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Global SROC Report: January 2009 Portfolio Benchmarks And SROC For 3,561 Synthetic CDO Tranches Mar 09
Standard & Poors, March 2009
Abstract
Since the December 2008 SROC (synthetic rated overcollateralization) report, 1,043 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 January was below 100%. We will publish the appropriate actions in our February rating action media release, which is due shortly. We ran the report using month-end numbers and before any tranche upgrades or downgrades, making it a snapshot of each publicly rated tranche's sensitivity to a rating downgrade. This report provides SROC and other performance metrics on 3,561 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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