S&P rolls out ABS performance tracker

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.

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