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European CLO Performance Index Report: December 2009 Feb 10

Description:
Abstract
Standard & Poor's Ratings Services' European CLO Performance Index Report provides aggregate monthly performance statistics across its rated universe of European cash flow collateralized loan obligation (CLO) transactions, which are backed primarily by loans to speculative-grade firms. The report highlights what we view as a number of key risk areas for the transactions, and which we use as part of our analysis of the credit quality of securitized portfolios and of the transactions' payment structure and cash flow mechanics. These include rating migration within the underlying collateral portfolios and changes in the levels of senior and subordinate par coverage and interest coverage ratios, as well as other information. We are providing this information to help market participants track the overall...

Standard and Poors RatingsXpress Credit Research provides in-depth coverage of international corporates, financial institutions, insurance companies, utilities, sovereigns and structured finance programs. RatingsXpress Credit Research lets users determine the credit rating of holdings and identify key factors underlying an issuer's creditworthiness, distinguishes the different risk exposures for new and existing deals, and provides an understanding of how their analysts interpret key regulatory, political and environmental events and their economic impact.

Research Type: Commentary
Criteria articles describe the thought process and methodology Standard & Poor's analysts use in determining ratings. These commentary pieces discuss both the quantitative (economic and financial) and qualitative (business analysis and caliber of management) aspects of the analysis, as well as legal issues.
Companies Mentioned
- Clarenville CDO S.A.
- Jubilee CDO III B.V.
- Leopard CLO II B.V.
- Harvest CLO I S.A.
- Petrusse European CLO S.A.
- Duchess III CDO S.A.
- Jubilee CDO IV B.V.
- Harbourmaster CLO 4 B.V.
- Adagio CLO I B.V.
- Eurocredit CDO IV B.V.
- Avoca CLO II B.V.
- Alzette European CLO S.A.
- Global Enhanced Loan Fund S.A.
- Hamlet I Leveraged Loan Fund B.V.
- Leopard CLO III B.V.
- CELF Loan Partners B.V.
- Duchess IV CLO B.V.
- Harvest CLO II S.A.
- GSC European CDO II S.A.
- Jubilee CDO V B.V.
- Silver Birch CLO I B.V.
- Harbourmaster CLO 5 B.V.
- Avoca CLO III PLC
- RMF Euro CDO III PLC
- Wood Street CLO I B.V.
- ORYX European CLO B.V.
- CELF Loan Partners II PLC
- Harbourmaster CLO 6 B.V.
- Duchess V CLO B.V.
- Cadogan Square CLO B.V.
- Adagio II CLO PLC
- Avoca CLO IV PLC
- Hyde Park CDO B.V.
- Cheyne Credit Opportunity CDO I B.V.
- Dryden X-Euro CLO 2005 PLC
- BACCHUS 2006-1 PLC
- Wood Street CLO II B.V.
- Magi Funding I PLC
- Gresham Capital CLO 1 B.V.
- Mercator CLO I PLC
- Harvest CLO III PLC
- European Enhanced Loan Fund S.A.
- Eaton Vance CDO VII PLC
- Gateway III - Euro CLO S.A.
- RMF Euro CDO IV PLC
- Alpstar CLO 1 PLC
- Halcyon Structured Asset Management European CLO 2006-I B.V.
- Dalradian European CLO I B.V.
- Wood Street CLO III B.V.
- Leopard CLO IV B.V.
- Nash Point CLO
- Avoca CLO V PLC
- Laurelin B.V.
- Grosvenor Place CLO I B.V.
- Highlander Euro CDO B.V.
- Theseus European CLO S.A.
- Vallauris II CLO PLC
- Cadogan Square CLO II B.V.
- Oak Hill European Credit Partners I PLC
- Adagio III CLO PLC
- Jubilee CDO VI B.V.
- Harvest CLO IV PLC
- BACCHUS 2006-2 PLC
- DRYDEN XIV - EURO CLO 2006 PLC
- Harbourmaster Pro-Rata CLO 2 B.V.
- Regent's Park CDO B.V.
- Duchess VI CLO B.V.
- Jubilee CDO VII B.V.
- Eurocredit CDO V PLC
- CELF Loan Partners III PLC
- Euro-Galaxy CLO B.V.
- Gresham Capital CLO II B.V.
- Avoca CLO VI PLC
- Dalradian European CLO II B.V.
- Versailles CLO M.E. I PLC
- Egret Funding CLO I PLC
- Cairn CLO I B.V.
- eleX Alpha S.A.
- Green Park CDO B.V.
- Duchess VII CLO B.V.
- Gresham Capital CLO III B.V.
- Aquilae CLO II PLC
- Queen Street CLO I B.V.
- Harbourmaster CLO 7 B.V.
- CELF Low Levered Partners PLC
- Harbourmaster CLO 8 B.V.
- Wood Street CLO IV B.V.
- Lombard Street CLO I PLC
- Halcyon Structured Asset Management European CLO 2006-II B.V.
- Cordatus Loan Fund I PLC
- GSC European CDO I-R S.A.
- Eurocredit CDO VI PLC
- Mercator CLO II PLC
- Cadogan Square CLO III B.V.
- Grosvenor Place CLO II B.V.
- KINTYRE CLO I PLC
- Gateway II Euro CLO B.V.
- LightPoint Pan-European CLO 2006 plc
- Dalradian European CLO III B.V.
- Penta CLO 1 S.A.
- Avoca CLO VII PLC
- Neptuno CLO I B.V.
- RMF Euro CDO V PLC
- Jubilee CDO I-R B.V.
- Ares Euro CLO I B.V.
- Harvest CLO V PLC
- Alpstar CLO 2 PLC
- Eurocredit CDO VII PLC
- DRYDEN XV - EURO CLO 2006 PLC
- St. Paul's CLO 1 B.V.
- BACCHUS 2007-1 PLC
- Eaton Vance CDO X PLC
- Gateway IV - Euro CLO S.A.
- Leopard CLO V B.V.
- Malin CLO B.V.
- Cadogan Square CLO IV B.V.
- Queen Street CLO II B.V.
- Highlander Euro CDO III B.V.
- Gresham Capital CLO IV B.V.
- CELF Loan Partners IV PLC
- GSC European CDO V PLC
- Ares European CLO III B.V.
- Cordatus Loan Fund II PLC
- Harbourmaster CLO 9 B.V.
- Laurelin II B.V.
- Wood Street CLO V B.V.
- Halcyon Structured Asset Management European CLO 2007-1 B.V.
- Oak Hill European Credit Partners II PLC
- Avoca CLO VIII Ltd.
- Harbourmaster Pro-Rata CLO 3 B.V.
- ACA Euro CLO 2007-1 PLC
- Dalradian European CLO IV B.V.
- Intermediate Finance II PLC
- Contego CLO I B.V.
- Strawinsky I PLC
- Wood Street CLO VI B.V.
- Cairn CLO II B.V.
- Mercator CLO III Ltd.
- Grosvenor Place CLO III B.V.
- Euro-Galaxy II CLO B.V.
- Windmill CLO I Ltd.
- PDM CLO I B.V.
- Jubilee CDO VIII B.V.
- Axius European CLO S.A.
- Avoca CLO IX Ltd.
- Munda CLO I B.V.
- Lightpoint Pan-European CLO 2007-1 PLC
- Eurocredit CDO VIII Ltd.
- St. James's Park CDO B.V.
- Harbourmaster CLO 10 B.V.
- Ares European CLO II B.V.
- Global Senior Loan Index Fund 1 B.V.
- CLAVOS Euro CDO Ltd.
- Neptuno CLO II B.V.
- Static Loan Funding 2007-I Ltd.
- NAC EuroLoan Advantage I Ltd.
- BASE CLO I B.V.
- Eurocredit Opportunities Parallel Funding I Ltd.
- Harbourmaster CLO 11 B.V.
- Halcyon Structured Asset Management European Long Secured/Short Unsecured CLO 2008-I B.V.
- Highlander Euro CDO II B.V. / Highlander Euro CDO II (Cayman) Ltd.
- CELF Loan Partners V Ltd.
- Euro Atlantis CLO Ltd.
- Jubilee CDO IX B.V.
- Highlander Euro CDO IV B.V.
- Gresham Capital CLO V B.V.
- Global Loan Opportunity Fund B.V.
- Halcyon Structured Asset Management CLO 2008-II B.V.
- Cordatus Recovery Partners I Ltd.
- CELF Loan Partners 2008-2 Ltd.
- Fugu CLO B.V.
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