Contents
Executive Summary ..........................1
Introduction and Background ............3
Ratings Performance to Nov 2007 .....5
US ABS (NonReal
Estate)................8
US Consumer ABS ...........................8
US Commercial ABS ......................14
US RMBS.......................................18
US CMBS.......................................24
European Structured Finance...........29
European ABS ................................29
European RMBS .............................33
European CMBS .............................36
Global CDOs ..................................39
Global Investment Grade (“IG”)
Corporate CDOs..............................41
Global HY Bond CDOs/CBOs ........42
Global Leveraged Loan
CDOs/CLOs....................................42
Global MV CDOs ...........................43
US CDOs........................................44
SF CDOs ........................................44
CRE CDOs .....................................45
Middle Market CLOs ......................46
TruPS CDOs...................................46
European CDOs ..............................47
SME CDOs .................................47
SF CDOs ........................................48
CDOs of CDOs ...............................48
AsiaPacific
Structured Credit .........49
Asia Pacific Structured Finance.......51
New Zealand Structured Finance .....52
Japan Structured Finance.................52
NonJapan
Asia Structured Finance .53
Emerging Market Structured Finance56
Appendix 1 ─ Historical Ratings
Performance – Update.....................60
Appendix 2 ─ Ratings Performance
Ratios .............................................62
Appendix 3 ─ Distressed Recovery
Ratings............................................63
Appendix 4 .....................................64
Contributors....................................65

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