November 9, 2012 / 10:11 AM / 5 years ago

TEXT-S&P affirms rtg on Metropolis 2010-10's class A notes

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We have subjected the capital structure to a cash flow analysis to determine the break-even default rate for the class A notes. In our analysis, we used the reported portfolio balance that we consider to be performing, the weighted-average spread, and the weighted-average recovery rates that we considered appropriate. We incorporated various cash flow stress scenarios using our standard default patterns, levels, and timings for the rating category assumed for the class A notes, in conjunction with different interest stress scenarios.

The rating on the class A notes is not constrained by the largest obligor default test, a supplemental stress test we introduced in our 2009 criteria update for corporate collateralized debt obligations (CDOs) (see "Update to Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009).

Metropolis II's series 2010-10 class A notes issuance is a retranched collateralized debt obligation (CDO) of Wood Street CLO III B.V.'s class A-2A ('AA+ (sf)') senior secured notes due 2022.

Related Criteria and Research

-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

-- Global Methodology And Assumptions For Rating Retranchings Of Corp Cashflow CDOs, Oct. 15, 2009

-- Update To Global Methodologies And Assumptions For Corporate Cash Flows And Synthetic CDOs, Sept. 17, 2009

-- The Use Of rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008

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