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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 Ratings Service

A company, such as Moody's or Standard & Poor's, that rates various debt and preferred stock issues for safety of payment of principal, interest, or dividends.
 today assigned as·sign  
tr.v. as·signed, as·sign·ing, as·signs
1. To set apart for a particular purpose; designate: assigned a day for the inspection.

 its ratings to Centurion CDO (Collaborative Data Objects) A programming interface from Microsoft for accessing MAPI-based e-mail, calendaring and scheduling servers. Originally called "OLE Messaging" and "Active Messaging," CDO wraps the Enhanced MAPI library into a COM object that provides the  VI Ltd./Centurion CDO VI Corp.'s (Centurion CDO VI) $367 million notes (see list).

Centurion CDO VI is a collateralized loan obligation Collateralized loan obligation (CLO)

A security backed by a pool of commercial or personal loans , structured so that there are several classes of bondholders with varying maturities, called tranches. Similar in structure to Collateralized Mortgage Obligations.
 backed primarily by a minimum of 95% loans and is structured as a cash flow transaction.

The transaction is actively managed by American Express American Express (NYSE: AXP), sometimes known as "AmEx" or "Amex", is a diversified global financial services company, headquartered in New York City. The company is best known for its credit card, charge card and traveler's cheque businesses.  Asset Management Group Inc. and has a maximum ramp-up period of five months followed by a five-year reinvestment Reinvestment

Using dividends, interest and capital gains earned in an investment or mutual fund to purchase additional shares or units, rather than receiving the distributions in cash.

1. In terms of stocks, it is the reinvestment of dividends to purchase additional shares.

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, and on the Standard & Poor's Ratings Services Web site at

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
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Publication:Business Wire
Date:Aug 21, 2002
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