Moody’s Places SIV Capital Notes on Review for Downgrade
In another sign of the demise of special investment vehicles, Moody’s today placed the ratings of six European SIV capital note programs on review for downgrade, affecting $3 billion of debt securities.
Moody’s said SIV capital notes have been the most negatively impacted by the funding and pricing difficulties that have caused the sector to all but disappear in the wake of the ongoing liquidity crisis.
Today’s rating actions reflect further deterioration in the market values of SIV portfolios, and the limited benefits to capital notes of the various restructuring proposals implemented by bank sponsors.
Moody’s said its review will focus on the decline in capital net asset value, which incorporates both crystallised losses following asset sales and unrealised losses. Moody’s will also review the actual or potential impact on capital notes of any restructuring plans implemented by a vehicle’s sponsor.
The affected vehicles are Asscher Finance, Harrier Finance, Kestrel Funding, Links Finance, Nightingale Finance and Premier Asset Collateralized Entity. Full details of the programs are available here.
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