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S&P Credit Research10378 word report
published Nov 03, 2009
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S&P Credit Research
| Abstract: | Credit deterioration among U.S. collateralized loan obligation (CLO) transactions appeared to slow down in September 2009. Although speculative-grade corporate defaults continued to generally have a negative impact on the performance of loans in the transactions' collateral portfolios, the average senior overcollateralization (O/C) ratios for the 2003-2008 vintage CLOs improved from August. While the proportion of defaulted loans held in the average CLO collateral pool increased for most of the cohorts, the percentage of loans from 'CCC' rated obligors decreased. Additionally, the rise in market prices continued to contribute to an improvement in the O/C ratios, as many transactions carry 'CCC' rated assets at market value for purposes of calculating the O/C ratios. For specific definitions of the performance fields we
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| Brief Excerpt: | RESEARCH Ratings Definitions September 2009 U.S. CLO Index Report: O/C Ratios Continue To Improve For All Cohorts Publication date: 03-Nov-2009 Primary Credit Analysts: Jayashree Subramanian, New York (1) 212-438-3594; jayashree_subramanian@standardandp...
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| Report Type: | Commentary
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| Sector: | Structured Finance
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| Free Sample: |
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S&P Credit Research provides analysis on issuers and debt obligations of corporations, states and municipalities, financial institutions, insurance companies and sovereign governments. S&P also offers insight into the credit risk of structured finance deals, providing an independent view of credit risk associated with a growing array of debt-securitized instruments.
