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Global SROC Report: January 2008 Portfolio Benchmarks And SROC For 3,624 Synthetic CDO Tranches Feb 08
Standard & Poors, Feb 2008
Abstract
(Editor's note: The tables in this article are designed for exporting into certain Standard & Poor's products. Therefore, printing quality may vary. Changing your page orientation to landscape mode, reducing your page margins, and/or reducing the text size in your browser may improve the printed output.) On Feb. 4, 2008 Standard & Poor's announced that the correlation and recovery assumptions used to rate and monitor collateralized debt obligation (CDO) transactions backed by U.S. residential mortgage-backed securities have been revised. Please note the SROCs for this month's report are based on the criteria used before this revision for correlation and recoveries. Since the December 2007 SROC (synthetic rated overcollateralization) report, 532 tranches have been subject to rating actions (see table 1)....
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.
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