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I AGREE
24 Jan 2012
USD 22 million of debt securities affected
New York, January 24, 2012 -- Moody's Investors Service announced today that it has upgraded the ratings
of the following notes issued by Waveland-Ingots, Ltd.:
U.S. $14,500,000 Class B-1 Floating
Rate Interest Deferrable Secured Notes Due June 21, 2015 (current
balance: $13,115,159.26), Upgraded
to Aaa (sf); previously on September 22, 2011 Confirmed at
Aa1 (sf);
U.S. $10,000,000 Class B-2 Fixed
Rate Interest Deferrable Secured Notes Due June 21, 2015 (current
balance: $9,044,937.42), Upgraded
to Aaa (sf); previously on September 22, 2011 Confirmed at
Aa1 (sf).
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes
are primarily a result of the redemption of the Class A-1 Notes
and Class A-2 Notes and the deleveraging of the Class B-1
Notes and Class B-2 Notes which began in December 2011.
Based on the latest trustee report dated December 2011, the Class
A and Class B overcollateralization ratios are reported at 780.86%
and 181.71%, respectively, versus August 2011
reported levels of 429.6% and 168.4%,
respectively. Moody's notes that the December 2011 reported overcollateralization
ratios do not reflect the impact of the redemption of the Class A-1
Notes and Class A-2 Notes.
Due to the impact of revised and updated key assumptions referenced in
"Moody's Approach to Rating Collateralized Loan Obligations" published
in June 2011, 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 balance of $50 million, defaulted par of $1
million, a weighted average default probability of 14% (implying
a WARF of 3096), a weighted average recovery rate upon default of
52% and a diversity score of 19. The 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.
Waveland-Ingots, Ltd., issued in June 2003,
is a collateralized loan obligation backed primarily by a portfolio of
senior secured loans.
The principal methodology used in this rating was "Moody's Approach to
Rating Collateralized Loan Obligations" published in June 2011.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 2013 and 2015 which may create challenges for issuers
to refinance. CLO notes' performance may also be impacted
by 1) the manager's investment strategy and behavior and 2) divergence
in legal interpretation of CLO documentation by different transactional
parties due to embedded ambiguities.
Sources of additional performance uncertainties are described below:
1) Deleveraging: The main source of uncertainty in this transaction
is whether deleveraging from unscheduled principal proceeds will continue
and at what pace. Deleveraging may accelerate due to high prepayment
levels in the loan market and/or collateral sales by the manager,
which may have significant impact on the notes' ratings.
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 deal's overcollateralization levels.
Further, the timing of recoveries and the manager's decision
to work out versus sell 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) Long-dated assets: The presence of assets that mature
beyond the CLO's legal maturity date exposes the deal to liquidation
risk on those assets. Moody's assumes an asset's terminal
value upon liquidation at maturity to be equal to the lower of an assumed
liquidation value (depending on the extent to which the asset's
maturity lags that of the liabilities) and the asset's current market
value.
Further information on Moody's analysis of this transaction is available
on www.moodys.com. 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 www.moodys.com/SFQuickCheck.
REGULATORY DISCLOSURES
Although this credit rating has been issued in a non-EU country
which has not been recognized as endorsable at this date, this credit
rating is deemed "EU qualified by extension" and may still
be used by financial institutions for regulatory purposes until 31 January
2012. ESMA may extend the use of credit ratings for regulatory
purposes in the European Community for three additional months,
until 30 April 2012, if ESMA decides that exceptional circumstances
arise that may imply potential market disruption or financial instability.
Further information on the EU endorsement status and on the Moody's
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For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
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rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare the rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's did not receive or take into account a third-party
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or financial instruments related to the monitoring of this transaction
in the past six months.
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the rating.
Yasmine Mahdavi
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Ramon O. Torres
Senior Vice President
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's upgrades the ratings of CLO notes issued by Waveland-Ingots, Ltd.
No Related Data.
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