Sigma Finance Corp., a failed structured investment vehicle of the London asset manager Gordian Knot Ltd., was expected to auction as much as $2 billion of its asset-backed bonds and bank debt Tuesday.

Moody's Investors Service Inc. downgraded Sigma's debt one level, to C, its lowest credit rating, citing the auction. The agency said Monday that Sigma is unlikely to recover any of the $7.6 billion of assets it pledged as margin for short-term loans known as repurchase agreements.

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