The document outlines the S&P CDO Monitor Test, which evaluates the Loss Rate Differential for Senior Notes in a portfolio. It defines key terms such as Break-Even Default Rate, Loss Rate Differential, S&P Scenario Default Rate, and S&P Recovery Rate, among others. The test ensures that the Loss Rate Differential remains positive or improves after any acquisition or sale of a Collateral Obligation.
doj/DataSet10/EFTA01376134.pdf
{"document_type":"legal","document_subtype":"financial instrument definition","key_organizations":["S&P"],"reference_numbers":["DB-SDNY-0072013","SDNY_GM_00218197","EFTA01376134"]}