The document outlines the definitions and criteria for the S&P CDO Monitor Test, which evaluates the risk and performance of Collateralized Debt Obligations (CDOs). It includes definitions for terms such as Break-Even Default Rate, Loss Rate Differential, S&P Scenario Default Rate, and S&P Recovery Rate, among others. The document specifies how these metrics are calculated and their significance in assessing the financial health of CDOs.
documents/vol00010-efta01365317-pdf.pdf
{"document_type":"other","document_subtype":"financial instrument definition","key_organizations":["S&P"],"reference_numbers":["DB-SDNY-0056018","SDNY_GM_00202202","EFTA01365317"]}