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Related Issuers
Rating Action:

Moody's upgrades and confirms the ratings of EUR 508.7m CLO notes of CELF IV

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

RATINGS RATIONALE

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 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.

Moody's also notes that 75.1% of the collateral pool consists of debt obligations whose credit quality has been assessed through Moody's credit estimates.

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.

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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
Sandra Zhu
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

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Moody's upgrades and confirms the ratings of EUR 508.7m CLO notes of CELF IV
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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