- Language: English
- Published: January 2012
CDO Spotlight: CLO Tranche Recovery Metrics Update: May 2011 May 11
- Published: May 2011
- Standard & Poors
Standard & Poor's Ratings Services publishes monthly updates of the transaction-specific tranche recoveries we estimate for certain collateralized loan obligation (CLO) transactions included in our U.S. Corporate CDO EOD Index. For May 2011, we are providing the recovery values we estimated for 77 U.S. CLOs originated between 2003 and 2008 using our CLO tranche recovery metrics (TRM) framework (see table 1). We report the expected recovery amount as a percent of the current outstanding balance of each CLO tranche. A TRM of less than 100% indicates our view that the tranche might not receive full repayment under a given scenario. Standard & Poor's CLO TRMs are not ratings. Rather, they reflect a cash-flow-based recovery analysis for individual CLO tranches given...
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Research Type: Commentary
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