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CLO Tranche Recovery Metrics Update: September 2010 Sep 10

  • ID: 1826882
  • September 2010
  • Standard & Poors
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FEATURED COMPANIES

  • 1776 CLO I Ltd
  • Canaras Summit CLO Ltd
  • HarbourView CLO 2006-1
  • Muir Grove CLO Ltd
  • Stone Tower CLO V Ltd
  • Telos CLO 2007-2 Ltd
  • MORE

Abstract
In July 2010, Standard & Poor's Ratings Services began publishing monthly updates of the transaction-specific tranche recoveries we estimate for certain collateralized loan obligation (CLO) transactions included in our U.S. Corporate CDO EOD Index. For September 2010, we are providing the recovery values we estimated for 77 U.S. CLOs originated between 2003 and 2008 using our CLO tranche recovery metrics (TRM) framework (see table 1). We report the expected recovery amount as a percent of the current outstanding balance of each CLO tranche. A TRM of less than 100% indicates our view that the tranche might not receive full repayment under a given scenario. Standard & Poor's CLO TRMs are not ratings. Rather, they reflect a cash-flow-based recovery analysis for...

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.

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- New Brunswick (Province of)
- New York State Electric & Gas Corp.
- Salomon Brothers Mortgage Securities VII Inc.
- Southfork CLO Ltd.
- Liberty CLO Ltd
- 1776 CLO I Ltd
- AIMCO CLO, Series 2006-A
- Atrium V
- Latitude CLO II Ltd
- Kingsland III Ltd.
- Stone Tower CLO V Ltd
- HarbourView CLO 2006-1
- Ocean Trails CLO I
- Westbrook CLO Ltd.
- WhiteHorse IV Ltd
- Stone Tower CLO VI Ltd
- Foothill CLO I Ltd
- Golden Knight II CLO Ltd
- GSC Group CDO Fund VIII Limited
- Symphony CLO III Ltd
- JMP Credit Advisors CLO I Ltd.
- Phoenix CLO III, Ltd
- Apidos Cinco CDO
- Telos CLO 2007-2 Ltd
- Voya CLO IV, Ltd.
- Fore CLO Ltd 2007-1
- Primus CLO II Ltd
- Churchill Financial Cayman Ltd.
- Battalion CLO 2007-1, Ltd.
- Goldman Sachs Asset Management CLO PLC
- Stone Tower CLO VII Ltd
- Voya CLO V, Ltd.
- Ares XI CLO Ltd.
- Symphony CLO IV Ltd
- Muir Grove CLO Ltd
- Stratford CLO Ltd.
- Dryden XVIII Leveraged Loan 2007 Limited
- Gateway CLO Ltd.
- Burr Ridge CLO Plus Ltd
- Limerock CLO I
- LightPoint CLO VII, Ltd.
- Canaras Summit CLO Ltd
- Ocean Trails CLO II
- Waterfront CLO 2007-1 Ltd
- Flatiron CLO 2007-1 Ltd.

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