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I AGREE
08 Feb 2011
USD 30.3 million of debt securities affected
London, 08 February 2011 -- Moody's Investors Service announced today that it has upgraded the ratings
of two CLO notes issued by Iron Hill CLO Limited:
....US$14.007M Class B Senior
Secured Deferrable Floating Rate Notes due 2025 Notes, Upgraded
to Baa3 (sf); previously on Dec 23, 2010 Ba3 (sf) Placed Under
Review for Possible Upgrade
....US$16.342M Class C Senior
Secured Deferrable Floating Rate Notes due 2025 Notes, Upgraded
to Ba3 (sf); previously on Dec 23, 2010 B2 (sf) Placed Under
Review for Possible Upgrade
RATINGS RATIONALE
Iron Hill CLO Limited, issued in March 2008, is a multicurrency
collateralised loan obligation backed by a portfolio of mostly high yield
European loans of approximately EUR 304 million and managed by Guggenheim
Partners Europe Limited. This transaction has 6 months remaining
till the end of the reinvestment period.
The portfolio is denominated in EUR, GBP and USD, with 20.7%
exposure to US assets. It is composed of 99% senior secured
loans from 23 various industries, the majority of which are Media:
Broadcasting & Subscription and Services: Business, and
Healthcare & Pharmaceuticals.
According to Moody's, the upgrade rating actions taken on the notes
is a result primarily of the improved credit quality of the portfolio
and increased overcollateralization cushions since the last rating action,
which are driven by 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, and Class C overcollateralization
ratios are reported at 126.4%, 121.0%,
and 115.3% respectively, versus July 2009 levels of
117.3, 112.6%, and 107.7%
respectively. In addition, the WARF has improved from 2914
in July 2009 to 2610 as per the collateral administrator report.
The deal also experienced a decrease in Caa assets from 13.5%
of the portfolio to 9.1% over the same period.
In the base case, Moody's analyzed the underlying collateral pool
with a stressed default probability at 4 years of 24.6%
which is consistent with an adjusted weighted average rating factor of
3569, a diversity score of 36 and a weighted-average recovery
rate of 66.4%.
Moody's also ran sensitivity analysis on key parameters for the rated
notes. For instance, if the weighted average rating factor
was changed by 200, the model outputs of all rated notes would not
be affected 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 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 54.5% of the collateral pool consists
of debt obligations whose credit quality has been assessed through Moody's
credit estimates.
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.
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The rating has been disclosed to the rated entity or its designated agents
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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
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's upgrades the ratings of two CLO notes of Iron Hill CLO Limited
No Related Data.
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