Standard & Poor's latest study of post-default recovery levels in structured finance transactions marks its fifth default survey since 2001. The survey deals with cash flow characteristics rather than secondary market analysis and uses its original ratios to calculate loss severity and recovery rates.

"Our survey refers to the liability side of the repackaged securities rather than the underlying collateral," said Erkan Erturk, primary credit analyst at S&P. "We define the recovery rate as the cash flow that investors' receive as a percentage of the original balance, up to maturity."

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