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Related Issuers
Rating Action:

Moody's upgrades CLO Notes of ICG European Fund 2006 S.A.

31 Mar 2011

Approximately EUR 319.9M and GBP 14M current outstanding debt securities affected

London, 31 March 2011 -- Moody's Investors Service announced today that it has upgraded the rating of Class A notes issued by ICG European Fund 2006 S.A. The notes affected by today's rating action are as follows:

Issuer: ICG European Fund 2006 S.A.

....Euro 900,000,000 Class A Secured Floating Rate Multi-Currency Variable Funding Notes due 2024, Upgraded to Aa3 (sf); previously on Oct 19, 2009 Downgraded to A1 (sf)

RATINGS RATIONALE

ICG European Fund 2006, issued in November 2006 and managed by Intermediate Capital Managers Limited, is a multicurrency collateralised loan obligation backed by a portfolio of European and US mezzanine assets, a number of which pay some, or all, of their interest as Payment in Kind (PIK). The current pool (excluding defaulted loans) is comprised of approximately EUR 568 million, GBP 79 million, USD 43 million and SEK 184 million of assets. The transaction has approximately half a year remaining until the end of the reinvestment period. However, since 2009, the transaction has been essentially static and deleveraging as a Diversion Event (rating downgrades below the initial ratings), which causes a Mandatory Redemption, has occurred.

According to Moody's, the upgrade rating action taken on the notes is primarily a result of the increased overcollateralization cushions due to deleveraging of the portfolio. Since the last rating action in October 2009, Class A notes were partially redeemed by EUR 79 million and GBP 70 million due to the transaction being in Mandatory Redemption phase. As of the latest investor report dated 28 February 2011, the Class A overcollateralization ratio is reported at 220.77%, increased from August 2009 level of 171.97%. In addition, the weighted average rating factor ("WARF") has decreased from 2964 in August 2009 to 2645 in February 2011.

Currently, there are 6 underlying obligations which have defaulted, for which Moody's assumed the recoveries to be zero. In addition, the deal is exposed to a large number of securities whose default probabilities are assessed through 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. Moody's also conducted stress tests to assess the collateral pool's concentration risk in obligors bearing a credit estimate that constitute more than 3% of the collateral pool.

In the base case, up to 30% of the underlying collateral pool which is accessed with credit estimates and concentration higher than 3% have been notched down by two. Moody's analyzed the resulting adjusted weighted average rating factor of 4031 with weighted average mean recovery rate of 20%. Moody's also ran a number of sensitivity analysis including consideration of the scenario that the largest obligor (which represents 8.42% of the current pool) migrating to Ca. This jump to default scenario deteriorated the model output by approximately one notch compared to the base case. Moody's also considered the effect of an upside recovery scenario of 33%. Increasing the assumed recovery improved the model output on the notes by less than two notches.

Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the manager's investment strategy and behavior, 2) the transaction delevering pace and 3) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities.

The principal methodologies used in this rating is "Moody's Approach to Rating Collateralized Loan Obligations" published in August 2009.

Under this methodology, Moody's relies on a simulation based framework, implemented via CDOROMTM, to generate default and recovery scenarios for each asset in the portfolio, and computes the associated loss to each class of notes in the structure via Moody's EMEA Cash-Flow model.

Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" and "Annual Sector Review (2009): Global CLOs", key model inputs used by Moody's in its analysis, such as par amount, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers.

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 Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information source used to prepare the credit rating is the following: parties involved in the ratings.

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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.

London
Angela Jung
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
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 upgrades CLO Notes of ICG European Fund 2006 S.A.
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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