Examples of S&P CLO Specified Assets in a sentence
S&P Default Rate Dispersion: The value calculated by multiplying the Principal Balance for each S&P CLO Specified Asset by the absolute value of the difference between the S&P Default Rate and the S&P Expected Portfolio Default Rate, then summing the total for the portfolio, then dividing this result by the Aggregate Principal Balance of the S&P CLO Specified Assets.
S&P Expected Portfolio Default Rate: The value calculated by multiplying the Principal Balance of each S&P CLO Specified Asset by the S&P Default Rate, then summing the total for the portfolio, and then dividing this result by the Aggregate Principal Balance of all of the S&P CLO Specified Assets.
S&P Obligor Diversity Measure: The value calculated by determining the Aggregate Principal Balance of the S&P CLO Specified Assets from each Obligor and its affiliates, then dividing each of these amounts by the Aggregate Principal Balance of S&P CLO Specified Assets from all the Obligors in the portfolio, squaring the result for each Obligor, then taking the reciprocal of the sum of these squares.
For purposes of this calculation, the following definitions will apply: S&P Default Rate: For each S&P CLO Specified Asset, the assumed default rate contained within S&P's default rate table (see "CDO Evaluator 7.1 Parameters Required To Calculate S&P Global Ratings Portfolio Benchmarks," or such other published table by S&P that the Collateral Manager provides to the Collateral Administrator) using the S&P CLO Specified Asset's S&P Rating and the number of years to maturity.
S&P Industry Diversity Measure: The value calculated by determining the Aggregate Principal Balance of the S&P CLO Specified Assets within each S&P Industry Classification, then dividing each of these amounts by the Aggregate Principal Balance of the S&P CLO Specified Assets from all the industries, squaring the result for each industry, then taking the reciprocal of the sum of these squares.
S&P Weighted Average Life: The value calculated by determining the number of years between the current date and the maturity date of each S&P CLO Specified Asset, then multiplying each S&P CLO Specified Asset's Principal Balance by its number of years, summing the results of all S&P CLO Specified Assets, and dividing this amount by the aggregate remaining principle balance at such time of all S&P CLO Specified Assets.
S&P CLO Specified Assets: Collateral Obligations with an S&P Rating equal to or higher than “CCC-.” S&P Collateral Value: With respect to any Defaulted Obligation or Deferring Security, the lesser of (a) the S&P Recovery Amount of such Defaulted Obligation or Deferring Security as of the relevant Measurement Date and (b) the Market Value of such Defaulted Obligation or Deferring Security as of the relevant Measurement Date.
S&P Industry Diversity Measure: The value calculated by determining the Aggregate Principal Balance of the S&P CLO Specified Assets within each S&P Industry Classification, then dividing each of these amounts by the Aggregate Principal Balance of the S&P CLO Specified Assets from all the industries,squaring the result for each industry, then taking the reciprocal of the sum of these squares.
S&P Weighted Average Life: The value calculated by determining the number of years between the current date and the maturity date of each S&P CLO Specified Asset, then multiplying each S&P CLO Specified Asset’s Principal Balance by its number of years, summing the results of all S&P CLO Specified Assets, and dividing this amount by the aggregate remaining principle balance at such time of all S&P CLO Specified Assets.