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April 2011 European CLO Performance Index Report: Improving CLO Performance Indicators Spur Fall In Overcollateralization Test Failures Jun 11
Standard & Poors, June 2011
Abstract
European collateralized loan obligation (CLO) transactions tracked in Standard & Poor's Ratings Services' index continued to show improvements in performance metrics during April 2011. The index provides aggregate performance statistics across the European cash flow CLO transactions that we rate. Our observations on the April 2011 performance trends of European CLOs that we rate include: 'CCC' rated assets: All of the European CLO cohorts reported decreases in the percentage of assets rated in the 'CCC' category. Senior and subordinate OC test cushions: All of the European CLO cohorts reported increases in senior overcollateralization (OC) cushions compared with March 2011, except for the 2005 vintage, which reported a small decrease in its subordinate OC ratio. The number of transactions failing their...
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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