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Announcement:

Moody's completes European CLO rating sweep, upgrades 969 tranches

22 Nov 2011

Approximately EUR 40 billion of debt securities affected

Paris, November 22, 2011 -- On 18 November 2011, Moody's completed its review of all European collateralized loan obligations (CLOs), which the rating agency initiated on 22 June 2011 in relation to its global CLO methodology update. Moody's analysed 1067 tranches from 171 European CLO transactions originally totalling EUR46 billion and upgraded 969 tranches originally totalling EUR40 billion (at November 21st exchange rates). Reviewed transactions included cash arbitrage CLOs exposed to mainly European senior secured loans.

Of the 969 tranches that were upgraded, the average magnitude of upgrades was a little over three notches. The most junior tranches experienced larger upgrades of around four notches, while the senior tranches experienced smaller upgrades of about two notches on average.

During the sweep, Moody's upgraded 116 CLO tranches to Aaa(sf) with an overall magnitude of two notches. As a result, 81% (279 tranches originally totalling EUR 38 billion) of the European CLO tranches originally rated Aaa(sf) are back to their original ratings, versus 51% (175 tranches originally totalling EUR 22 billion) before the sweep in Europe.

Conversely, only a minority of 36% of non-Aaa(sf) tranches were restored to their initial rating levels. The rest remain on average 2.6 notches below their initial ratings.

The rating upgrades were primarily the result of applying Moody's revised CLO assumptions, as described in "Moody's Approach to Rating Collateralized Loan Obligations", published in June 2011. In addition, the improvement of par coverage and credit quality contributed to the magnitude of the upgrade actions for a majority of European transactions. Each review took into account the transactions specificities, such as (i) the concentration of high risk credits (i.e. to obligors with a credit quality consistent with a B3 or Caa rating); (ii) the exposure to European peripheral countries; (iii) the concentration in mezzanine loan assets; (iv) the manager's investment ability and behaviour; or (v) the additional expected loss associated with hedging agreements.

The review process for US CLO transactions continues with approximately 95% of the deals placed under review for upgrade already completed and the rest expected to be completed in a few weeks.

Following its comprehensive revision of European CLOs, Moody's has resumed its normal surveillance process, which mainly focuses on changes in key performance indicators, such as the weighted average rating factor (WARF) and over-collateralization levels, to identify candidates for immediate rating actions and ensure regular transaction reviews.

Florence Tadjeddine
Senior Vice President
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Neelam S. Desai
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's completes European CLO rating sweep, upgrades 969 tranches
No Related Data.
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