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
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
Markup language could reduce high levels of operational risk
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.