Wednesday, December 10, 2008

600 billion bottles of beer on the wall

(S&P released its monthly global SROC report for October late last week, showing that 1,951 tranches have SROC numbers below 100. Translation : a lot more 'negative implications', downgrades and forced unwinding in the future. Citigroup says that triple-A and double-A rated CDOs generally still appear to have a reasonable amount of SROC cushion ... for now.-AM)

Published on Fri, Dec 05, 2008 at 13:20 , Updated at Fri, Dec 05, 2008 at 19:30
Source :

Standard & Poor’s Ratings Services today placed the ratings on 42 Asia-Pacific (excluding Japan) synthetic collateralized debt obligations (CDOs) on CreditWatch with negative implications.

For those transactions that have been placed on CreditWatch with negative implications, the SROC (synthetic rated overcollateralization) fell below 100% at the current rating level in the end-of-month analysis for November 2008.

The Global SROC Report with the SROC analysis as of end-November 2008 will be published shortly. In the week following the publication of the report, a full review of the affected tranches of Asia-Pacific synthetic CDOs will be performed and appropriate rating actions, if any, will be taken. The Global SROC Report provides SROC and other performance metrics on more than 3,000 individual CDO tranches.

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