The $7bn (€4.4bn) troubled structured investment vehicle previously managed by London based-hedge fund Cheyne Capital Management is preparing to auction assets as part of a restructuring, which strategists say will give the market new guidance on the pricing of structured credit and an indication of the size of further writedowns at banks.

UK accountancy firm Deloitte & Touche, which is acting as the SIV's receiver, will run an auction to set a price for the vehicle's holdings, which is expected to happen on, or around, July 17, according to a statement made to the London Stock Exchange last month.