Global SROC Report: April 2011 Portfolio Benchmarks And SROC For 1,462 Synthetic CDO Tranches Jun 11

Standard & Poors, June 2011

Abstract
Since the March 2011 SROC (synthetic rated overcollateralization) report, 80 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 April was below 100%. 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 1,462 individual CDO tranches. It represents publicly rated transactions in Europe, U.S., Japan, Hong Kong, Singapore, and Australasia, for which we assigned currently outstanding ratings on or before March 31, 2011. We base our analysis on portfolio compositions as reported to...

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.

- Natixis S.A.
- Deutsche Bank AG
- Swedish Export Credit Corp.
- Toronto-Dominion Bank
- The Royal Bank of Scotland N.V.
- The Bank of Nova Scotia
- Nomura International PLC
- SGA Societe Generale Acceptance N.V.
- UBS AG (Jersey Branch)
- Jupiter Finance Ltd.
- UBS AG
- Credit Agricole CIB Finance (Guernsey) Limited
- Lunar Funding I Ltd.
- Eirles Two Ltd.
- Eirles Four Ltd.
- Credit and Repackaged Securities Limited
- Brooklands Euro Referenced Linked Notes 2002-1 Ltd.
- Signum Finance II PLC
- Argon Capital PLC
- Coriolanus Ltd.
- ARLO Ltd.
- Corsair (Jersey) No. 2 Ltd.
- UBS AG (London Branch)
- Sceptre Capital B.V.
- Xelo PLC
- Helium Capital Ltd.
- Green Forest Securities Ltd.
- Momentum CDO (Europe) Ltd.
- Tribune Ltd.
- Arosa Funding Ltd.
- Claris Ltd.
- STARTS (Cayman) Ltd.
- Rheinwest Credit Management
- Alexandria Capital PLC
- Thunderbird Investments PLC
- Edam Funding One Ltd.
- Corsair Finance (Ireland) No. 6 Ltd.
- Salisbury International Investments Ltd.
- Cloverie PLC
- CreON Ltd.
- Brooklands Euro Referenced Linked Notes 2004-1 Ltd.
- Signum Vanguard Ltd.
- Rutland Rated Investments
- Chiswell Street Finance Ltd.
- Magnolia Finance I PLC
- Elva Funding PLC
- Quartz CDO (Ireland) PLC
- Aphex Capital PLC
- Linker Finance PLC (Ireland)
- Aria CDO I
- Steers Credit Linked Trust, ML Tranche
- IONA CDO I
- Prism Colgate Orso Trust
- Asgard CDO PLC
- Hummingbird Securitisation Ltd.
- Astir B.V.
- Corsair (Jersey) No. 4 Ltd.
- Saphir CDO (Ireland) PLC
- Curzon Funding Ltd.
- Morgan Stanley ACES SPC
- ORSO Portfolio Tranche Index Certificates
- ELM B.V.
- Essential Public Infrastructure Capital PLC
- Corsair Finance (Ireland) No. 8 Ltd.
- STARTS (Ireland) PLC
- Aphex Capital MOTIVE Series 2004-C
- Banque AIG and Bayerische Hypo- und Vereinsbank AG
- Lunar Funding V PLC
- Repacs Trust Series: Bayshore I
- Prime Square CDO Ltd.
- Natixis Structured Products Ltd.
- ABACUS 2004-3, Ltd.
- Iris SPV PLC
- Betsen CDO Ltd.
- Calibre 2004-XI Ltd
- Rente Plus Co. Ltd.
- Hemisphere CDO PLC
- Omega Capital Investments PLC
- CID Finance B.V.
- Alpha Financial Products Ltd. Series 1
- Iridal Public Limited Company
- Prelude Europe CDO Ltd.
- Delta CDO PLC
- Magnolia Finance II PLC
- Credit-Linked Trust Certificates
- Atlas II CDO PLC
- Ashwell Rated S.A.
- Mt. Kailash Series II
- Midgard CDO PLC
- Mt Kailash Series III
- Aria CDO II
- Brooklands Euro Referenced Linked Notes 2005-1 Ltd.
- ABACUS 2005-4, Ltd.
- Seawall SPC
- 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
- Aphex Pacific Capital Ltd.
- Khamsin Credit Products (Netherlands) II B.V.
- TIERS Georgia Floating Rate Credit Linked Trust, Series 2006-1
- STEERS Thayer Gate CDO Trust, Series 2006-2
- STEERS Thayer Gate CDO Trust, Series 2006-5
- STEERS Thayer Gate CDO Trust, Series 2006-6
- Seawall 2006-1 Ltd
- Infiniti SPC Limited
- Helix Capital (Jersey) Ltd.
- SPGS SPC
- Echo Funding Pty Ltd. Series 19
- Echo Funding Pty Ltd. Series 20
- Echo Funding Pty Ltd. Series 21
- Castlereagh Trust - Series 1
- Castlereagh Trust - Series 2
- Eiffel CDO Ltd.
- Baker Street Finance Ltd.
- Athenee CDO PLC
- STRATA Trust, Series 2006-10
- STEERS High-Grade CMBS Resecuritization Trust
- Ionia Capital PLC
- Claris III Ltd.
- London Wall 2006-1 Ltd.
- STEERS Randolph Gate CDO Trust Series 2006-1
- STEERS Credit Linked Trust Minoa Tranche Series 2006-1
- Arran Corporate Loans No. 1 B.V.
- Essential Public Infrastructure Capital II GmbH
- Dorset Street Finance Ltd.
- Credit Linked Notes Ltd. 2006-1
- PARCS Master Trust
- Selecta CDO Ltd.
- HARBOR SPC
- AMP CMBS 2006-1
- Modjeska Canyon SPC
- Pegasus 2006-1, Ltd.
- REPACS Trust Series 2006-1 Monte Rosa
- Signum Platinum I Ltd. Series 2006-01
- Script Securitisation Pty Ltd. Southern Cross 2006-1
- Lorally CDO Limited Series 2006-2
- Silk Road Plus PLC
- Titian CDO PLC
- REVE SPC
- Credit Default Swap
- Fermat Ltd.
- AMP CMBS 2006-2
- Lorally CDO Limited Series 2006-4
- WISE 2006-1 PLC
- Titian 7yr Swap 2
- Greylock Synthetic CDO 2006
- STRATA 2006-35 Limited
- Ghisallo Limited
- Heartland Funding PLC
- Signum Platinum II Ltd. Series 2006-01
- Calculus CMBS Resecuritization Trust Series 2006-8
- Calculus CMBS Resecuritization Trust Series 2006-9
- Pegasus 2007-1, Ltd.
- CeDeOs 1 Ltd.
- Cerigo Capital Ltd.
- Proventus European ABS CDO PLC
- ARLO VII Ltd.
- SMART PFI 2007 GmbH
- 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
- Archstone Synthetic CDO II SPC
- Obelisk Trust 2007-1-Sonoma Valley
- Steers Lasso Trust Series 2007-1
- Calculus CMBS Resecuritization Trust Series 2007-1
- Primoris SPC Ltd
- Ortelius Finance PLC
- Newport Waves CDO
- PARCS-R Master Trust
- Infinity SPC Limited
- Deutsche Bank AG London and N.V. Slibverwerking Noord-Brabant
- Strata Trust, Series 2007-3
- Etude Finance B.V.
- Strata Trust, Series 2007-4
- Strata Trust, Series 2007-5
- Marvel Finance 2007-1 LLC
- Repacs Trust Series 2007 Rigi Debt Units
- Calculus CMBS Resecuritization Trust, Series 2007-2
- Rabobank International and Mogador Ltd.
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-26
- Tiers Wolcott Synthetic CDO Floating Rate Credit Linked Trust Series 2007-27
- Lorally CDO Limited Series 2007-3
- NOAJ CDO Ltd.
- Strata Trust, Series 2007-7
- Aphex Capital NSCR 2007-7SR Ltd
- 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
- Landgrove Synthetic CDO SPC
- Abacus 2006-10, Ltd
- Start V CLO Ltd.
- Start V CLO LLC
- Asiamea CLO Ltd.
- Asiamea CLO LLC
- Marvel Finance 2007-4 LLC
- White Knight Investment Trust
- Hickory Trust

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