The Structured Finance (SF) Performance dataset provides comprehensive monitoring & performance metrics for structured credit instruments such as Asset-backed Securities (ABS) and Collateralized Loan Obligations (CLO) enabling market participants to assess risk, and benchmark performance.

 With this dataset, users can access S&P Global Ratings’ view of CLO collateral credit quality, a critical insight frequently sought by investors and arrangers. It also enables the analysis of differing investment styles across asset managers, helping firms understand portfolio management strategies. Additionally, the dataset supports a review of the characteristics and outcomes of stress tests performed on structured finance deals, aiding in scenario analysis and resilience evaluation. Organizations can leverage the dataset to develop back-testing models and conduct risk management benchmarks. Finally, it facilitates a deeper assessment of the creditworthiness of underlying assets, an evaluation of structural features, and an estimation of the likelihood of default or loss.

This dataset includes: 

• Performance data, monitor metrics and generated metrics covering: 1800+ CLO deals and 14,000+ tranches, 2500+ ABS deals and 13,000+ tranches
• Key point-in-time metrics such as default rates, delinquency rates, collateral performance, trustee reported test and prepayment data across various asset classes.