S&P places six Asia-Pacific CDOs on CreditWatch negative

The Asia-Pacific CDOs placed on CreditWatch negative were ARLO Ltd Series 2006 (Opus – 1), Corsair (Jersey) No2 Ltd Series 69, Echo Funding Pty Ltd Series 19, Echo Funding Pty Ltd Series 20, Echo Funding Pty Ltd Series 21 and Obelisk Trust 2006-1 Eden. The SROC (synthetic rated overcollateralisation) levels for these CDOs fell below 100% during the end-of-month SROC analysis for June 2006, leading S&P to place their ratings on CreditWatch negative. The ARLO Ltd Series 2006 (Opus – 1) was a ¥1 billion ($8.7 million) synthetic CDO transaction arranged by Barclays Capital and referenced to a portfolio of mainly European and American names, and some Australian and Asian names. The Echo Funding Pty Ltd Series were originated by ANZ Banking Group, and the Obelisk Trust 2006-1 Eden is a A$52.5 million transaction due April 2011 by Société Générale. At the same time, S&P affirmed the AA- rating on Obelisk Trust 2005-1, and the BBB- rating on Security Holding Investment Entity Linking Deals Pty Ltd Series 8. S&P said the latest action was in line with changes to the format of its SROC report in December 2005. The June SROC report is due to be published shortly, following a full review of tranches for which SROC was below 100%. The agency added that in the week following the publication of the June SROC report, a full review of the affected tranches will be performed and appropriate rating actions, if any, will be taken. The SROC methodology captures the major influences on a portfolio’s performance, such as events of default, asset migration, amortisation of assets and time decay. When SROC is 100%, there is exactly sufficient credit enhancement to maintain a rating on a tranche. When SROC is below 100%, the provided level of credit enhancement does not meet S&P’s estimation of the required first-loss amount at a given rating level. Since the April 2006 SROC report, 135 tranches across the globe have been subject to rating actions by S&P.
  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: