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August 2010 European CLO Performance Index Report: 'CCC' And Defaulted Asset Levels Fall Oct 10
Standard & Poors, Oct 2010
Abstract
Standard & Poor's Ratings Services' rated European collateralized loan obligation (CLO) transactions appeared to show improvement in several performance metrics in August 2010, including decreases in the percentage of 'CCC' and defaulted assets. Our latest monthly European CLO Index Report features our observations on the August 2010 performance trends of European CLOs we rate, which include: 'CCC' rated assets: The 2004-2008 European collateralized loan obligation (CLO) cohorts reported decreases in the percentage of assets rated in the 'CCC' category ('CCC+', 'CCC', or 'CCC-'), compared with July 2010. Defaulted assets: All of the European CLO cohorts except 2008 reported decreases in the percentage of defaulted assets (i.e., assets from obligors rated 'CC', 'SD', [selective default], or 'D'). Senior overcollateralization (OC) cushions:...
Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.
Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
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