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Global SROC Report: August 2008 Portfolio Benchmarks And SROC For 3,842 Synthetic CDO Tranches Sep 08
Standard & Poors, Sep 2008
Abstract
Since the July 2008 SROC (synthetic rated overcollateralization) report, 491 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 August was below 100%. We will publish the appropriate actions in our September 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 3,842 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.
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