Approximately EUR 1.451 billion of debt securities affected
London, 23 December 2010 -- Moody's Investors Service announced today that it has placed the ratings
of 53 tranches in 14 European CLOs under review for possible upgrade.
Today's rating actions are summarized in an Excel spreadsheet, which
is posted as a link at the bottom of this announcement.
Moody's explained that today's rating review considers the positive implications
of improvement in certain deal collateral quality metrics since the time
of the previous rating actions, including WARF (weighted average
rating factor) and OC (overcollateralization) levels. In identifying
this list of transactions and tranches, Moody's examined the
OC and WARF levels in conjunction with the current tranche rating level
as well as the significance of changes in the key performance metrics.
Moody's also paid attention to deals that have shown the largest
positive moves in key metrics since last rating action, structural
features and other deal characteristics in the consideration of today's
actions. Moody's recognizes that improved credit performance
of the underlying collateral and favorable market conditions have had
a positive impact on European CLOs. In many transactions Moody's
observed successful reinvestment of principal repayments and sale proceeds
into substitute assets with below-par purchase price and/or higher
ratings. The CLOs also typically benefited from a reduction in
par value haircuts due to a decrease in exposure to defaulted securities
and/or Caa-rated securities.
Moody's says that today's review affects a majority of junior
notes because they have one or more of the following attributes:
Adequate OC coverage for the affected notes, which was considered
in relation to the WARF level;
A substantial improvement in OC and WARF levels since last rating
action;
The affected notes have either never deferred interest or have
resumed paying interest;
Sufficient OC test "cushion" exists for the notes senior to the
affected notes, which makes it less likely for the affected notes
to defer interest in the near future;
Some of the affected notes benefit from a "turbo" amortization
feature that enables them to delever ahead of more senior notes under
certain conditions.
While in many cases not all tranches from the same deal are placed under
watch for upgrade, Moody's will review the entire capital
structure when it conducts full analysis of each deal and take rating
action when warranted. Moody's endeavors to complete full
analysis of all affected deals within 90 days.
The deals affected today are collateralized loan obligations backed primarily
by portfolios of senior secured loans.
The principal methodology used in rating and monitoring the deals affected
today was the "Moody's Approach to Rating Collateralized Loan Obligations"
rating methodology published in August 2009. Other methodologies
and factors that may have been considered in the process of rating these
deals can also be found in the Rating Methodologies sub-directory
on Moody's website.
Further information on Moody's analysis of this transaction is available
on www.moodys.com. In addition, Moody's publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our web site, at www.moodys.com/SFQuickCheck.
A list of the reviews associated with this announcement may be found at:
http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF230186
Issuer: Bacchus 2006-1 plc
....EUR34M Class B Senior Secured Floating
Rate Notes due 2022, Ba3 (sf) Placed Under Review for Possible Upgrade;
previously on Apr 16, 2010 Downgraded to Ba3 (sf)
....EUR25.54M Class C Senior Secured
Deferrable Floating Rate Notes due 2022, Caa3 (sf) Placed Under
Review for Possible Upgrade; previously on Apr 16, 2010 Downgraded
to Caa3 (sf)
....EUR14.8M Class X Combination Notes,
Ca (sf) Placed Under Review for Possible Upgrade; previously on Apr
16, 2010 Downgraded to Ca (sf)
....EUR5M Class W Combination Notes,
B3 (sf) Placed Under Review for Possible Upgrade; previously on Apr
16, 2010 Downgraded to B3 (sf)
....EUR69M Class Y Combination Notes,
Ca (sf) Placed Under Review for Possible Upgrade; previously on Apr
16, 2010 Downgraded to Ca (sf)
Issuer: CELF Loan Partners IV plc
....EUR42M Class B Senior Secured Deferrable
Floating Rate Notes due 2023, A3 (sf) Placed Under Review for Possible
Upgrade; previously on Oct 23, 2009 Downgraded to A3 (sf)
....EUR39M Class C Senior Secured Deferrable
Floating Rate Notes due 2023, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Oct 23, 2009 Downgraded to Ba1 (sf)
....EUR33M Class D Senior Secured Deferrable
Floating Rate Note due 2023, B1 (sf) Placed Under Review for Possible
Upgrade; previously on Oct 23, 2009 Confirmed at B1 (sf)
....EUR25.5M Class E Senior Secured
Deferrable Floating Rate Notes due 2023, Caa2 (sf) Placed Under
Review for Possible Upgrade; previously on Oct 23, 2009 Downgraded
to Caa2 (sf)
Issuer: EUROCREDIT CDO VII PLC
....EUR31.2M Class C Senior Secured
Deferrable Floating Rate Notes due 2023, Ba2 (sf) Placed Under Review
for Possible Upgrade; previously on Aug 18, 2009 Downgraded
to Ba2 (sf)
....EUR29.1M Class D Senior Secured
Deferrable Floating Rate Notes due 2023, Caa1 (sf) Placed Under
Review for Possible Upgrade; previously on Aug 18, 2009 Downgraded
to Caa1 (sf)
....EUR19.8M Class E Senior Secured
Deferrable Floating Rate Notes due 2023-1, Ca (sf) Placed
Under Review for Possible Upgrade; previously on Aug 18, 2009
Downgraded to Ca (sf)
....EUR8M Class Q Combination Notes due 2023,
Caa1 (sf) Placed Under Review for Possible Upgrade; previously on
Aug 18, 2009 Downgraded to Caa1 (sf)
....EUR15M Class R Combination Notes due 2023,
Ba3 (sf) Placed Under Review for Possible Upgrade; previously on
Aug 18, 2009 Downgraded to Ba3 (sf)
....EUR3M Class V Combination Notes due 2023,
Caa2 (sf) Placed Under Review for Possible Upgrade; previously on
Aug 18, 2009 Downgraded to Caa2 (sf)
Issuer: Hamlet I Leveraged Loan Fund B.V.
....EUR222M Class A Senior Secured Floating
Rate Notes due 2020, Aa2 (sf) Placed Under Review for Possible Upgrade;
previously on Feb 10, 2010 Upgraded to Aa2 (sf)
....EUR78M Class B Subordinated Notes due
2020, B1 (sf) Placed Under Review for Possible Upgrade; previously
on Feb 10, 2010 Upgraded to B1 (sf)
Issuer: Harvest CLO III plc
....EUR30.75M Euro 30,750,000
Class C-1 Senior Subordinated Deferrable Floating Rate Notes due
2021, Ba2 (sf) Placed Under Review for Possible Upgrade; previously
on Dec 15, 2009 Downgraded to Ba2 (sf)
....EUR12M Euro 12,000,000 Class
C-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021,
Ba2 (sf) Placed Under Review for Possible Upgrade; previously on
Dec 15, 2009 Downgraded to Ba2 (sf)
....EUR16.75M Euro 16,750,000
Class D-1 Senior Subordinated Deferrable Floating Rate Notes due
2021, B2 (sf) Placed Under Review for Possible Upgrade; previously
on Dec 15, 2009 Downgraded to B2 (sf)
....EUR9.25M Euro 9,250,000
Class D-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021,
B2 (sf) Placed Under Review for Possible Upgrade; previously on Dec
15, 2009 Downgraded to B2 (sf)
....EUR15.75M Euro 15,750,000
Class E-1 Senior Subordinated Deferrable Floating Rate Notes due
2021, Caa3 (sf) Placed Under Review for Possible Upgrade; previously
on Dec 15, 2009 Downgraded to Caa3 (sf)
....EUR3M Euro 3,000,000 Class
E-2 Senior Subordinated Deferrable Fixed Rate Notes due 2021,
Caa3 (sf) Placed Under Review for Possible Upgrade; previously on
Dec 15, 2009 Downgraded to Caa3 (sf)
....EUR10M Euro 10,000,000 Class
V Combination Notes due 2021, B3 (sf) Placed Under Review for Possible
Upgrade; previously on Dec 15, 2009 Downgraded to B3 (sf)
Issuer: Hudson CLO 1 B.V.
....EUR27.5M Class A-3 Deferrable
Senior Secured Floating Rate Notes due 2023, Ba2 (sf) Placed Under
Review for Possible Upgrade; previously on Dec 11, 2009 Downgraded
to Ba2 (sf)
....EUR24M Class B-1 Deferrable Senior
Secured Floating Rate Notes due 2023, Caa1 (sf) Placed Under Review
for Possible Upgrade; previously on Dec 11, 2009 Confirmed
at Caa1 (sf)
Issuer: Iron Hill CLO Limited
....US$14.007M Class B Senior
Secured Deferrable Floating Rate Notes due 2025, Ba3 (sf) Placed
Under Review for Possible Upgrade; previously on Aug 18, 2009
Downgraded to Ba3 (sf)
....US$16.342M Class C Senior
Secured Deferrable Floating Rate Notes due 2025, B2 (sf) Placed
Under Review for Possible Upgrade; previously on Aug 18, 2009
Downgraded to B2 (sf)
Issuer: Laurelin B.V.
....EUR36M Class C Notes, Baa1 (sf)
Placed Under Review for Possible Upgrade; previously on Aug 28,
2009 Upgraded to Baa1 (sf)
....EUR24M Class D Notes, Ba2 (sf) Placed
Under Review for Possible Upgrade; previously on Aug 28, 2009
Upgraded to Ba2 (sf)
Issuer: Leopard CLO V B.V.
....EUR13M Class E-1 Secured Deferrable
Floating Rate Notes due 2023, Caa3 (sf) Placed Under Review for
Possible Upgrade; previously on Nov 17, 2009 Downgraded to
Caa3 (sf)
....EUR3M Class E-2 Secured Deferrable
Fixed Rate Notes due 2023, Caa3 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 17, 2009 Downgraded to Caa3 (sf)
....EUR7M Class F Secured Deferrable Floating
Rate Notes due 2023-1, Ca (sf) Placed Under Review for Possible
Upgrade; previously on Nov 17, 2009 Downgraded to Ca (sf)
Issuer: Magi Funding I plc
....EUR33.8M Euro 33,800,000
Class B Deferrable Floating Rate Notes due 2021, Ba3 (sf) Placed
Under Review for Possible Upgrade; previously on Nov 24, 2009
Confirmed at Ba3 (sf)
....EUR7.5M Euro 7,500,000
Class C Deferrable Floating Rate Notes due 2021, B3 (sf) Placed
Under Review for Possible Upgrade; previously on Nov 24, 2009
Confirmed at B3 (sf)
Issuer: Prospero CLO I B.V.
....US$15.3M USD 15,300,000
Class A-2 Senior Secured Floating Rate Notes Due 2017, A1
(sf) Placed Under Review for Possible Upgrade; previously on Dec
23, 2009 Downgraded to A1 (sf)
....US$15.3M USD 15,300,000
Class B Senior Secured Deferrable Interest Floating Rate Notes Due 2017,
Baa3 (sf) Placed Under Review for Possible Upgrade; previously on
Dec 23, 2009 Downgraded to Baa3 (sf)
....US$15.3M USD 15,300,000
Class C Senior Secured Deferrable Interest Floating Rate Notes Due 2017,
Ba3 (sf) Placed Under Review for Possible Upgrade; previously on
Dec 23, 2009 Downgraded to Ba3 (sf)
....US$7.7M USD 7,700,000
Class D Senior Secured Deferrable Interest Floating Rate Notes Due 2017,
Caa1 (sf) Placed Under Review for Possible Upgrade; previously on
Dec 23, 2009 Downgraded to Caa1 (sf)
Issuer: Prospero CLO II B.V.
....US$25M B Notes, Ba1 (sf)
Placed Under Review for Possible Upgrade; previously on Jan 7,
2010 Downgraded to Ba1 (sf)
....US$15M C Notes, B1 (sf) Placed
Under Review for Possible Upgrade; previously on Jan 7, 2010
Downgraded to B1 (sf)
....US$13.5M D Notes,
Caa2 (sf) Placed Under Review for Possible Upgrade; previously on
Jan 7, 2010 Downgraded to Caa2 (sf)
Issuer: RMF Euro CDO III PLC
....EUR252M Class I Senior Secured Floating
Rate Notes, due 2021, Aa2 (sf) Placed Under Review for Possible
Upgrade; previously on Nov 20, 2009 Downgraded to Aa2 (sf)
....EUR20.1M Class II Senior Secured
Floating Rate Notes, due 2021, A3 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 20, 2009 Downgraded
to A3 (sf)
....EUR14.7M Class III Deferrable Mezzanine
Floating Rate Notes, due 2021, Baa3 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 20, 2009 Confirmed
at Baa3 (sf)
....EUR23.3M Class IV Deferrable Mezzanine
Floating Rate Notes, due 2021, B1 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 20, 2009 Downgraded
to B1 (sf)
Issuer: RMF Euro CDO IV PLC
....EUR15.3M Class III Deferrable Mezzanine
Floating Rate Notes, due 2022, Ba1 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 26, 2009 Confirmed
at Ba1 (sf)
....EUR21.6M Class IV-A Deferrable
Mezzanine Floating Rate Notes, due 2022, B2 (sf) Placed Under
Review for Possible Upgrade; previously on Nov 26, 2009 Confirmed
at B2 (sf)
....EUR12.6M Class V Deferrable Mezzanine
Floating Rate Notes, due 2022, Caa2 (sf) Placed Under Review
for Possible Upgrade; previously on Nov 26, 2009 Confirmed
at Caa2 (sf)
....EUR3.5M Class IV-B Deferrable
Mezzanine Fixed Rate Notes, due 2022, B2 (sf) Placed Under
Review for Possible Upgrade; previously on Nov 26, 2009 Confirmed
at B2 (sf)
....EUR6M Class R Combination Notes,
due 2022 Notes, Caa3 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 26, 2009 Downgraded to Caa3 (sf)
....EUR6M Class S Combination Notes,
due 2022 Notes, B3 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 26, 2009 Downgraded to B3 (sf)
....EUR4M Class Q Combination Notes,
due 2022 Notes, Caa1 (sf) Placed Under Review for Possible Upgrade;
previously on Nov 26, 2009 Downgraded to Caa1 (sf)
Paris
Guillaume Jolivet
Vice President - Senior Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Florence Tadjeddine
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places the ratings of 53 tranches in 14 European CLOs under review for possible upgrade