Moody's opens up on SIV downgrades

Moody’s has been expanding on the reasons behind its recent wave of SIV downgrades. The negative action on 20 structured investment vehicles, taken at the end of November, was part of a sector-wide review by the rating agency affecting 42% of total SIV debt.

The review was prompted by the deterioration in liquidity of the underlying assets in the portfolios of these structures, which were set up to take advantage of the arbitrage between the long-term maturity of their underlying assets and the a

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