TY - JOUR T1 - The Two-Tranche Method of Estimating CDO Recovery Rates JF - The Journal of Structured Finance SP - 64 LP - 68 DO - 10.3905/jsf.2005.598333 VL - 11 IS - 3 AU - Jeffrey T Prince Y1 - 2005/10/31 UR - https://pm-research.com/content/11/3/64.abstract N2 - Similarly rated tranches are not created equal. Among other things, some tranches have better recovery potential than others. Investors who rely on rating agency look-up tables to estimate recovery rates for structured credit products may over-or underestimate recovery values. This is particularly true for managers of CDO-Squared or ABS CDO transactions. We propose the Two Tranche Method (TTM) as a way for investors to quickly estimate CDO tranche recovery rates. ER -