S&P Assigns Centurion CDO VI Notes Ratings.
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
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|Date:||Aug 21, 2002|
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