Printer Friendly

S&P Assigns Centurion CDO VI Notes Ratings.

Business Editors

NEW YORK--(BUSINESS WIRE)--Standard & Poor's

Aug. 21, 2002-- Standard & Poor's Ratings Services today assigned its ratings to Centurion CDO VI Ltd./Centurion CDO VI Corp.'s (Centurion CDO VI) $367 million notes (see list).

Centurion CDO VI is a collateralized loan obligation backed primarily by a minimum of 95% loans and is structured as a cash flow transaction.

The transaction is actively managed by American Express Asset Management Group Inc. and has a maximum ramp-up period of five months followed by a five-year reinvestment period.

The ratings are based on the following:
-- Adequate credit support provided by subordination and excess spread;

-- Characteristics of the underlying collateral pool, consisting primarily of senior secured loans;

-- A hedge agreement in the form of a floor entered into with Credit Suisse First Boston International (double-'A'-minus/'A-1'-plus) to mitigate the interest rate risk created in a low interest rate environment;

-- Scenario default rate of 32.67% for the class A notes, 24.43% for the class B notes, 21.87% for the class C notes, and 16.32% for the class D notes; and a break-even loss rate of 39.00% for the class A notes, 30.50% for the class B notes, 28% for the class C notes, and 23% for the class D notes;

-- Weighted average maturity (WAM) of 5.129 for the portfolio;

-- Expected portfolio default rate (EPDR) of 15.407%;

-- Standard deviation (SD) of portfolio default rate of 3.884%;

-- Weighted average correlation (WACorr) of 0.564% for the portfolio; and

-- Under Standard & Poor's stresses, interest on the class B, C, and D notes is deferred for some periods, thus the ratings on the these notes address the ultimate payment of interest and principal.


Additional information on CDOs and the related CDO Manager Focus Report for American Express Asset Management Group Inc. is available on RatingsDirect, Standard & Poor's Web-based credit analysis system at www.ratingsdirect.com, and on the Standard & Poor's Ratings Services Web site at www.standardandpoors.com.


RATINGS ASSIGNED
Centurion CDO VI Ltd./Centurion CDO VI Corp.

Class Rating Amount (Mil. $)
A AAA 308
B-1 A- 18
B-2 A- 19
C BBB 12
D-1 BB 4
D-2 BB 2
D-3 BB 4



Copyright 2002, Standard & Poor's Ratings Services
COPYRIGHT 2002 Business Wire
No portion of this article can be reproduced without the express written permission from the copyright holder.
Copyright 2002, Gale Group. All rights reserved. Gale Group is a Thomson Corporation Company.

 Reader Opinion

Title:

Comment:



 

Article Details
Printer friendly Cite/link Email Feedback
Publication:Business Wire
Date:Aug 21, 2002
Words:372
Previous Article:ICS Offers Optimal Drive Duplication At Transfer Speeds Up to 2 GB Per Minute!
Next Article:New name, new labels, new direction... Phillips Goes On a First Name Basis: Now It's Michael - David Vineyards.


Related Articles
S&P: AMEX Asset Mgmt US High-Yield Loan CDO Mgr Focus.
S&P Report on Amex Asset Management Under Revision.
S&P Lowers Ratings on WestLB AG-Linked CDO Tranches.
S&P Asgns Eaton Vance CDO VI Ltd Notes Prelim Ratings.
Fitch Rates Trapeza CDO VI.
Fitch Ratings Affirms Blue Heron Funding VI Ltd.
Fitch Rates Newcastle CDO VI, Ltd. 'F1+/AAA/AAA/AA/A/BBB'.
Fitch Rates Independence VI CDO, Ltd. / Inc.
NorthStar Realty Finance prices sixth CDO at $450m.
Fitch Rates N-Star REL CDO VI, LTD./LLC.

Terms of use | Copyright © 2014 Farlex, Inc. | Feedback | For webmasters