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November 2011 CLO Tranche Recovery Metrics Update Published Nov 11 Product Image

November 2011 CLO Tranche Recovery Metrics Update Published Nov 11

  • Published: November 2011
  • Standard & Poors

Abstract
NEW YORK (Standard & Poor's) Nov. 22, 2011--Standard & Poor's Ratings Services recently published its monthly update of the transaction-specific tranche recoveries it estimates for certain collateralized loan obligation (CLO) transactions included in its U.S. Corporate CDO EOD Index. The report provided recovery values Standard & Poor's estimated for 77 U.S. CLOs originated between 2003 and 2008 using its CLO tranche recovery metrics (TRM) framework. The report provides the expected recovery amount as a percent of the current outstanding balance of each CLO tranche. A TRM of less than 100% indicates Standard & Poor's view that the tranche might not receive full repayment under a given scenario. The recovery estimates incorporate transaction-specific information, such as the composition of the collateral...

Action: General Comment

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