Cheyne’s fire sale has begun to set a floor for ABS prices

Last week Cheyne Finance, the defaulted structured investment vehicle, sold a fifth of its assets in an open auction, partly to set a value for its restructuring. The bids were not high — 44% of par was the most anyone would offer for a slice of the portfolio — but this was a genuine sale which paves the way for other auctions and goes some way to establishing a bottom for ABS values.