Fitch2010年5月亚洲资产负债表外的cdo.pdf

Structured Finance  Structured Credit  Asian Balance‐Sheet CDOs  AsiaPacific  Performance Report  Performance Review  Analysts  Summary  Kate Lin This report provides an overview of the performance of five outstanding pan‐Asian +852 2263 9912 balance‐sheet collateralised debt obligation transactions (BS CDOs). These five kate.lin@ balance‐sheet transactions share some common characteristics: the portfolios have Jackie Lee substantial exposure to the Asia Pacific region, ranging from 52% to 86%; and the +8862 8175 7613 motivation for the transactions was for regulatory capital relief and risk jackie.lee@ management purposes. In summary, these transactions have weathered the shock Alison Ho of the global financial crisis relatively well, which has resulted in a 100% +852 2263 9937 affirmation rate in 2009 and Q110.  alison.ho@ Portfolio Performance Transaction performance has been stable with limited defaults to date, ranging from 0% to 0.6% of the respective portfolio’s initial notional amount. Portfolio negative rating migration has been moderate and thus each respective portfolio’s weighted‐average rating has remained broadly unchanged. The stable portfolio performance suggests a lack of adverse selection and seems to match the lower downgrade rate of Fitch‐rat