Fitch Ratings has placed Sigma Finance’s senior note programme on negative watch, in a move affecting $31.6 billion of medium-term notes rated triple A and some $2.3 billion of F1 rated CP.
Gordian Knot, which runs Sigma, does not call itself a structured investment vehicle but effectively a bank. Nevertheless it has run into the same problems of declining market value for high-quality assets that many SIVs have suffered from. Fitch cited the asset and liability term mismatch and a lack of 100% liquidity line back-up as reasons for its move, while acknowledging that Sigma had a greater mix of intermediate-term funding before the credit crunch.
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