Baker Street CLO II Ltd.
$400.0 million cashflow CLO, closed Sep 15, 2006
$400.0 million cashflow CLO, closed Sep 15, 2006
| Capital Structure | Amount | Percentage | Original Rating |
| Class A-1 | $275,000,000 | 67.5% | AAA/Aaa |
| Class A-2 | $30,000,000 | 7.5% | AAA/Aaa |
| Class B | $20,100,000 | 5.0% | AA/Aa2 |
| Class C | $21,000,000 | 5.3% | A/A2 |
| Class D | $15,900,000 | 4.0% | BBB/Baa2 |
| Class E | $12,000,000 | 3.0% | BB/Ba2 |
| Equity | $12,000,000 | 7.8% | NR |
| Total: | $400,000,000 |
The collateral for the CLO consists primarily
of senior secured loans issued by non-investment grade corporate borrowers
organized in the US. There is a 10.0% basket in total for senior unsecured
loans, second lien loans and high yield bonds. The portfolio manager for
the transaction is George Goudelias.
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