Watching SIVs’ Assets Decline


Jones has a fascinating chart showing the evolution of SIVs’ net asset values

over the past three months. The best SIVs are doing fine, no problem there at

all. The worst are doing atrociously: "Axon Financial, managed by TPC-Axon

Capital Management, has a NAV currently at 35-40 per cent," reports Jones.

The most important information is that on Citi’s SIVs:

On September 6, Beta’s NAV was 85.3 per cent, Five’s NAV was

81.6 per cent and Sedna’s NAV was 81 per cent. One month later, on October

8, Fitch puts Beta at 75-80 per cent, Five at 70-75 per cent and Sedna at

75-80 per cent. A decline of up to 10 per cent.

There’s three scary things here. The first is that Fitch doesn’t know what

the NAVs of the SIVs it rates are with any more accuracy than a five-percentage-point

range. The second is that Citi’s SIVs are have NAVs as low as 70 cents on the

dollar. And the third is that they suffered a big drop in NAV in September,

after the market turmoil of August.

So what are the credit ratings for Citi’s SIVs at this point? Does Citi’s backstop

ensure they’re still rated very highly? Or are things really falling apart,


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