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SEI Provides "Capital Support Agreement" For Money Funds Over Cheyne. SEI Corp. will announce its quarterly earnings at 9am this morning. A topic of discussion is sure to be a footnote in its recent 10-Q filing, "On Nov. 8, 2007, the Company provided a guarantee in the form of Capital Support Agreements with two mutual funds, the SEI Daily Income Trust Prime Obligation Fund and the SEI Daily Income Trust Money Market Fund." SEI Investments is advisor and Bank of America's Columbia Management is the subadvisor. "On October 30, 2007, S&P advised the Company that it would place any mutual fund that had an AAA rating by S&P and which owned any securities issued by Cheyne Finance LLC (Cheyne) on credit watch with negative implications unless the fund was provided credit support.... Investments constituted approximately 14.0 percent and 7.1 percent, respectively, of the Prime Fund's and MM Fund's aggregate net asset values." Janney Montgomery Scott analyst Tom McCrohan tells us that the $129 million guarantee covers 50% of the Cheyne holdings, which could potenially represent a $7.4 million loss given Friday's valuations. Other money funds holding Cheyne (and other SIVs) may also "guarantee" troubled holding via internal or third party backing instead of buying out the entire holding.
