CDO Spotlight: The Most Widely Referenced Sovereign Obligors In Standard & Poor's Rated U.S. Synthetic CDOs: Second-Half 2011 Jan 12

Standard & Poors, January 2012

Abstract
In the second half of 2011, Standard & Poor's Ratings Services initiated a handful of rating actions on the top 25 most widely referenced sovereign obligors in outstanding rated U.S. synthetic collateralized debt obligation (SCDO) transactions. We also observed that five-year credit default swap (CDS) spreads widened for all of the top 25 sovereign obligors. In addition, early terminations/redemptions among the SCDOs we track with sovereign exposure, rather than changes in SCDO exposure to sovereign debt, caused modest ranking moves among the top 25 sovereign obligors. We recently reviewed 579 corporate U.S. SCDOs and established that 321 of them reference one or more sovereign obligors. (We use the term "SCDO" to describe U.S. SCDOs that we surveil from our New...

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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