Comments on: 44 Cents on the Dollar for Cheyne SIV Auction

By: Ginger Yellow

Ginger Yellow — Mon, 21 Jul 2008 10:26:00 +0000

Cheyne had among the worst portfolios of any SIV, second only to Rhinebridge when I last looked. Consequently the 44% figure sounds pretty good to me, especially given that it’s an auction when the secondary market is looking really rotten. That said, I don’t know what they’ve been selling off in the meantime, so it’s possible the average quality is higher than it was before.

By: S

Fri, 18 Jul 2008 17:49:00 +0000

Yves, FT did a big article on this weeks ago and the funkyu structure of the auction and how the assets were to pass to Deloitte for a day orsomething and then onto GS. It should not be shocking that GSwins the auction houses the assets pays out X and then sells the assets at a markup. Be interested in the structure of the aution and how much passes to GS…

By: Yves Smith

Yves Smith — Fri, 18 Jul 2008 16:54:00 +0000

Apologies for getting the nomenclature point wrong and will fix the post (t has been a while since I looked at this stuff, and my posts didn’t go into that much detail on the structure). However, the general point about losses relative to the total assets outstanding still obtains.

By: Anonymous

Anonymous — Fri, 18 Jul 2008 13:48:00 +0000

Only 21% of the commercial paper holders opted to liquidate their positions. What happens to the rest of the holders? Does the unsold portion of the portfolio pass through cashflows to those investors? The two biggest chunks of the portfolio were subprime mezz bonds traded in the low 20s and monoline wrapped bonds which traded around 40. Supposedly the abs CDO’s traded in the high teens which I find surprisingly high.

By: Anonymous

Anonymous — Fri, 18 Jul 2008 10:43:00 +0000

I think the NAV figure in the Fitch report refer to the NAV for the capital note investors (equity tranch), not the MTN investors. The MTN investors rank higher than the capital note investors.