Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
Don't want to see this again?
Accept our Terms of Use to continue to


By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

Terms of One-Time Website Use

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​

Rating Action:

Moody's upgrades the rating of notes issued by Mt. Wilson CLO, Ltd.

13 Oct 2010

USD $6.9 million of debt securities affected

New York, October 13, 2010 -- Moody's Investors Service announced today that it has upgraded the rating of the following notes issued by Mt. Wilson CLO, Ltd.:

U.S.$6,900,000 Class E Floating Rate Deferrable Interest Notes Due 2018, Upgraded to Caa3 (sf); previously on July 13, 2009 Downgraded to Ca (sf).


According to Moody's, the rating action taken on the notes result primarily from improvement in the credit quality of the underlying portfolio and an increase in the overcollateralization ratios of the notes since the last rating action in July 2009.

Improvement in the credit quality is observed through an improvement in the average credit rating (as measured by the weighted average rating factor) and a decrease in the proportion of securities from issuers rated Caa1 and below. Based on the September 2010 trustee report, the weighted average rating factor is 2536 compared to 2828 in June 2009, and securities rated Caa1 and below make up approximately 6.3% of the underlying portfolio versus 14.4% in June 2009. Moody's adjusted WARF has also declined since the last rating action due to a decrease in the percentage of securities with ratings on "Review for Possible Downgrade" or with a "Negative Outlook." The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to $8.4 million from approximately $23 million in June 2009.

The overcollateralization ratios of the rated notes have also increased since the last rating action as a result of paydowns of senior notes due to overcollateralization ratio failures and higher than expected recoveries on defaulted securities. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 124.34%, 113.42%, 106.3%, and 103.65%, respectively, versus June 2009 levels of 116.57%, 106.48%, 99.86%, and 97.32%, respectively, and all related overcollateralization tests are currently in compliance. Moody's also notes that the Class D and E Notes are no longer deferring interest and that all previously deferred interest has been paid in full.

Furthermore, the Class E Notes also benefit from a structural feature in the deal whereby during the amortization period, the failure of the Interest Diversion Ratio to be equal to or greater than 103.69% results in the diversion of excess interest to delever first the Class E notes, followed by Class D Notes, Class C Notes, Class B Notes, and Class A Notes.

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, weighted average rating factor, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds of $281.6 million, defaulted par of $10.5 million, weighted average default probability of 29.7% (implying a WARF of 3760), a weighted average recovery rate upon default of 43.75%, and a diversity score of 54. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed. The default probability 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 of the assets in the collateral pool. In each case, historical and market performance trends, and collateral manager latitude for trading the collateral are also factors.

Mt. Wilson CLO, Ltd., issued in May 31, 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans.

The principal methodology used in rating Mt. Wilson CLO, Ltd. was "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 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 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.

Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009.

In addition to the base case analysis described above, Moody's also performed a number of sensitivity analyses to test the impact on all rated notes, including the following:

1. Various default probabilities to capture potential defaults in the underlying portfolio.

2. A range of recovery rate assumptions for all assets to capture variability in recovery rates.

Below is a summary of the impact of different default probabilities (expressed in terms of WARF levels) on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal:

Moody's Adjusted WARF - 20% (2800)

Class A: +2

Class B: +2

Class C: +1

Class D: +2

Class E: +4

Moody's Adjusted WARF + 20% (4200)

Class A: -1

Class B: -2

Class C: -2

Class D: -3

Class E: -1

Below is a summary of the impact of different recovery rate levels on all rated notes (shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected losses), assuming that all other factors are held equal:

Moody's Adjusted WARR + 2% (45.75%)

Class A: +1

Class B: 0

Class C: 0

Class D: +1

Class E: +1

Moody's Adjusted WARR - 2% (41.75%)

Class A: 0

Class B: -1

Class C: -1

Class D: -1

Class E: 0

Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2012 and 2014 which may create challenges for issuers to refinance. CDO notes' performance may also be impacted by 1) the managers' investment strategies and behavior, and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities.

Sources of additional performance uncertainties are described below:

1) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis.

2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deals' overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus selling defaulted assets create additional uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices.

3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average coupon, and diversity score. With respect to the weighted average spread, we analyzed the impact assuming a mid-point between the reported and the covenanted value to give some credit to the deal's higher weighted average spread.


Information sources used to prepare the credit rating are the following: parties 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.

Further information on Moody's analysis of this transaction is available on In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our web site, at

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 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 for further information.

Please see the Credit Policy page on for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Shan Lai
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Ramon O. Torres
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007

Moody's upgrades the rating of notes issued by Mt. Wilson CLO, Ltd.
No Related Data.