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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  • Alexandria Capital PLC
  • Claris III Ltd.
  • Elva Funding PLC
  • Lunar Funding V PLC
  • Nomura International PLC
  • Societe Generale
  • MORE

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.
- Credit Agricole CIB Finance (Guernsey) Limited
- Landesbank Baden-Wuerttemberg
- Repackaged Offshore Collateralised Kredit (Rock) Two Ltd.
- Lunar Funding I Ltd.
- Eirles Two Ltd.
- Credit and Repackaged Securities Limited
- Argon Capital PLC
- Skylark Ltd.
- Corsair (Jersey) No. 2 Ltd.
- Sceptre Capital B.V.
- Xelo PLC
- Helium Capital Ltd.
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Claris Ltd.
- STARTS (Cayman) Ltd.
- Alexandria Capital PLC
- Edam Funding One Ltd.
- Cloverie PLC
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Signum Vanguard Ltd.
- Rutland Rated Investments
- Magnolia Finance I PLC
- Elva Funding PLC
- Trees S.A.
- Hummingbird Securitisation Ltd.
- Astir B.V.
- Corsair (Jersey) No. 4 Ltd.
- Curzon Funding Ltd.
- Morgan Stanley ACES SPC
- Investor Solutions Ltd.
- ELM B.V.
- STARTS (Ireland) PLC
- Lunar Funding V PLC
- Natixis Structured Products Ltd.
- Iris SPV PLC
- Omega Capital Investments PLC
- CID Finance B.V.
- Iridal Public Limited Company
- Atlas II CDO PLC
- Ashwell Rated S.A.
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- Starling Finance PLC
- Strata 2005-19, Limited Floating Rate Notes
- Aura (Ireland) CDO PLC
- Stichting PROFILE Securitisation I
- Halcyon 2005-2, Ltd.
- Modjeska Canyon S.A.
- C.L.E.A.R. PLC
- Morgan Stanley Managed ACES SPC
- Khamsin Credit Products (Netherlands) II B.V.
- Seawall 2006-1 Ltd
- Infiniti SPC Limited
- Helix Capital (Jersey) Ltd.
- Baker Street Finance Ltd.
- Athenee CDO PLC
- Claris III Ltd.
- Dorset Street Finance Ltd.
- PARCS Master Trust
- Claris IV Ltd.
- Titian CDO PLC
- Credit Default Swap
- WISE 2006-1 PLC
- Greylock Synthetic CDO 2006
- 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
- Steers Lasso Trust Series 2007-1
- Ortelius Finance PLC
- Newport Waves CDO
- PARCS-R Master Trust
- Infinity SPC Limited
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Marvel Finance 2007-1 LLC
- Seawall 2007-2 (AAA Synthetic ReREMIC) Ltd
- Seawall 2007-3 (AAA Synthetic ReREMIC) Ltd
- Marvel Finance 2007-3 LLC
- Marvel Finance 2007-4 LLC
- White Knight Investment Trust
- Asset Repackaging Trust Six B.V.

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