Sliding SIeVes

In sharp contrast to some mild improvements in other parts of the credit markets, FT alpahville presents this enlightening chart, courtesy of Fitch. It shows how the average NAV of the SIV's assets has continued to slide.

The better players have been doing fine, but the worse ones are catching a severe cold, and the average is still declining. At this rate more triggers start to be hit, and forced liquidations are putting further pressure on prices. And that of course leads to more write downs. The rumor is that that $5B at Merrill is only the start for instance. We'll see...

Update. It's another $2.5B at Merrill, apparently. And that's not the end of it, obviously, as the markets have been so illiquid that it is likely that all the big players still have a significant part of their position. Unless the recent ABX kickup is the start of a trend, there will be more writedowns like this.