19.11.2012 12:25
Bewerten
 (0)

Moody's upgrades EUR 121.5 m CLO notes of Harvest CLO II S.A.

Moody's also confirms EUR 13.5m CLO notes of Harvest CLO II S.A.

London, 19 November 2012 -- Moody's Investors Service announced today that it has upgraded the ratings of the following notes issued by Harvest CLO II S.A:

....EUR66.15M Class B Senior Floating Rate Notes, Upgraded to Aa2 (sf); previously on Jul 10, 2012 A1 (sf) Placed Under Review for Possible Upgrade

....EUR32.1M Class C-1 Senior Subordinated Deferrable Floating Rate Notes, Upgraded to Baa1 (sf); previously on Jul 10, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade

....EUR3M Class C-2 Senior Subordinated Deferrable Fixed Rate Notes, Upgraded to Baa1 (sf); previously on Jul 10, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade

....EUR17.25M Class D-1 Senior Subordinated Deferrable Floating Rate Notes, Upgraded to Ba1 (sf); previously on Jul 10, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade

....EUR3M Class D-2 Senior Subordinated Deferrable Fixed Rate Notes, Upgraded to Ba1 (sf); previously on Jul 10, 2012 Ba2 (sf) Placed Under Review for Possible Upgrade

....EUR2.6M Class R Combination Notes (EUR 1.55m Rated Balance Outstanding), Upgraded to Ba1 (sf); previously on Oct 7, 2011 Upgraded to Ba2 (sf)

....EUR6M Class S Combination Notes (EUR 2.84m Rated Balance Outstanding), Upgraded to Baa3 (sf); previously on Oct 7, 2011 Upgraded to Ba1 (sf)

....EUR5M Class V Combination Notes (EUR 3.19m Rated Balance Outstanding), Upgraded to A3 (sf); previously on Oct 7, 2011 Upgraded to Baa3 (sf)

Moody's confirmed the ratings of the following notes issued by Harvest CLO II S.A:

....EUR11.5M Class E-1 Senior Subordinated Deferrable Floating Rate Notes, Confirmed at B1 (sf); previously on Jul 10, 2012 B1 (sf) Placed Under Review for Possible Upgrade

....EUR2M Class E-2 Senior Subordinated Deferrable Fixed Rate Notes, Confirmed at B1 (sf); previously on Jul 10, 2012 B1 (sf) Placed Under Review for Possible Upgrade

The ratings of the Combination Notes address the repayment of the Rated Balance on or before the legal final maturity. For Classes R, S and V, the 'Rated Balance' is equal to, at any time to the principal amount of the Combination Note on the Issue Date increased by the Rated Coupon of Euribor, 2% and Euribor+1.5% per annum respectively, accrued on the Rated Balance on the preceding payment date minus the aggregate of all payments made from the Issue Date to such date, either through interest or principal payments. The Rated Balance may not necessarily correspond to the outstanding notional amount reported by the trustee.

Harvest CLO II S.A., issued in April 2005, is a Collateralised Loan Obligation ("CLO") backed by a portfolio of mostly high yield European loans. The portfolio is managed by 3i Debt Management Investments Ltd. This transaction's reinvestment period ended in May 2012. It is predominantly composed of senior secured loans.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are primarily a result of a correction to the rating model Moody's used for this transaction. Moody's corrected the rating model and put the ratings of above tranches on review for upgrade on 10 July, 2012. The actions also reflects the stable performance of the transaction since the last rating action in October 2011.

Moody's notes that the overcollateralization ratios of the rated notes have decreased since the rating action in October 2011. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 122.81%, 113.27%, 108.41% and 105.39%, respectively, versus August 2011 levels of 124.04%, 114.40%, 109.49% and 106.45%, respectively. All coverage tests are currently in compliance. The reported WARF improved slightly from 2786 to 2743 between August 2011 and September 2012 whilst the weighted average spread increased from 3.38% to 3.86%.

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 the portfolio par amount, WARF, 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 EUR 510.9 million, defaulted par of EUR 6.3 million, a weighted average default probability of 22% (consistent with a WARF of 2921), a weighted average recovery rate upon default of 46.26% for a Aaa liability target rating, a diversity score of 44 and a weighted average spread of 3.86%. 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. For a Aaa liability target rating, Moody's assumed that 90.6% of the portfolio exposed to senior secured corporate assets would recover 50% upon default, while the remainder non first-lien loan corporate assets would recover 10%. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also relevant factors. 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.

In the process of determining the final ratings, Moody's took into account the results of a number of sensitivity analyses:

(1) Deterioration of credit quality to address the refinancing and sovereign risks -- Approximately 16% of the portfolio are rated B3 and below and maturing between 2014 and 2016, which may create challenges for issuers to refinance. 8.6% of the portfolio are exposed to obligors located in Spain and Italy. Moody's considered a model run where the base case WARF was increased to be 3264 by forcing ratings on 25% of such exposure to Ca. This run generated model outputs that were one to two notches lower than the base case results.

2) Lower Weighted Average Recovery Rate ("WARR") and Diversity Score Levels - To test the deal sensitivity to key parameters, Moody's modelled a lower WARR, with a RR of 44.26% for a Aaa liability target rating, as well as a lower diversity score of 40. This run generated model outputs that were within one notch off the base case results.

Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behaviour 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) Portfolio Amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio. Pace of amortisation could vary significantly subject to market conditions and this may have a significant impact on the notes' ratings. In particular, amortisation could accelerate as a consequence of high levels of prepayments in the loan market or collateral sales by the Collateral Manager or be delayed by rising loan amend-and-extent restructurings. Fast amortisation would usually benefit the ratings of the notes.

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. Realization of higher than expected recoveries would positively impact the ratings of the notes.

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 modelled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011.

The cash flow model used for this transaction, whose description can be found in the methodology listed above, is Moody's CDOEdge model.

This model was used to represent the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's analysis encompasses the assessment of stressed scenarios.

In addition to the quantitative factors that are explicitly modelled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today rating action may be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not 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 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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

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.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

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 before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 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.

Hemal Shah Analyst Structured Finance Group Moody'sInvestors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Neelam S. Desai Senior Vice President Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. ("MIS") AND ITS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY'S ("MOODY'S PUBLICATIONS") MAY INCLUDE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY'S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY'S OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. CREDIT RATINGS AND MOODY'S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY'S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY'S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY'S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED,DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT.

All information contained herein is obtained by MOODY'S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided "AS IS" without warranty of any kind. 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. Under no circumstances shall MOODY'S have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error negligent or otherwise or other circumstance or contingency within or outside the control of MOODY'S or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if MOODY'S is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The ratings, financial reporting analysis, projections, and other observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities. Each user of the information contained herein must make its own study and evaluation of each security it may consider purchasing, holding or selling.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

MIS, a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS's ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Shareholder Relations -- Corporate Governance -- Director and Shareholder Affiliation Policy."

Any publication into Australia of this document is by MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657, which holds Australian Financial Services License no. 336969. This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001.

Notwithstanding the foregoing, credit ratings assigned on and after October 1, 2010 by Moody's Japan K.K. ("MJKK") are MJKK's current opinions of the relative future credit risk of entities, credit commitments, or debt or debt-like securities. In such a case, "MIS" in the foregoing statements shall be deemed to be replaced with "MJKK". MJKK is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO.

This credit rating is an opinion as to the creditworthiness or a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be dangerous for retail investors to make any investment decision based on this credit rating. If in doubt you should contact your financial or other professional adviser.

Artikel empfehlen?
Für den Live-Chat können Sie sich mit Ihrem finanzen.net-, Facebook- oder Twitter Account anmelden. Um immer die neusten Beiträge zu sehen, stellen Sie bitte "Neuesten" ein.

Private Krankenversicherung Tarifvergleich

Heute im Fokus

DAX schließt mit kräftigem Gewinn -- Dow Jones mit neuem Rekord -- Apple startet Verkauf der neuen iPhones - Ukraine bittet USA um Waffen -- Zalando will aus eigener Kraft wachsen -- Apple im Fokus

Euro legt zu. MIFA - Umsatz rückläufig. Handelsstart für Alibaba-Aktie erwartet. Daimler präzisiert Prognose. Solon beantragt erneut Insolvenz. Telekom baut Innovationsabteilung um - Hunderte Stellen fallen weg. Frankreich droht erneute Rating-Abstufung durch Moody's. Osram-Beschäftigte wehren sich gegen Stellenabbau.
Welche US-Aktien könnten zum Jahresende hin steigen?

Welches Unternehmen erzielte bislang das größte Emissions- volumen?

Milliarden IPO: Kaufen Sie sich Alibaba-Aktien oder andere Produkte auf Alibaba?

Anzeige