While details of bailout structures, such as the U.S.-based M-LEC, or Super SIV, have been slow to surface, problems persist on the SIV front. The latest casualties come via the London-based hedge fund manager Cheyne Capital's Cheyne Finance SIV, which declared a default last week just as IKB's Rhinebridge entered into enforcement.
Cheyne's paper problems came into sharp focus on Oct. 17, when the vehicle announced that it was not going to repay maturing commercial paper according to schedule, putting it in breach of solvency tests that have lead to Standard & Poor's downgrading all of its notes to "D." According to the rating agency, Cheyne was still holding $6.786 billion of senior liabilities, comprising $1.347 billion of CP, $5.439 billion of medium-term notes and $275 million of liquidity facility to be repaid, with senior liabilities worth $720 million in mezzanine and junior capital notes. This indicates that there may still be sufficient assets to pay all senior creditors. S&P reported that the current weighted average market value of the portfolio stands at 93% of par value, implying that a further deterioration of around 11% of value would be needed for there to be insufficient assets to repay senior debt.