With a recent research report, Standard & Poor's is the latest to throw its hat into the correlation risk arena. In a special report entitled Loss Correlations Among U.S. Consumer Assets, S&P looks at both the correlation risk between asset classes and the risks posed within asset classes. S&P's analysis, aimed primarily at CDO collateral managers, focuses on four sectors of securitization markets: mortgages on property, credit cards, auto loans and manufactured housing loans. The full report is available on S&P's Web site.
Wachovia Securities recently added interest rate hedge-related data - in the form of interest rate swaps, caps or floors - to its CDO performance parameters reported in its CDO research product, Quarterly Performance Report. In addition to Wachovia's own lead managed transactions, Wachovia will also track this data for more than 300 deals not led by Wachovia Securities.