SIV Asset Values Drop to 69.7 Percent of Capital, Fitch Says

The net asset value of structured investment vehicles, companies that borrow short term to buy higher yielding securities, has fallen to 69.7 percent as the credit slump erodes their holdings, Fitch Ratings reported.

The amount that would be left after selling SIV assets and repaying debt dropped from 71 percent on Oct. 19 and above 100 percent in July, data compiled by Fitch show.

SIVs have been forced to sell about $75 billion of investments since July after record U.S. home foreclosures caused investors to shun asset-backed debt. Citigroup Inc., the largest manager of SIVs, is working with the U.S. Treasury, Bank of America Corp. and JPMorgan Chase & Co. to create an $80 billion fund to help SIVs avoid dumping their holdings and further roiling credit markets.

Fitch's report is based on the SIVs it rates, including three run by New York-based Citigroup.

The data doesn't include Rhinebridge Plc, the SIV set up by Dusseldorf, Germany-based IKB Deutsche Industriebank AG that was forced to sell assets to repay debt. Fitch, based in New York, said it hasn't received information on Rhinebridge since the SIV was forced to appoint Deloitte & Touche LLP as a receiver on Oct. 23 to protect investors. The SIV had a zero net asset value last month, Fitch said.
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