Standard and Poor’s is the latest rating agency to enhance its collateralised debt obligation (CDO) surveillance, with a product designed specifically for the CDO investor.The rating agency has launched its Rating Review Triggers, which it developed with ABSXchange, the London-based structured finance data and software provider. The companies have been working together since 2005.
The web-based service will track the performance of more than 3,700 European residential mortgage-backed securities (RMBS) rated by S&P. It tests the performance of each transaction periodically as the investor and servicer reports come in for each deal, and warns if a specific asset is close to being reviewed for downgrade.
The service monitors several factors. Improvements in pool factor and credit enhancement ratio can trigger a positive review, while negative reviews can be triggered by deterioration in delinquency ratio, delinquency growth, cumulative loss growth, cumulative loss ratio or by reserve fund reduction.
S&P says the service will also include consumer asset-backed securities and commercial mortgage-backed securities in the future.
More on Technology
Result comes despite tougher rules on market manipulation and abuse
Focus needs to be on reacting, not stopping every threat
Companies can wring more value from regulation-mandated data
Risk's annual round-up of new software developments
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.