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

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

  • Published: July 2009
  • Region: Global
  • Standard & Poors

FEATURED COMPANIES

  • ABACUS 2004-3, Ltd.
  • CeDeOs 1 Ltd.
  • Eiffel CDO Ltd.
  • Lunar Funding I Ltd.
  • Ocelot CDO I PLC
  • Signum Finance II PLC
  • MORE

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 READ MORE >

- 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
- Landesbank Baden-Wuerttemberg
- Repackaged Offshore Collateralised Kredit (Rock) Two Ltd.
- Structured Investments Corporation
- Eirles Two Ltd.
- Credit and Repackaged Securities Limited
- Signum Finance II PLC
- Argon Capital PLC
- Coriolanus Ltd.
- Corsair (Jersey) No. 2 Ltd.
- Sceptre Capital B.V.
- Xelo PLC
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Claris Ltd.
- STARTS (Cayman) Ltd.
- Rheinwest Credit Management
- Alexandria Capital PLC
- Edam Funding One Ltd.
- Corsair Finance (Ireland) No. 6 Ltd.
- Salisbury International Investments Ltd.
- Chrome Funding Ltd.
- Signum Vanguard Ltd.
- Rutland Rated Investments
- Magnolia Finance I PLC
- Elva Funding PLC
- Quartz CDO (Ireland) PLC
- Aphex Capital PLC
- Steers Credit Linked Trust, ML Tranche
- Astir B.V.
- Corsair (Jersey) No. 4 Ltd.
- Saphir CDO (Ireland) PLC
- Curzon Funding Ltd.
- Investor Solutions Ltd.
- ELM B.V.
- STARTS (Ireland) PLC
- Lunar Funding V PLC
- Repacs Trust Series: Bayshore I
- Iris SPV PLC
- Calibre 2004-XI Ltd
- Rente Plus Co. Ltd.
- Omega Capital Investments PLC
- CID Finance B.V.
- Iridal Public Limited Company
- Delta CDO PLC
- Atlas II CDO PLC
- Ashwell Rated S.A.
- Mt. Kailash Series II
- Aria CDO II
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- ABACUS 2005-4, Ltd.
- Strata 2005-19, Limited Floating Rate Notes
- Aura (Ireland) CDO PLC
- Stichting PROFILE Securitisation I
- Halcyon 2005-2, Ltd.
- C.L.E.A.R. PLC
- Morgan Stanley Managed ACES SPC
- Aphex Pacific Capital Ltd.
- Khamsin Credit Products (Netherlands) II B.V.
- Seawall 2006-1 Ltd
- Infiniti SPC Limited
- Eiffel CDO Ltd.
- IXIS Corporate & Investment Bank and BNP Paribas (London branch)
- Baker Street Finance Ltd.
- Athenee CDO PLC
- Claris III Ltd.
- Dorset Street Finance Ltd.
- PARCS Master Trust
- Selecta CDO Ltd.
- REPACS Trust Series 2006-1 Monte Rosa
- Signum Platinum I Ltd. Series 2006-01
- Ixion PLC
- Titian CDO PLC
- REVE SPC
- Credit Default Swap
- WISE 2006-1 PLC
- STRATA 2006-35 Limited
- Pegasus 2007-1, Ltd.
- CeDeOs 1 Ltd.
- Proventus European ABS CDO PLC
- Cookson SPC
- SMART PFI 2007 GmbH
- TIERS Derby Synthetic CDO Floating Rate Credit Linked Trust
- Galena CDO II (Ireland) PLC
- Archstone Synthetic CDO II SPC
- Steers Lasso Trust Series 2007-1
- Ortelius Finance PLC
- Newport Waves CDO
- PARCS-R Master Trust
- Infinity SPC Limited
- Strata Trust, Series 2007-3
- HARBOR SPC
- Marvel Finance 2007-1 LLC
- Lorally CDO Limited Series 2007-3
- 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
- Hickory Trust
- Lunar Funding I Ltd.
- Skylark Ltd.
- Helium Capital Ltd.
- Cloverie PLC
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Trees S.A.
- Hummingbird Securitisation Ltd.
- Morgan Stanley ACES SPC
- Ocelot CDO I PLC
- Banque AIG and Bayerische Hypo- und Vereinsbank AG
- Natixis Structured Products Ltd.
- ABACUS 2004-3, Ltd.
- Omega Investments Cayman Ltd.
- Mt Kailash Series III
- Starling Finance PLC
- Modjeska Canyon S.A.
- Helix Capital (Jersey) Ltd.
- STEERS Credit Linked Trust Minoa Tranche Series 2006-1
- Pegasus 2006-1, Ltd.
- Claris IV Ltd.
- 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.
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Strata Trust, Series 2007-4
- Strata Trust, Series 2007-5
- Repacs Trust Series 2007 Rigi Debt Units
- Rabobank International and Mogador Ltd.
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-26
- NOAJ CDO Ltd.
- Landgrove Synthetic CDO SPC
- Marvel Finance 2007-4 LLC
- White Knight Investment Trust

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