The Arbitrage CLO Performance Index aggregates performance information across Standard & Poor's rated arbitrage collateralized loan obligations (CLO; CDO transactions in which at least 80% of the collateral is composed of leveraged loans) in a number of key risk areas, including purchases, sales, and defaults of collateral debt securities, and senior and subordinate over-collateralization ratios.

These research articles are updated regularly and are available to subscribers of RatingsDirect®, Standard & Poor's Web-based credit research and analysis system, at www.ratingsdirect.com. If you are not a RatingsDirect subscriber, you may purchase individual copies of these reports by contacting RatingsDirect. Members of the media may request a copy of this report by contacting the media representative.

Ratings information can also be found on Standard & Poor's public Web site under Credit Ratings.