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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.
  • Eirles Two Ltd.
  • Lunar Funding I Ltd.
  • Orpheus Ltd.
  • Societe Generale
  • 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.

- 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
- Credit Agricole CIB Finance (Guernsey) Limited
- Landesbank Baden-Wuerttemberg
- 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
- Argon Capital PLC
- Coriolanus Ltd.
- Skylark Ltd.
- ARLO Ltd.
- Corsair (Jersey) No. 2 Ltd.
- Brooklands ABS Euro Referenced Linked Notes 2002-2 Ltd.
- Sceptre Capital B.V.
- Herald Ltd.
- Xelo PLC
- Helium Capital Ltd.
- Green Forest Securities Ltd.
- Saphir Finance PLC
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Arosa Funding Ltd.
- Claris Ltd.
- STARTS (Cayman) Ltd.
- Rheinwest Credit Management
- Alexandria Capital PLC
- Thunderbird Investments PLC
- Edam Funding One Ltd.
- Corsair Finance (Ireland) No. 6 Ltd.
- Salisbury International Investments Ltd.
- Cloverie PLC
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Konsus 2004-1 Ltd.
- Chrome Funding Ltd.
- Signum Vanguard Ltd.
- Asset-Backed Obligaties 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
- Ryder Square Ltd.
- Asgard CDO 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.
- Corsair (Cayman Islands) No. 4 Ltd.
- Orpheus Ltd.
- Ocelot CDO I PLC
- ELM B.V.
- Essential Public Infrastructure Capital PLC
- Corsair Finance (Ireland) No. 8 Ltd.
- Signum Platinum I Ltd. Series 2006-01
- Script Securitisation Pty Ltd. Southern Cross 2006-1
- Ixion PLC
- Menton CDO III PLC
- Metrix Securities PLC
- Claris IV Ltd.
- 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
- Pegasus 2007-1, Ltd.
- Cerigo Capital Ltd.
- Proventus European ABS CDO PLC
- Cookson SPC
- 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
- Script Securitisation Ltd. Constellation Series 2007-1
- Asset Repackaging Trust Six B.V.
- Steers Lasso Trust Series 2007-1
- Motif Finance (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
- Prime Square CDO Ltd.
- Natixis Structured Products Ltd.
- Iris SPV PLC
- Calibre 2004-XI Ltd
- Beryl Finance Ltd.
- Rente Plus Co. Ltd.
- Omega Capital Investments PLC
- CID Finance B.V.
- Dynaso 2005-1 Ltd.
- Omega Capital Europe PLC
- Omega Investments Cayman Ltd.
- Iridal Public Limited Company
- Delta CDO PLC
- Atlas II CDO PLC
- Ashwell Rated S.A.
- Midgard CDO PLC
- Zenesis SPC Series 2005-1
- Aria CDO II
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- ABACUS 2005-4, Ltd.
- Starling Finance PLC
- STYX 2005-1 Ltd.
- Infinity SPC Limited
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Strata Trust, Series 2007-3
- Strata Trust, Series 2007-4
- Strata Trust, Series 2007-5
- Marvel Finance 2007-1 LLC
- Start IV CLO Ltd.
- Logan CDO III Ltd.
- Rabobank International and Mogador Ltd.
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-26
- NOAJ CDO Ltd.
- Strata Trust, Series 2007-7
- Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
- Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
- Marvel Finance 2007-3 LLC
- M&G Credit Finance (Ireland) PLC
- Landgrove Synthetic CDO SPC
- Marvel Finance 2007-4 LLC
- Third Essential Public Infrastructure Capital GmbH
- White Knight Investment Trust
- Neptuno CLO II B.V.
- Zircon Finance Ltd.
- Menton CDO II
- Strata 2005-19, Limited Floating Rate Notes
- Onyx Funding 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
- PSION Synthetic CDO I PLC
- Morgan Stanley Managed ACES SPC
- Aphex Pacific Capital Ltd.
- Khamsin Credit Products (Netherlands) II B.V.
- Seawall 2006-1 Ltd
- Infiniti SPC Limited
- Helix Capital (Jersey) Ltd.
- LOGAN CDO II Ltd.
- Eiffel CDO Ltd.
- IXIS Corporate & Investment Bank and BNP Paribas (London branch)
- Linker Finance PLC
- Carneros III PLC
- Baker Street Finance Ltd.
- XELO V PLC
- Athenee CDO PLC
- Claris III Ltd.
- London Wall 2006-1 Ltd.
- Dorset Street Finance Ltd.
- Start II CLO Ltd.
- PARCS Master Trust
- Selecta CDO Ltd.
- HARBOR SPC
- Pegasus 2006-1, Ltd.
- Diadem City CDO Ltd.

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