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I AGREE
23 Feb 2011
EUR 279.8 million of debt securities affected
London, 23 February 2011 -- Moody's Investors Service announced today the following rating actions
on notes issued by Hamlet I Leveraged Loan Fund B.V.
....EUR222M Class A Senior Secured Floating
Rate Notes due 2020, Upgraded to Aa1 (sf); previously on Dec
23, 2010 Aa2 (sf) Placed Under Review for Possible Upgrade
....EUR78M Class B Subordinated Notes due
2020, Upgraded to Ba2 (sf); previously on Dec 23, 2010
B1 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
Hamlet I is a cash CDO of leveraged loans with exposure predominately
to European senior secured loans with a small amount of bonds (6.52%).
The reinvestment period ended on 15 May 2010. All accumulated excess
spread is now diverted to pay down the class B notes until the principal
amount outstanding is reduced to EUR 1000.
The upgrade rating actions taken on the notes is a result of the improvement
in credit quality of the portfolio and an increase in overcollateralization
levels of the rated notes since the last rating action. As of the
latest collateral administrator report dated January 2011, the class
A OC ratio is 141.12% compared to 134.81%
in January 2010. In addition, the weighted average rating
factor, ("WARF") has improved to 2781 as of January
2011, from 2890 in January 2010. The transaction has also
experienced a decrease in both the defaulted assets and the proportion
of securities rated Caa1 and below from 5.58% to 0%
and from 16.12% to 13.63% respectively,
over the same period.
The class B notes is exposed to the first losses in the portfolio and
benefits from the excess spread available in the CLO structure.
The rating of such notes addresses the ultimate repayment of the Rated
Balance in respect of class B notes on or before the legal maturity (in
2020), where the "Rated Balance" is equal, at any time,
to the principal amount of such notes on the issue date (EUR 78m) minus
the aggregate of all payments made from the issue date to such date,
either through interest or principal payments. The rating on class
B notes is not an opinion about the ability of the issuer to pay interest.
The rating action on class B notes factors a sensitivity scenario whereby
excess spread available class B notes has been reduced by 25%,
because those are volatile and can be affected by uncapped junior expenses.
In its base case, Moody's analysed the underlying collateral pool
with an adjusted WARF of 3644, a diversity score of 31 and a weighted-average
recovery rate of 63.11%.
Furthermore, Moody's tested the sensitivity of model results to
key parameters for the rated notes. Among these, Moody's
observed that if the WARF was changed up or down by 200, the model
results for Class A would be affected by less than half a notch and for
Class B notes would not deviate by more than 1 notch.
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.
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, WARF, diversity
score, and weighted average recovery rate, may be different
from the trustee's reported numbers.
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.
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.
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Please see the ratings disclosure page on our website www.moodys.com
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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
Lydia Ho
Associate Analyst
Structured Finance Group
Moody's Investors Service Hong Kong Ltd.
JOURNALISTS: (852) 3758 -1350
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Paris
Florence Tadjeddine
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
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SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
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Moody's upgrades ratings of EUR 279.8m CLO notes of Hamlet I
No Related Data.
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