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August 2011 European CLO Performance Index Report: Decrease In 'CCC' And Defaulted Assets Along With Increasing OC Cushions Signal Improving CLO Performance Nov 11
Standard & Poors, Nov 2011
Abstract
European collateralized loan obligation (CLO) transactions tracked in Standard & Poor's Ratings Services' index highlighted several changes in performance metrics during August 2011. The index provides aggregate performance statistics across the European cash flow CLO transactions that we rate. Our observations on the August 2011 performance trends of European CLOs that we rate include: Senior and subordinate OC test cushions: All but one of the European CLO cohorts experienced increases in their reported senior OC ratio cushions. Junior OC ratio test cushions showed increases for the 2005, 2006, and 2008 cohorts, but decreases for the 2004 and 2007 vintages. All vintages reported decreases in the percentage of defaulted assets in August 2011. The number of transactions reported to be failing...
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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