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Moody's Investors Service Inc.

Moody's Upgrades Ratings on Notes Issued by Belle Haven ABS CDO, Ltd.

Strategic Insights

— 1 min read

The ratings on notes issued by Belle Haven ABS CDO, Ltd. have been upgraded by Moody's Investors Service. The upgrade is a result of a comprehensive review of all credit ratings for the respective transactions, which took into account the current levels of credit enhancement available to the notes, recent performance, analysis of the transaction structures, updated loss expectations on the underlying pools, and revised loss-given-default expectation. The notes have either incurred a missed interest payment or are currently undercollateralized, and the rating upgrade reflects the updated credit profile.

Key Takeaways:

  • Moody's has upgraded the ratings on notes issued by Belle Haven ABS CDO, Ltd. from Caa3 (sf) to their current ratings.
  • The upgrade reflects the current levels of credit enhancement available to the notes, recent performance, and analysis of the transaction structures.
  • The notes have either incurred a missed interest payment or are currently undercollateralized, and the rating upgrade takes into account the updated credit profile.
  • The notes, U.S.$505,500,000 Class A1SB-1 Notes and U.S.$344,000,000 Class A1ST Senior Secured Floating Rate Notes, remain in Caa3 (sf) ratings, previously downgraded to Ca (sf) on July 13, 2010.
  • The other rated classes in the deal have not been upgraded as their expected losses remain commensurate with their current ratings.
  • The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in July 2024.

Statistics:

  • The current balance of the U.S.$505,500,000 Class A1SB-1 Notes is $121,054,032.
  • The current balance of the U.S.$344,000,000 Class A1ST Senior Secured Floating Rate Notes is $80,702,573.
  • 13 July 2010 marked the previous downgrade of the ratings to Ca (sf).
  • Moody's rating committee conducted a comprehensive review of all credit ratings for the respective transactions.
  • No actions were taken on the other rated classes in the deal.

Sources:

  • Moody's Investors Service
  • "Moody's Approach to Rating SF CDOs" published in July 2024 (available at https://ratings.moodys.com/rmc-documents/425578)
  • The Rating Methodologies page on https://ratings.moodys.com

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