Alea has the scoop on Citi's (NYSE:C) SIVs: they'll have to decline in value by $2.5 billion, or more than 5%, before Citi takes a penny in losses. No wonder Citi found it relatively easy to sell tens of billions of dollars of the SIV assets back to the junior investors: even this bail-in isn't going to save those investors.
Interestingly, only 28% of Citi's SIV assets are mortgage-related; fully 60% of the assets are invested in the debt of financial institutions. Sure, those institutions themselves are being hit by mortgage-related losses. But I remember that the first CPDO to fail was one which invested in financial-institution debt. Maybe bank bonds are the new subprime mortgages.