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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

  • ID: 2026583
  • 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

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: News
This product is a is a brief one-page announcement of no more than 500 words with a quote from the analyst. It is media and investor focused with no accompanying commentary article.

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