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CLO Tranche Recovery Metrics Update: September 2010 Sep 10 Product Image

CLO Tranche Recovery Metrics Update: September 2010 Sep 10

  • Published: September 2010
  • Standard & Poors

FEATURED COMPANIES

  • 1776 CLO I Ltd
  • Canaras Summit CLO Ltd
  • HarbourView CLO 2006-1
  • LightPoint CLO VII, Ltd.
  • Rampart CLO 2006-I Ltd.
  • T2 Income Fund CLO I 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...

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- New Brunswick (Province of)
- New York State Electric & Gas Corp.
- Salomon Brothers Mortgage Securities VII Inc.
- Southfork CLO Ltd.
- LCM III Ltd
- Castle Garden Funding
- BlueMountain CLO Ltd.
- Latitude CLO I Ltd
- Liberty CLO Ltd
- FM Leveraged Capital Fund I
- Trimaran CLO V Ltd
- 1776 CLO I Ltd
- AIMCO CLO, Series 2006-A
- Emporia Preferred Funding II Ltd
- NACM CLO I
- Atrium V
- Latitude CLO II Ltd
- LightPoint CLO V Ltd
- Kingsland III Ltd.
- Stone Tower CLO V Ltd
- Rampart CLO 2006-I Ltd.
- HarbourView CLO 2006-1
- FM Leveraged Capital Fund II
- Ocean Trails CLO I
- Burr Ridge CLO Plus Ltd
- Bacchus (U.S.) 2006-1 Ltd
- Westbrook CLO Ltd.
- WhiteHorse IV Ltd
- Stone Tower CLO VI Ltd
- Foothill CLO I Ltd
- Golden Knight II CLO Ltd
- Emporia Preferred Funding III Ltd
- GSC Group CDO Fund VIII Limited
- Symphony CLO III Ltd
- Limerock CLO I
- Latitude CLO III Ltd.
- LightPoint CLO VII, Ltd.
- CIT CLO I Ltd
- JMP Credit Advisors CLO I Ltd.
- Phoenix CLO III, Ltd
- Apidos Cinco CDO
- Telos CLO 2007-2 Ltd
- Voya CLO IV, Ltd.
- Canaras Summit CLO Ltd
- Ocean Trails CLO II
- Fore CLO Ltd 2007-1
- Primus CLO II Ltd
- Churchill Financial Cayman Ltd.
- Battalion CLO 2007-1, Ltd.
- T2 Income Fund CLO I Ltd
- Goldman Sachs Asset Management CLO PLC
- Halcyon Structured Asset Management Long Secured/Short Unsecured 2007-1 Ltd.
- Waterfront CLO 2007-1 Ltd
- Stone Tower CLO VII Ltd
- Flatiron CLO 2007-1 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.

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