Global SROC Report: October 2007 Portfolio Benchmarks And SROC For 3,487 Synthetic CDO Tranches Nov 07

Standard & Poors, November 2007

Abstract
Since the September 2007 SROC (synthetic rated overcollateralization) report, 381 tranches have been subject to rating actions (see table 1). We are currently undertaking a full review of the tranches for which the SROC figure as at month-end October was below 100%. We will publish the appropriate actions in our November rating action media release, which is due shortly. The report was run using month-end numbers and before any ratings upgrades or downgrades, making it a snapshot of each publicly rated tranches' sensitivity to a rating downgrade. This report provides SROC and other performance metrics on 3,487 individual CDO tranches. It represents publicly rated transactions in Europe, U.S., Japan, Hong Kong, Singapore, Australasia, and Canada for which currently outstanding ratings...

Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.

Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.

- HSBC Bank PLC
- Swedish Export Credit Corp.
- Toronto-Dominion Bank
- The Royal Bank of Scotland N.V.
- The Bank of Nova Scotia
- Societe Generale
- Nomura International PLC
- SGA Societe Generale Acceptance N.V.
- Morgan Stanley
- DBS Bank Ltd.
- Lehman Brothers Bankhaus AG
- Lehman Brothers Treasury Co. B.V.
- UBS AG (Jersey Branch)
- IXIS Corporate & Investment Bank
- Jupiter Finance Ltd.
- UBS AG
- Credit Agricole CIB Finance (Guernsey) Limited
- Repackaged Offshore Collateralised Kredit (Rock) Two Ltd.
- Lunar Funding I Ltd.
- Structured Investments Corporation
- Eirles Two Ltd.
- Eirles Four Ltd.
- Credit and Repackaged Securities Limited
- Signum Finance II PLC
- Argon Capital PLC
- Coriolanus Ltd.
- Heather Finance Ltd.
- Skylark Ltd.
- ARLO Ltd.
- Corsair (Jersey) No. 2 Ltd.
- Sceptre Capital B.V.
- Herald Ltd.
- United Global Investment Grade CDO III Ltd.
- Xelo PLC
- Helium Capital Ltd.
- Green Forest Securities Ltd.
- Saphir Finance PLC
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Arosa Funding Ltd.
- Claris Ltd.
- Merlion CDO I Ltd.
- STARTS (Cayman) Ltd.
- Rheinwest Credit Management
- Alexandria Capital PLC
- Phoenix 2002-2 Ltd.
- Aldersgate Finance Ltd.
- Thunderbird Investments PLC
- Edam Funding One Ltd.
- Corsair Finance (Ireland) No. 6 Ltd.
- Bifrost Investments Ltd.
- Salisbury International Investments Ltd.
- Cloverie PLC
- CreON Ltd.
- Chrome Funding Ltd.
- Signum Vanguard Ltd.
- Rutland Rated Investments
- Chiswell Street Finance Ltd.
- Magnolia Finance I PLC
- Elva Funding PLC
- Chess II Ltd.
- Quartz CDO (Ireland) PLC
- Aphex Capital PLC
- Linker Finance PLC (Ireland)
- Dynaso 2004-1 Ltd.
- Aria CDO I
- Steers Credit Linked Trust, ML Tranche
- Prism Colgate Orso Trust
- Asgard CDO PLC
- Jupiter Quartz Finance PLC
- Trees S.A.
- Hummingbird Securitisation Ltd.
- Astir B.V.
- Corsair (Jersey) No. 4 Ltd.
- St. Maarten CDO Ltd.
- Saphir CDO (Ireland) PLC
- Curzon Funding Ltd.
- Morgan Stanley ACES SPC
- Investor Solutions Ltd.
- ORSO Portfolio Tranche Index Certificates
- Corsair (Cayman Islands) No. 4 Ltd.
- Orpheus Ltd.
- Ocelot CDO I PLC
- ELM B.V.
- Essential Public Infrastructure Capital PLC
- STARTS (Ireland) PLC
- Aphex Capital MOTIVE Series 2004-C
- Andante Ltd.
- Classic Finance B.V.
- Lunar Funding V PLC
- Repacs Trust Series: Bayshore I
- Prime Square CDO Ltd.
- Natixis Structured Products Ltd.
- ABACUS 2004-3, Ltd.
- Iris SPV PLC
- Betsen CDO Ltd.
- Calibre 2004-XI Ltd
- Beryl Finance Ltd.
- Rente Plus Co. Ltd.
- Orpheus II Ltd.
- Hemisphere CDO PLC
- Omega Capital Investments PLC
- CID Finance B.V.
- Dynaso 2005-1 Ltd.
- Alpha Financial Products Ltd. Series 1
- Salt Creek High Yield CSO 2005-1 Ltd.
- Omega Capital Europe PLC
- Omega Investments Cayman Ltd.
- Iridal Public Limited Company
- Prelude Europe CDO Ltd.
- Delta CDO PLC
- Magnolia Finance II PLC
- Credit-Linked Trust Certificates
- Atlas II CDO PLC
- Ashwell Rated S.A.
- Crown City CDO 2005-1 Limited
- Midgard CDO PLC
- Artemus Strategic Asia Credit Fund Ltd. II
- Crown City CDO 2005-2 Limited
- Aria CDO II
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- Starling Finance PLC
- Strata 2005-19, Limited Floating Rate Notes
- Start CLO Ltd.
- Aura (Ireland) CDO PLC
- Stichting PROFILE Securitisation I
- Script Securitisation Pty Ltd. Southern Cross 2005-1
- Modjeska Canyon S.A.
- C.L.E.A.R. PLC
- Morgan Stanley Managed ACES SPC
- Aphex Pacific Capital Ltd.
- Khamsin Credit Products (Netherlands) II B.V.
- TIERS Georgia Floating Rate Credit Linked Trust, Series 2006-1
- Seawall 2006-1 Ltd
- Infiniti SPC Limited
- Helix Capital (Jersey) Ltd.
- SPGS SPC
- LOGAN CDO II Ltd.
- Echo Funding Pty Ltd. Series 19
- Echo Funding Pty Ltd. Series 20
- Echo Funding Pty Ltd. Series 21
- Castlereagh Trust - Series 1
- Castlereagh Trust - Series 2
- CRAFT 2003-2 Ltd.
- Eiffel CDO Ltd.
- Carneros III PLC
- XELO V PLC
- Athenee CDO PLC
- STRATA Trust, Series 2006-10
- Ionia Capital PLC
- Claris III Ltd.
- London Wall 2006-1 Ltd.
- STEERS Randolph Gate CDO Trust Series 2006-1
- STEERS Credit Linked Trust Minoa Tranche Series 2006-1
- Essential Public Infrastructure Capital II GmbH
- Dorset Street Finance Ltd.
- Start II CLO Ltd.
- Credit Linked Notes Ltd. 2006-1
- Mainsail CDO I Ltd.
- PARCS Master Trust
- Selecta CDO Ltd.
- HARBOR SPC
- Pegasus 2006-1, Ltd.
- REPACS Trust Series 2006-1 Monte Rosa
- Signum Platinum I Ltd. Series 2006-01
- Script Securitisation Pty Ltd. Southern Cross 2006-1
- Silk Road Plus PLC
- Ixion PLC
- Claris IV Ltd.
- Titian CDO PLC
- REVE SPC
- Credit Default Swap
- Fermat Ltd.
- AMP CMBS 2006-2
- Start III CLO Ltd.
- Lorally CDO Limited Series 2006-4
- Signum Verde Ltd.
- Titian 7yr Swap 2
- Greylock Synthetic CDO 2006
- STRATA 2006-35 Limited
- Heartland Funding PLC
- Signum Platinum II Ltd. Series 2006-01
- Calculus CMBS Resecuritization Trust Series 2006-8
- Calculus CMBS Resecuritization Trust Series 2006-9
- Pegasus 2007-1, Ltd.
- CeDeOs 1 Ltd.
- Cerigo Capital Ltd.
- Far East Funding I SPC Ltd.
- Cookson SPC
- ARLO VII Ltd.
- Steers Lasso Trust, Series 2007-A
- Terra CDO SPC Ltd.
- TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust
- Galena CDO II (Ireland) PLC
- Galena CDO II (Cayman Islands) Limited
- Archstone Synthetic CDO II SPC
- Obelisk Trust 2007-1-Sonoma Valley
- Script Securitisation Ltd. Constellation Series 2007-1
- Asset Repackaging Trust Six B.V.
- Steers Lasso Trust Series 2007-1
- Calculus CMBS Resecuritization Trust Series 2007-1
- Primoris SPC Ltd
- Motif Finance (Ireland) PLC
- Ortelius Finance PLC
- Newport Waves CDO
- PARCS-R Master Trust
- Infinity SPC Limited
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Strata Trust, Series 2007-3
- Etude Finance B.V.
- Strata Trust, Series 2007-4
- Strata Trust, Series 2007-5
- Marvel Finance 2007-1 LLC
- Start IV CLO Ltd.
- Repacs Trust Series 2007 Rigi Debt Units
- Calculus CMBS Resecuritization Trust, Series 2007-2
- Logan CDO III Ltd.
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-26
- Lorally CDO Limited Series 2007-3
- NOAJ CDO Ltd.
- Strata Trust, Series 2007-7
- Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
- Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd

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