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Rating Action:

Moody's upgrades EUR 453.5m BS CLO notes of Metrix Securities Plc

01 Mar 2011

London, 01 March 2011 -- Moody's Investors Service announced today it has upgraded its ratings of 13 classes of notes issued by Metrix Securities P.L.C.

Issuer: Metrix Securities P.L.C. - Series 2006-1

....GBP110M Series 2006-1 Class A1 Floating Rate Notes due 2018, Upgraded to Aaa (sf); previously on Apr 6, 2009 Downgraded to Aa1 (sf)

....EUR738M Series 2006-1 Class A2 Floating Rate Notes due 2018, Upgraded to Aaa (sf); previously on Apr 6, 2009 Downgraded to Aa1 (sf)

....US$2249M Series 2006-1 Class A3 Floating Rate Notes due 2018, Upgraded to Aaa (sf); previously on Apr 6, 2009 Downgraded to Aa1 (sf)

....GBP5.8M Series 2006-1 Class B1 Floating Rate Notes due 2018, Upgraded to Aa3 (sf); previously on Apr 6, 2009 Downgraded to A3 (sf)

....EUR15.8M Series 2006-1 Class B2 Floating Rate Notes due 2018, Upgraded to Aa3 (sf); previously on Apr 6, 2009 Downgraded to A3 (sf)

....US$18M Series 2006-1 Class B3 Floating Rate Notes due 2018, Upgraded to Aa3 (sf); previously on Apr 6, 2009 Downgraded to A3 (sf)

....GBP4.1M Series 2006-1 Class C1 Floating Rate Notes due 2018, Upgraded to A1 (sf); previously on Apr 6, 2009 Downgraded to Baa3 (sf)

....EUR15.5M Series 2006-1 Class C2 Floating Rate Notes due 2018, Upgraded to A1 (sf); previously on Apr 6, 2009 Downgraded to Baa3 (sf)

....US$14M Series 2006-1 Class C3 Floating Rate Notes due 2018, Upgraded to A1 (sf); previously on Apr 6, 2009 Downgraded to Baa3 (sf)

....GBP17.5M Series 2006-1 Class D1 Floating Rate Notes due 2018, Upgraded to Baa2 (sf); previously on Apr 6, 2009 Downgraded to Ba3 (sf)

....EUR18.6M Series 2006-1 Class D2 Floating Rate Notes due 2018, Upgraded to Baa2 (sf); previously on Apr 6, 2009 Downgraded to Ba3 (sf)

....GBP26.3M Series 2006-1 Class E1 Floating Rate Notes due 2018, Upgraded to B1 (sf); previously on Apr 6, 2009 Downgraded to Caa2 (sf)

....EUR26.3M Series 2006-1 Class E2 Floating Rate Notes due 2018, Upgraded to B1 (sf); previously on Apr 6, 2009 Downgraded to Caa2 (sf)

RATINGS RATIONALE

This transaction, which closed in November 2006, is a synthetic balance sheet CDO referencing a pool of corporate loans originated by HSBC Bank plc. Moody's has used the internal credit scores assigned to the borrowers by the originator to determine the default probabilities of the obligors in the transaction. The replenishment period terminated in November 2010. Thereafter the underlying portfolio substantially amortised to a current size of GBP 322.7 mil.

The rating actions taken on the notes result primarily from the delevering of the class A notes, which have been paid down by approximately 85% since the last rating action.

This fast amortisation largely compensates for the effect of the credit deterioration currently experienced by the underlying portfolio. Such deterioration is observed through a decline in the average credit rating as measured through the portfolio weighted average rating factor 'WARF' which in the January 2011 report was 2085 compared to the 1,255 (753 including 815 mil of cash) of the last rating action (April 2009) . According to the January 2011 manager's report, roughly GBP 135.3 million (32.6%) of assets in the pool are below the minimum required credit rating. This includes a 6.2% bucket of the portfolio mapped to a Moody's equivalent rating of C while only GBP 23.9 million (5.8%) loans are reported as actual defaults in the January 2011. This gap between actual and expected defaults relates to the conservatism embedded in the mapping.

As a consequence of amortisation, the outstanding portfolio is increasingly concentrated. There are currently 23 corporate entities referenced in the portfolio, with the six largest obligors accounting for roughly the 66% of the entire pool, a country concentration of 86% in the UK and a 58% exposure to the Financial Insurance and Real Estate (FIRE) sector. The weighted average life (WAL) of the portfolio is 1.95.

As a base case, Moody's analyzed the underlying collateral pool including a 2-notch stress on the 4 largest obligors. A weighted-average recovery rate of 37 % (excluding Ca assets) was used. In addition, the global correlation was increased from 3% to 5% reflect the high level of geographical concentration of the underlying loans in the UK and the fact that they are all originated and serviced by HSBC. Because the mapping used to analyse this transaction was performed more than two years ago, an additional stress was applied to capture potential deviations from the established mapping.

In addition, given that mapped ratings do not carry credit indicators such as ratings reviews and outlooks, one sensitivity run consisted in applying a half notch stress to the mapping scale. Large single exposure to obligors were also considered for the analysis and applied a stress applicable to concentrated pools with non publicly rated issuers as per the report titled "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009. The model output for the most senior tranche would not be impacted by more than 2 notches in any sensitivity run compared to the base case.

The principal methodologies used in rating Metrix Securities P.L.C. Series 2006-1 were "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations" published in September 2009 and "Moody's Approach to Rating CDOs of SMEs in Europe" published in February 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

Moody's investors service applied the Montecarlo simulation framework within CDOROM. These models are available on www.moodys.com under Products and Solutions—Analytical models, upon return of a signed free licensed agreement.

Moody's did not run a separate loss and cash flow analysis other than the one already done using the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user guide 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 related to the monitoring of this transaction in the past 6 months.

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.

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 sources used to prepare the credit rating are the following: parties involved in the ratings; parties not 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 maintaining a credit rating.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

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.

London
Gabriele Gramazio
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

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 EUR 453.5m BS CLO notes of Metrix Securities Plc
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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 rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

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

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