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Global SROC Report: June 2009 Portfolio Benchmarks And SROC For 3,132 Synthetic CDO Tranches Jul 09

  • ID: 1752851
  • July 2009
  • Region: Global
  • Standard & Poors
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FEATURED COMPANIES

  • Alexandria Capital PLC
  • Claris IV Ltd.
  • Elva Funding PLC
  • Lunar Funding V PLC
  • Nomura International PLC
  • Skylark Ltd.
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Abstract
Since the May 2009 SROC (synthetic rated overcollateralization) report, 847 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 June was below 100%. We will publish the appropriate actions in our June 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 3,132 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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- 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)
- UBS AG (Jersey Branch)
- IXIS Corporate & Investment Bank
- Jupiter Finance Ltd.
- UBS AG
- Credit Agricole CIB Finance (Guernsey) Limited
- Repackaged Offshore Collateralised Kredit (Rock) Two Ltd.
- Eirles Two Ltd.
- Argon Capital PLC
- Skylark Ltd.
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Claris Ltd.
- STARTS (Cayman) Ltd.
- Alexandria Capital PLC
- Edam Funding One Ltd.
- Cloverie PLC
- Signum Vanguard Ltd.
- Trees S.A.
- Corsair (Jersey) No. 4 Ltd.
- Investor Solutions Ltd.
- STARTS (Ireland) PLC
- Lunar Funding V PLC
- Iris SPV PLC
- CID Finance B.V.
- Iridal Public Limited Company
- Ashwell Rated S.A.
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- Starling Finance PLC
- Halcyon 2005-2, Ltd.
- C.L.E.A.R. PLC
- Morgan Stanley Managed ACES SPC
- Khamsin Credit Products (Netherlands) II B.V.
- Infiniti SPC Limited
- Baker Street Finance Ltd.
- Athenee CDO PLC
- Claris III Ltd.
- PARCS Master Trust
- REVE SPC
- WISE 2006-1 PLC
- TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust
- Galena CDO II (Ireland) PLC
- Ortelius Finance PLC
- Newport Waves CDO
- HARBOR SPC
- Marvel Finance 2007-1 LLC
- Marvel Finance 2007-3 LLC
- White Knight Investment Trust
- Landesbank Baden-Wuerttemberg
- Lunar Funding I Ltd.
- Sceptre Capital B.V.
- Xelo PLC
- Helium Capital Ltd.
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Rutland Rated Investments
- Magnolia Finance I PLC
- Elva Funding PLC
- Astir B.V.
- Curzon Funding Ltd.
- Morgan Stanley ACES SPC
- ELM B.V.
- Natixis Structured Products Ltd.
- Omega Capital Investments PLC
- Seawall 2006-1 Ltd
- Dorset Street Finance Ltd.
- Claris IV Ltd.
- Credit Default Swap
- Greylock Synthetic CDO 2006
- Steers Lasso Trust, Series 2007-A
- Galena CDO II (Cayman Islands) Limited
- Terra CDO SPC Ltd.
- Asset Repackaging Trust Six B.V.
- Steers Lasso Trust Series 2007-1
- PARCS-R Master Trust
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- NOAJ CDO Ltd.
- Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
- Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
- Marvel Finance 2007-4 LLC

Note: Product cover images may vary from those shown
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Note: Product cover images may vary from those shown

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