Standard & Poor's plans to issue reports on collateralized debt obligation managers detailing the level of risk the manager will take. The ratings agency already produces these reports for cash arbitrage CDOs in the U.S., but it plans to extend the service to Europe and managed synthetic deals, according to Mario Jadotte, director in the structured finance group in London. S&P will not provide a rating but it will offer detailed information about the composition of the portfolio and how the manager will run it. These will be co-authored by its structured finance group and its fund services group.
The European reports will be based on their U.S. equivalents but will include additional information, such as foreign exchange risk, because the liabilities may be in euros but the assets in several currencies, said Jadotte.
The reports will be free to investors, according to Jadotte. He said the rating agency already collects this information as part of its rating process but has only decided to make it available now as the products become more popular and it has received requests from investors.