager to run the SIV's underlying securities, which will primarily be investment-grade asset-backed securities, financial institution paper and corporate bonds. Also, to assist with the management of the SIV, Bank One is seeking to add a risk analyst, to oversee compliance, reporting and hedging strategies.