Standard & Poor's London office is putting together a performance indicator for European synthetic collateralized debt obligations. Simon Collingridge, director on the surveillance team, says the indicator will be similar to an existing one used to track U.S. cash CDOs, called Rate Overcollateralization (ROC). The idea behind the new indicator is to give a straight forward view of the synthetic market's performance.
The indicator will examine deals' excess spread and underlying collateral performance. The cash CDO performance benchmark was released earlier this year and measures the tranche-by-tranche performance of the more than 500 cash CDOs the rating agency covers (BW, 4/21).