The exposure to subprime RMBS in most cases is through AAA and AA-rated tranches, although some SIVs are exposed indirectly through collateralised debt obligations (CDO) of asset-backed securities, with total exposure to those assets at 11%.
SIV-lites – hybrids of SIV and CDO technology – are far more exposed to RMBS, at 96%.
Although the report points out that mark-to-market impact on the vehicles is limited, net asset values for SIV-lites averages 95.4%, down from 100% in March this year. SIVs, on the other hand, are nearing par from a high of 105% in July 2005.
The week on Risk.net, July 7-13, 2018Receive this by email