New York, March 03, 2011 -- Moody's Investors Service announced that it has assigned the following
rating to notes issued by OHA Intrepid Leveraged Loan Fund, Ltd.
(the "Issuer"):
U.S.$265,000,000 Class A Senior Secured
Floating Rate Notes due 2021, (the "Class A Notes"),
assigned Aaa (sf).
RATINGS RATIONALE
Moody's rating of the notes addresses the expected loss posed to noteholders.
The rating reflects the risks due to defaults on the underlying portfolio
of loans, the transaction's legal structure, and the characteristics
of the underlying assets.
OHA Intrepid Leveraged Loan Ltd. is a managed cash flow CLO.
The transaction is collateralized primarily by broadly syndicated first
lien senior secured corporate loans. At least 90% of the
portfolio must be invested in senior secured loans or eligible investments
and up to 10% of the portfolio may consist of second lien loans,
unsecured loans, and high yield bonds. At closing,
the portfolio is approximately 60% ramped up and is expected to
be fully ramped up within six months.
Oak Hill Advisors L.P. ("Oak Hill" or the "Portfolio
Manager") will manage the selection, acquisition and disposition
of collateral on behalf of the Issuer. The Portfolio Manager may
engage in trading activity, including discretionary trading,
during the transaction's three-year reinvestment period.
Thereafter, sales of securities that are defaulted, credit
improved, or credit risk are allowed; purchases of additional
collateral debt securities are permitted subject to certain conditions.
So long as Oak Hill is the Portfolio Manager, no management fee
will be paid. There is an allowance for such a fee in the event
that Oak Hill is replaced.
In addition to the Class A Notes rated by Moody's, the Issuer
issued five other tranches, including one tranche of subordinated
notes, all of which are subordinate to the Class A Notes.
In accordance with the respective priority of payments, interest
and principal will be paid to the rated notes in order of seniority prior
to the payments to the other notes. The transaction incorporates
coverage tests, both par and interest, which, if triggered,
divert interest and principal proceeds to pay down the rated notes in
order of seniority. The priority of payments is modeled pursuant
to Section 11.1 of the Indenture. Furthermore, pursuant
to Section 1.2(r) of the Indenture, after the reinvestment
period ends, in determining the amount required to satisfy all the
coverage tests, principal proceeds used to pay down the notes will
be applied prior to the application of interest proceeds.
Solely for the purpose of the WARF calculation, our analysis treats
ratings of the underlying collateral securities on "review for possible
downgrade" as if they were two notches lower and those with a "negative
outlook" as if they were one notch lower. Moody's also increased
its default probability assumption by a factor of 30%. For
modeling purposes, Moody's used the following base-case assumptions,
which in some cases differ from the transaction's covenanted levels:
Diversity of 48
WARF (reflecting 30% default probability stress) of 3489
Weighted Average Spread of 3.5%
Weighted Average Recovery Rate of 42.5%
Weighted Average Life of 6.0 years.
Together with the refined set of modeling assumptions above, Moody's
conducted additional sensitivity analysis which was an important component
in determining the rating assigned to the Class A Notes. This sensitivity
analysis includes various default probabilities to capture potential defaults
in the underlying portfolio.
Below is a summary of the impact of an increase in default probability
(expressed in terms of WARF level) on the Class A Notes (shown in terms
of the number of notch difference versus the current model output,
whereby a negative difference corresponds to higher expected losses),
assuming that all other factors are held equal:
Moody's Adjusted WARF + 20% (4187)
Class A Notes -1.
The V Score for this transaction is Medium/High. This V Score has
been assigned in a manner similar to the Medium/High V score assigned
for the global cash flow CLO sector, as described in the special
report titled "V Scores and Parameter Sensitivities in the Global Cash
Flow CLO Sector," dated July 6, 2009, available on www.moodys.com.
Moody's V Scores provide a relative assessment of the quality of available
credit information and the potential variability around the various inputs
to a rating determination. The V Score ranks transactions by the
potential for significant rating changes owing to uncertainty around the
assumptions due to data quality, historical performance, the
level of disclosure, transaction complexity, the modeling
and the transaction governance that underlie the ratings. V Scores
apply to the entire transaction, rather than individual tranches.
The revised assumptions that have been applied to all credits in the underlying
portfolio are described in the press release titled "Moody's updates key
assumptions for rating CLOs," dated February 4, 2009 and in
the publication titled "CLO Ratings Surveillance Brief --
Second Quarter 2009," dated July 6, 2009.
The principal methodology used in assigning this rating was "Moody's Approach
to Rating Collateralized Loan Obligations," published in August
2009.
Other methodologies and factors that may have been considered in the process
of rating this issue, including the press release "Moody's plans
to revise global CLO rating assumptions," dated December 2,
2010, can also be found in the Rating Methodologies sub-directory
on Moody's website.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
Yu Sun
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Danielle Nazarian
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's assigns rating to $265MM of notes issued by OHA Intrepid Leveraged Loan Fund, Ltd.
