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Recovery Rates For Credits In Global Synthetic CDOs Structured Finance Report Q1 2006 May 06
Standard & Poors, May 2006
Abstract
Credit events were called on two obligors during the fourth quarter of 2005, and another two in the first quarter of 2006. These included the widely referenced Delphi Corp. and Dana Corp. In total, there were more than 1,000 references to these entities in synthetic CDOs globally. Recent ISDA settlement auctions have highlighted a recovery basis between index CDS trades and synthetic CDOs. The cumulative global average recovery rate on credit events called through the first quarter of 2006 has been approximately 38%. The first quarter of 2006 and the fourth quarter of 2005 both experienced two obligors triggering credit events in synthetic CDOs that we have rated globally. Between them, these four obligors accounted for just over 1,000 individual...
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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