CONTENTS

STANDARD & POOR’S CRITERIA

Introduction

Section I: Description of a Synthetic CDO Transaction A. What is a Synthetic CDO? B. Types of Synthetic Transactions C. The Rating Process for Synthetic CDOs

Section II: CDS Documentation A. Reference Entities and Reference Obligation Categories and Characteristics B. Reference Price C. Credit Events D. Conditions to Payment E. Deliverable Obligations and Deliverable Obligation Categories and Characteristics F. Settlement Mechanisms G.Loss Calculation

Section III: Sizing of Defaults and Recoveries and Calculating the Credit Enhancement A. Sizing Expected Defaults Using the CDO Evaluator B. Recoveries C. Calculation of Credit Enhancement

Section IV: Timely Payment of Interest and Ultimate Payment of Principal A. Interest B. Fees C.Termination Payments/Trading Gains and Losses D. Principal and Contingent Payments E. Liquidity Considerations F. Cash Flow Analysis G.Priority of Payments

Section V: Counterparty Rating and Collateral Requirements A. Overview B. Rating Requirements for Liquidity Providers C. Rating Requirements for Reverse Repo and Put Agreement Counterparties D.Rating Requirements for the Cash Account Provider E. Rating Requirements for CDS Counterparties F. Rating Requirements for Currency and Interest Rate Swap Counterparties

Section VI: Trading and Management A. Introduction B. Types of Management C. Assessing the Credit Quality of a Changing Portfolio D. Operational Review of the Manager E. Trading Limits F. Coverage Tests G. Structural Limitations H. Trading Gains and Losses I . When Can the Manager Trade?

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