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
