S&P added that if SROC falls below 100%, scenarios are run that project the current portfolio, assuming no asset rating migration, 90 days ahead. If the projection indicates that the SROC should return to a level above 100% at any time, the rating is maintained but placed on 'creditwatch' with negative implications. If, however, the projection indicates that the SROC will remain below 100%, then the rating is lowered.
S&P intends to make the SROC available to the market through a new monthly publication called the Synthetic ROC Report.
"The report will enable market participants to track the performance of individual transactions and use cross-transactional comparable metrics as investment tools in the embryonic secondary market," said S&P.
Simon Collingridge, head of European surveillance at S&P, said he hoped the new benchmark would help the market better manage its credit risk by reducing ratings volatility in the short-term.
The week on Risk.net, July 7-13, 2018Receive this by email