The volatility continuing to grip the structured investment vehicle (SIV) sector has forced at least one program to liquidate assets, while others brace for a similar fate. IKB Credit Asset Management (manager of IKB's Rhinebridge SIV) announced that it had liquidated $176 million of securities, becoming the first "conventional" SIV to do so. Cheyne Finance, an SIV with assets with a face value of approximately GBP6 billion ($12.9 billion) run by Cheyne Capital Management, a London-based hedge fund, also faced liquidation.
About 79% of Rhinebridge's underlying assets were U.S.-related. Eighty percent were invested in RMBS, while roughly 21% of assets were backed by European assets and just 12% comprised U.K. securitized product, according to the rating agencies. Although no liquidity has been drawn yet from the Rhinebridge program, the SIV has relied on equity injections from IKB. But the manager said in a statement released by the bank that further support from IKB and its sponsors cannot be expected.