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Global SROC Report: October 2008 Portfolio Benchmarks And SROC For 3,648 Synthetic CDO Tranches Nov 08 Product Image

Global SROC Report: October 2008 Portfolio Benchmarks And SROC For 3,648 Synthetic CDO Tranches Nov 08

  • ID: 1752497
  • November 2008
  • Region: Global
  • Standard & Poors

FEATURED COMPANIES

  • ABACUS 2005-4, Ltd.
  • Cerigo Capital Ltd.
  • ELM B.V.
  • Lunar Funding V PLC
  • Ortelius Finance PLC
  • Starling Finance PLC
  • MORE

Abstract
Since the September 2008 SROC (synthetic rated overcollateralization) report, 1303 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 3,648 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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- HSBC Bank PLC
- Swedish Export Credit Corp.
- Toronto-Dominion Bank
- The Bank of Nova Scotia
- Societe Generale
- Credit Agricole Corporate and Investment Bank
- Nomura International PLC
- SGA Societe Generale Acceptance N.V.
- Morgan Stanley
- DBS Bank Ltd.
- Deutsche Bank AG (London Branch)
- Lehman Brothers Treasury Co. B.V.
- UBS AG (Jersey Branch)
- IXIS Corporate & Investment Bank
- Jupiter Finance Ltd.
- UBS AG
- Landesbank Baden-Wuerttemberg
- Eirles Four Ltd.
- Credit and Repackaged Securities Limited
- Argon Capital PLC
- Coriolanus Ltd.
- Skylark Ltd.
- ARLO Ltd.
- Helium Capital Ltd.
- Saphir Finance PLC
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Arosa Funding Ltd.
- STARTS (Cayman) Ltd.
- Rheinwest Credit Management
- Thunderbird Investments PLC
- Credit Agricole CIB Finance (Guernsey) Limited
- Repackaged Offshore Collateralised Kredit (Rock) Two Ltd.
- Lunar Funding I Ltd.
- Eirles Two Ltd.
- Corsair (Jersey) No. 2 Ltd.
- Brooklands ABS Euro Referenced Linked Notes 2002-2 Ltd.
- Sceptre Capital B.V.
- Herald Ltd.
- Xelo PLC
- Green Forest Securities Ltd.
- Claris Ltd.
- Alexandria Capital PLC
- Edam Funding One Ltd.
- Cloverie PLC
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Konsus 2004-1 Ltd.
- Signum Vanguard Ltd.
- Asset-Backed Obligaties Ltd.
- Rutland Rated Investments
- Chess II Ltd.
- Ryder Square Ltd.
- Asgard CDO PLC
- Trees S.A.
- Corsair (Jersey) No. 4 Ltd.
- Morgan Stanley ACES SPC
- Investor Solutions Ltd.
- Corsair (Cayman Islands) No. 4 Ltd.
- Orpheus Ltd.
- Ocelot CDO I PLC
- Corsair Finance (Ireland) No. 6 Ltd.
- Salisbury International Investments Ltd.
- Chrome Funding Ltd.
- Chiswell Street Finance Ltd.
- Magnolia Finance I PLC
- Elva Funding PLC
- Quartz CDO (Ireland) PLC
- Aphex Capital PLC
- Linker Finance PLC (Ireland)
- Dynaso 2004-1 Ltd.
- Aria CDO I
- Hummingbird Securitisation Ltd.
- Astir B.V.
- St. Maarten CDO Ltd.
- Curzon Funding Ltd.
- Signum Platinum I Ltd. Series 2006-01
- Ixion PLC
- Metrix Securities PLC
- Titian CDO PLC
- REVE SPC
- Credit Default Swap
- Fermat Ltd.
- Start III CLO Ltd.
- WISE 2006-1 PLC
- Greylock Synthetic CDO 2006
- STRATA 2006-35 Limited
- Heartland Funding PLC
- Cerigo Capital Ltd.
- TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust
- Galena CDO II (Ireland) PLC
- Ortelius Finance PLC
- Newport Waves CDO
- PARCS-R Master Trust
- STARTS (Ireland) PLC
- Andante Ltd.
- Lunar Funding V PLC
- Repacs Trust Series: Bayshore I
- ELM B.V.
- Essential Public Infrastructure Capital PLC
- Corsair Finance (Ireland) No. 8 Ltd.
- Script Securitisation Pty Ltd. Southern Cross 2006-1
- Menton CDO III PLC
- Claris IV Ltd.
- Pegasus 2007-1, Ltd.
- Proventus European ABS CDO PLC
- Steers Lasso Trust, Series 2007-A
- Galena CDO II (Cayman Islands) Limited
- Terra CDO SPC Ltd.
- Script Securitisation Ltd. Constellation Series 2007-1
- Asset Repackaging Trust Six B.V.
- Steers Lasso Trust Series 2007-1
- Motif Finance (Ireland) PLC
- Natixis Structured Products Ltd.
- Iris SPV PLC
- Calibre 2004-XI Ltd
- Iridal Public Limited Company
- Ashwell Rated S.A.
- Midgard CDO PLC
- Aria CDO II
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- ABACUS 2005-4, Ltd.
- Starling Finance PLC
- Marvel Finance 2007-1 LLC
- Start IV CLO Ltd.
- Prime Square CDO Ltd.
- Beryl Finance Ltd.
- Rente Plus Co. Ltd.
- Omega Capital Investments PLC
- CID Finance B.V.
- Delta CDO PLC
- Atlas II CDO PLC
- Zenesis SPC Series 2005-1
- STYX 2005-1 Ltd.
- Infinity SPC Limited
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Dynaso 2005-1 Ltd.
- Marvel Finance 2007-3 LLC
- Landgrove Synthetic CDO SPC
- White Knight Investment Trust
- Neptuno CLO II B.V.
- Strata 2005-19, Limited Floating Rate Notes
- Onyx Funding Ltd.
- Script Securitisation Pty Ltd. Southern Cross 2005-1
- Modjeska Canyon S.A.
- Omega Capital Europe PLC
- Omega Investments Cayman Ltd.
- Logan CDO III Ltd.
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-26
- NOAJ CDO Ltd.
- Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
- Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
- M&G Credit Finance (Ireland) PLC
- Marvel Finance 2007-4 LLC
- Third Essential Public Infrastructure Capital GmbH
- Zircon Finance Ltd.
- Menton CDO II
- Aura (Ireland) CDO PLC
- Stichting PROFILE Securitisation I
- C.L.E.A.R. PLC
- Morgan Stanley Managed ACES SPC
- Khamsin Credit Products (Netherlands) II B.V.
- Infiniti SPC Limited
- LOGAN CDO II Ltd.
- Linker Finance PLC
- Baker Street Finance Ltd.
- Claris III Ltd.
- Dorset Street Finance Ltd.
- PARCS Master Trust
- Selecta CDO Ltd.
- Pegasus 2006-1, Ltd.
- Diadem City CDO Ltd.
- HARBOR SPC
- PSION Synthetic CDO I PLC
- Aphex Pacific Capital Ltd.
- Seawall 2006-1 Ltd
- Helix Capital (Jersey) Ltd.
- Eiffel CDO Ltd.
- IXIS Corporate & Investment Bank and BNP Paribas (London branch)
- Carneros III PLC
- XELO V PLC
- Athenee CDO PLC
- London Wall 2006-1 Ltd.
- Start II CLO Ltd.

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Note: Product cover images may vary from those shown

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