Stress Test — or Reality Check?

Are US banks marking their SIVs at a 33% discount? Is this metric part of the ‘stress test’?


“Whistlejacket Capital Ltd., the defaulted structured investment vehicle, sold more than $2.5 billion of its assets at an average discount of 33 percent, according to three people with knowledge of the matter.

Receivers at Deloitte & Touche LLP sold 54 percent of the SIV’s $5 billion investments at an auction yesterday, said the people, who declined to be identified because the full results weren’t disclosed. The average price was 67.1 percent of face value for securities that included bank bonds and mortgage- backed debt, Deloitte said in a statement today.

Whistlejacket, set up by London-based Standard Chartered Plc, defaulted in February 2008 when investors stopped buying the short-term debt that SIVs relied on to fund higher-yielding assets. The proportion of assets sold at Whistlejacket’s auction was more than double the share investors liquidated in July at a sale for Cheyne Finance Plc, the first SIV to auction assets.”

No wonder so many banks are against Mark-to-Market — the real market is way below them (Note and it apears the 33% discount is for a combination of good and toxic assets).


Whistlejacket Failed SIV Sells Assets at 33% Discount
Neil Unmack
Bloomberg,  April 30 2009

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