Managed synthetics beat static tranches on downgrades

European managed synthetic collateralised debt obligation (CDO) tranches have historically suffered fewer downgrades than their static counterparts, according to data from rating agency Derivative Fitch.

Jeffery Cromartie, London-based director at the agency, says: “Every year we see a smaller percentage of downgrades in managed versus static European synthetic CDOs.”

In 2006, the proportions of Fitch-rated managed and static synthetic CDO tranches downgraded were 2.75% and 8.01% respectively

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