Fitch Ratings has launched an index tracking European static synthetic collateralized debt obligations. The index tracks the performance of 41 deals based on the ratings of the underlying corporate credits referenced in the synthetic pools. The index allows for comparisons to be made between static synthetic deals and to better understand the impact of downgrades and credit events on these deals, says Irina Kissina, analyst at Fitch in London. The index went live earlier this month.
Going forward, Fitch will develop more indices and add more transactions to the existing one. Non-European deals will be added to the static synthetic CDO index and the creation of U.S. and Global synthetic CDO indices is being considered. Fitch will also create a managed synthetic CDO index, as well as indices covering synthetic CDOs of asset-backed securities and synthetic CDOs of CDOs.