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17 Mar 2011
EUR 508.7 million of debt securities affected
London, 17 March 2011 -- Moody's Investors Service announced today that it has upgraded and confirmed
the ratings of seven CLO notes issued by CELF Loan Partners IV PLC:
Issuer: CELF Loan Partners IV plc
....EUR150M Class A-1 Senior Secured
Floating Rate Variable Funding Notes due 2023, Upgraded to Aaa (sf);
previously on Oct 23, 2009 Downgraded to Aa1 (sf)
....EUR199M Class A-2a Senior Secured
Floating Rate Notes due 2023 (currently EUR193,065,664 outstanding),
Upgraded to Aaa (sf); previously on Oct 23, 2009 Downgraded
to Aa1 (sf)
....EUR50M Class A-2b Senior Secured
Floating Rate Notes due 2023, Upgraded to Aa1 (sf); previously
on Oct 23, 2009 Downgraded to Aa2 (sf)
....EUR42M Class B Senior Secured Deferrable
Floating Rate Notes due 2023, Upgraded to A1 (sf); previously
on Dec 23, 2010 A3 (sf) Placed Under Review for Possible Upgrade
....EUR39M Class C Senior Secured Deferrable
Floating Rate Notes due 2023, Upgraded to Baa3 (sf); previously
on Dec 23, 2010 Ba1 (sf) Placed Under Review for Possible Upgrade
....EUR33M Class D Senior Secured Deferrable
Floating Rate Note due 2023, Confirmed at B1 (sf); previously
on Dec 23, 2010 B1 (sf) Placed Under Review for Possible Upgrade
....EUR25.5M Class E Senior Secured
Deferrable Floating Rate Notes due 2023 (currently EUR25,436,929
outstanding), Upgraded to Caa1 (sf); previously on Dec 23,
2010 Caa2 (sf) Placed Under Review for Possible Upgrade
CELF Loan Partners IV PLC, issued in May 2007, is a multicurrency
collateralised loan obligation backed by a portfolio of mostly high yield
European loans of approximately EUR 550 million and managed by CELF Advisors
LLP. This transaction has 3.2 years remaining till the end
of the reinvestment period. The portfolio is denominated in EUR,
GBP and USD. It is composed of 79.68% senior secured
loans from 24 various industries.
According to Moody's, the upgrade rating actions taken on the notes
is a result primarily of the improved credit quality of the underlying
portfolio and increased overcollateralization cushions since the last
rating action, which are driven by the upgrade trend of corporate
credits, as well as the reinvestment of sales proceeds from prepayments,
defaults, credit impaired and credit improved assets by the collateral
manager. As of the latest collateral administrator report dated
January 2011, the Class A, Class B, Class C, Class
D and Class E overcollateralization ratios are reported at 145.9%,
131.0%, 119.7%, 111.5%
and 105.9% respectively, versus August 2009 levels
of 138.4%, 124.4%, 113.6%,
105.9% and 100.4% respectively. In
addition, the weighted average rating factor ("WARF")
has decreased from 2890 in August 2009 to 2746 in January 2011,
despite the technical adjustment of rating factors effected in September
whereby the reported WARF increased by approximately 200. Hence
effectively, the WARF of this portfolio has improved by 12%
since last rating action. The deal also experienced a decrease
in Caa assets from 16.0% of the portfolio to 5.5%
over the same period.
In the base case, Moody's analyzed the underlying collateral pool
with a stressed default probability at 4.4 years of 26%
which is consistent with an adjusted weighted average rating factor of
3617, a diversity score of 42 and a weighted-average recovery
rate of 57.9%.
The principal methodology used in this rating was "Moody's Approach to
Rating Collateralized Loan Obligations" published in August 2009.
Under this methodology, Moody's used its Binomial Expansion Technique,
whereby the pool is represented by independent identical assets,
the number of which is being determined by the diversity score of the
portfolio. The default and recovery properties of the collateral
pool are incorporated in a cash flow model where the default probabilities
are subject to stresses as a function of the target rating of each CLO
liability being reviewed. The default probability range is derived
from the credit quality of the collateral pool, and Moody's expectation
of the remaining life of the collateral pool. The average recovery
rate to be realized on future defaults is based primarily on the seniority
and jurisdiction of the assets in the collateral pool.
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 six months.
The cash flow model used for this transaction, whose description
can be found in the methodology listed above, is Moody's EMEA Cash-Flow
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.
Moody's also notes that 75.1% of the collateral pool consists
of debt obligations whose credit quality has been assessed through Moody's
Moody's also ran sensitivity analysis on key parameters for the rated
notes. For instance, if the weighted average rating factor
was changed by 15%, the model outputs of all rated notes
would not be affected by more than 2 notches.
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
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.
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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.
Moody's upgrades and confirms the ratings of EUR 508.7m CLO notes of CELF IV
One Canada Square
London E14 5FA
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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