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I AGREE
26 Aug 2011
Approximately $60 million of Notes affected
New York, August 26, 2011 -- Moody's Investors Service announced today that it has upgraded the ratings
of one class of notes issued by Class V Funding II, Limited.
The class of notes affected by today's rating actions are as follows:
U.S.$68,000,000 Class A-1 Second
Priority Senior Secured Floating Rate Notes Due 2046 (current balance:
60,282,753), Upgraded to Caa2 (sf), Remaining
on review for Possible Upgrade, previously on June 24, 2011
Ca (sf), Placed on Review for Possible Upgrade
RATINGS RATIONALE
According to Moody's, the rating actions taken on the notes result
primarily from the improvement of the credit quality of the portfolio.
As of the latest trustee report dated August 18, 2011, the
WARF is reported at 978 versus July 2010 reported WARF of 3393.
An Event of Default under Section 5.1(i) of the Indenture was declared
by the Trustee on January 22, 2008 because the Class A/B/C Overcollateralization
Percentage was less than 100%. On June 15, 2011 the
Trustee received direction to accelerate the Notes. Under an acceleration
the Class A-1 notes will receive all interest and principal payments
before any further payments are made on account of the other classes of
Notes. As provided in Article V of the Indenture during the occurrence
and continuance of an Event of Default, certain parties to the transaction
may be entitled to direct the Trustee to take particular actions with
respect to the Collateral and the Notes, including the sale and
liquidation of the assets. The severity of losses of certain tranches
may be different depending on the timing and outcome of a liquidation.
Following an announcement by Moody's on June 22nd that nearly all CLO
tranches currently rated Aa1 and below were placed on review for possible
upgrade ("Moody's places 4,220 tranches from 611 U.S.
and 171 European CLO transactions on review for upgrade"), 98 tranches
of U.S. and European Structured Finance (SF) CDOs with material
exposure to CLOs were also placed on review for possible upgrade ("Moody's
places 98 tranches from 19 U.S. and 3 European SF CDO transactions
with exposure to CLOs on review for upgrade"). Today's rating action
on the notes reflects CLO tranche upgrades that have taken place thus
far, as well as a two notch adjustment for CLO tranches which remain
on review for possible upgrade. According to Moody's, $22mm
of the collateral has been upgraded since June 22nd, and $41mm
remains on review.
Class V Funding II, Ltd. is a collateralized debt obligation
backed primarily by a portfolio of CLOs, and SF CDOs.
The principal methodology used in this rating was "Moody's Approach to
Rating SF CDOs" published in November 2010. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
Moody's applied the Monte Carlo simulation framework within CDOROMv2.8
to model the loss distribution for SF CDOs. Within this framework,
defaults are generated so that they occur with the frequency indicated
by the adjusted default probability pool (the default probability associated
with the current rating multiplied by the Resecuritization Stress) for
each credit in the reference pool. Specifically, correlated
defaults are simulated using a normal (or Gaussian) copula model that
applies the asset correlation framework. Recovery rates for defaulted
credits are generated by applying within the simulation the distributional
assumptions, including correlation between recovery values.
Together, the simulated defaults and recoveries across each of the
Monte Carlo scenarios define the loss distribution for the reference pool.
Once the loss distribution for the collateral has been calculated,
each collateral loss scenario derived through the CDOROM loss distribution
is associated with the interest and principal received by the rated liability
classes via the CDOEdge cash-flow model. The cash flow model
takes into account the following: collateral cash flows, the
transaction covenants, the priority of payments (waterfall) for
interest and principal proceeds received from portfolio assets,
reinvestment assumptions, the timing of defaults, interest-rate
scenarios and foreign exchange risk (if present). The Expected
Loss for each tranche is the weighted average of losses to each tranche
across all the scenarios, where the weight is the likelihood of
the scenario occurring. Moody's defines the loss as the shortfall
in the present value of cash flows to the tranche relative to the present
value of the promised cash flows. The present values are calculated
using the promised tranche coupon rate as the discount rate. For
floating rate tranches, the discount rate is based on the promised
spread over Libor and the assumed Libor scenario.
Further information on Moody's analysis of this transaction is available
on www.moodys.com
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
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, and public information.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a 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 Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
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on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
New York
Ainat Koller
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Leon Mogunov
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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 one class of notes issued by Class V Funding II, Ltd. a SF CDO
No Related Data.
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