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U.S. CLO Tranche Recovery Metric (TRM)

Based on our framework for estimating recoveries on collateralized loan obligation (CLO) tranches, Standard & Poor's Ratings Services provides these values for the relevant transactions in our U.S. Corporate CDO EOD Index. Our CLO Tranche Recovery Metric (CLO TRM), which we express as a percent of the current balance of the security, reflects a cash-flow-based recovery analysis for individual CLO tranches, given a set of hypothetical economic scenarios and certain collateral default and recovery assumptions.

A CLO TRM is not a rating. Rather, we designed this metric to offer supplementary analytics to market participants who seek additional analytic capabilities and greater transparency in the CLO Sector.

Current Reports

CDO Spotlight: Standard & Poor's Synthetic Tranche Recovery Metric Results, August 31, 2012

CDO Spotlight: CLO Tranche Recovery Metrics Update, August 18, 2011

CDO Spotlight: Standard & Poor's Synthetic Tranche Recovery Metric Results: July 2012, July 31, 2012

CDO Spotlight: Standard & Poor's Synthetic Tranche Recovery Metrics Results: July 2012, July 10, 2012


Framework


S&P Report Provides CLO Tranche Recovery Metrics For U.S. CLOs Under Hypothetical Scenarios, July 14, 2010

Standard & Poor's CLO Tranche Recovery Metrics Provide Recoveries For U.S. CLOs Under Hypothetical Scenarios, July 13, 2010