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I AGREE
09 Dec 2009
Paris, December 09, 2009 -- Moody's Investors Service announced today the following rating actions
on notes issued by Partholon CDO I PLC.
EUR271.443M Class A-1 Floating Rate Notes, Downgraded
to Aa3; previously on Oct 6, 2003 Definitive Rating Assigned
Aaa
EUR9M Class A-3 Zero Coupon Notes, Downgraded to Aa3;
previously on Oct 6, 2003 Definitive Rating Assigned Aaa
EUR31.432M Class B-1 Floating Rate Notes, Downgraded
to Ba2; previously on Mar 4, 2009 Aa3 Placed Under Review for
Possible Downgrade
EUR2.25M Class B-2 Fixed Rate Notes, Downgraded to
Ba2; previously on Mar 4, 2009 Aa3 Placed Under Review for
Possible Downgrade
EUR4M Class B-3 Zero Coupon Notes, Downgraded to Ba2;
previously on Mar 4, 2009 Aa3 Placed Under Review for Possible Downgrade
EUR28.45M Class C-1 Floating Rate Notes, Downgraded
to Caa3; previously on Mar 20, 2009 Downgraded to B2 and Remained
On Review for Possible Downgrade
EUR7.75M Class C-2 Fixed Rate Notes, Downgraded to
Caa3; previously on Mar 20, 2009 Downgraded to B2 and Remained
On Review for Possible Downgrade
EUR24M Class J Combination Notes, Confirmed at Aa2; previously
on Mar 4, 2009 Aa2 Placed Under Review for Possible Downgrade
EUR9M Class P Combination Notes, Withdrawn; previously on Oct
6, 2003 Definitive Rating Assigned Aaa
EUR7M Class Q Combination Notes, Withdrawn; previously on Oct
6, 2003 Definitive Rating Assigned Baa2
EUR4M Class R Combination Notes, Downgraded to Ba1; previously
on Oct 6, 2003 Assigned Aa3
EUR10M Class S Combination Notes, Downgraded to Caa1; previously
on Mar 4, 2009 Baa1 Placed Under Review for Possible Downgrade
Moody's has today withdrawn the rating assigned to the EUR9m Class P and
EUR7m Class Q Combination Notes. These notes were split back into
their original components and thus are no longer outstanding under Combination
notes format.
This transaction is a managed cash leveraged loan collateralised loan
obligation with exposure to predominantly European senior secured loans,
as well as some mezzanine loan exposure.
According to Moody's, the rating actions taken on the notes are
the result of credit deterioration of the underlying portfolio.
This is observed through a decline in the average credit rating as measured
through the portfolio weighted average rating factor 'WARF'
(currently 2884), an increase in the amount of defaulted securities
(currently 2% of the portfolio), an increase in the proportion
of securities from issuers rated Caa1 and below (currently 20.3%
of the portfolio), a failure of all par value tests (including a
Class C par value test equal to 99.15%) and a 3%
bucket of loans having a maturity falling after the maturity of the notes.
These measures were taken from the recent trustee report dated 1st November
2009. Moody's also performed a number of sensitivity analyses,
including consideration of a further decline in portfolio WARF quality.
Due to the impact of all the below mentioned stresses, key model
inputs used by Moody's in its analysis, such as par, weighted
average rating factor, and weighted average recovery rate,
may be different from trustee's reported numbers.
Today's rating actions also reflect Moody's revised assumptions with respect
to default probability and the calculation of the diversity score as described
in the press release dated February 4, 2009, titled "Moody's
updates key assumptions for rating CLOs." These revised assumptions
have been applied to all corporate credits in the underlying portfolio,
the revised assumptions for the treatment of ratings on "Review for Possible
Downgrade", "Review for Possible Upgrade", or with a "Negative
Outlook" being applied to those corporate credits that are publicly rated.
Moody's also notes that a material proportion of the collateral pool consists
of debt obligations whose credit quality has been assessed through Moody's
credit estimates. As credit estimates do not carry credit indicators
such as ratings reviews and outlooks, a stress of a quarter notch-equivalent
assumed downgrade was applied to each of these estimates.
In addition to the quantitative factors that are explicitly modelled,
qualitative factors are part of the rating committee considerations.
These qualitative factors include the structural protections in each transaction,
the recent deal performance in the current market environment, the
legal environment, specific documentation features, the collateral
manager's track record, and the potential for selection bias in
the portfolio. All information available to rating committees,
including macroeconomic forecasts, input from other Moody's analytical
groups, market factors, and judgments regarding the nature
and severity of credit stress on the transactions, may influence
the final rating decision.
Moody's monitors this transaction using primarily the methodology
and its supplements for cash flow CLOs as described in Moody's Rating
Methodology papers:
--Moody's Approach to Rating Collateralized Loan Obligations
(August 2009)
This report can be found at www.moodys.com in the Research
and Ratings directory, in the Ratings Methodologies subdirectory.
Other methodologies and factors that may have been considered in the process
of rating these issuances can also be found in the Ratings Methodologies
subdirectory. In addition, Moody's publishes a weekly summary
of structured finance credit, ratings and methodologies, available
to all registered users of our website, at www.moodys.com/SFQuickCheck.
London
Neelam S. Desai
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Alexis Michon
Asst Vice President - Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades EUR 354m CLO notes of Partholon CDO I PLC
No Related Data.
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