$110.5 million of notes affected
New York, September 09, 2022 — Moody’s Traders Service (“Moody’s”) upgrades rankings on two lessons of notes issued by Carlyle US CLO 2016-4, Ltd.
U.S.$72,500,000 Class A-2-R Senior Secured Floating Price Notes due 2027, Upgraded to Aaa (sf); beforehand on October 22, 2018 Definitive Score Assigned Aa1 (sf)
U.S.$38,000,000 Class B-R Senior Secured Deferrable Floating Price Notes due 2027, Upgraded to A1 (sf); beforehand on October 22, 2018 Definitive Score Assigned A2 (sf)
Carlyle US CLO 2016-4, Ltd., initially issued in December 2016 and refinanced in October 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured company loans. The transaction’s reinvestment interval led to July 2021.
RATINGS RATIONALE
These score actions are primarily a results of deleveraging of the senior notes and a rise within the transaction’s over-collateralization (OC) ratios since August 2022.The Class A-1-R notes have been paid down by roughly 8.7% or $26.1 million since that point. Primarily based on the trustee’s August 2022 report[1], the OC ratios for the Class A and Class B notes are reported at 131.89% and 118.79%, respectively, versus August 2021 [2] ranges of 130.34% and 118.22%, respectively.
The deal has additionally benefited from an enchancment within the credit score high quality of the portfolio since August 2021. Primarily based on the trustee’s August 2022 report [3], the weighted common score issue (WARF) is at present 2682 in comparison with 2881 in August 2021[4].
The important thing mannequin inputs Moody’s utilized in its evaluation, resembling par, weighted common score issue, variety rating, weighted common unfold, and weighted common restoration price, are primarily based on its revealed methodology and will differ from the trustee’s reported numbers. For modeling functions, Moody’s used the next base-case assumptions:
Performing par and principal proceeds stability: $453,867,353
Defaulted par: $2,495,115
Variety Rating: 69
Weighted Common Score Issue (WARF): 2603
Weighted Common Unfold (WAS) (earlier than accounting for reference price flooring): 3.09%
Weighted Common Restoration Price (WARR): 48.2%
Weighted Common Life (WAL): 3.5 years
Along with base case evaluation, Moody’s thought-about extra situations the place outcomes might diverge from the bottom case. These extra situations consists of, amongst others, close to time period defaults by corporations dealing with liquidity strain, deterioration in credit score high quality of the underlying portfolio, lower in total WAS and decrease recoveries on defaulted belongings.
Methodology Used for the Score Motion
The principal methodology utilized in these rankings was “Moody’s World Method to Score Collateralized Mortgage Obligations” revealed in December 2021 and out there at https://rankings.moodys.com/api/rmc-documents/74832. Alternatively, please see the Score Methodologies web page on https://rankings.moodys.com for a duplicate of this technique.
Components that Would Result in an Improve or Downgrade of the Scores:
The efficiency of the rated notes is topic to uncertainty. The efficiency of the rated notes is delicate to the efficiency of the underlying portfolio, which in flip depends upon financial and credit score circumstances that will change. The Supervisor’s funding choices and administration of the transaction may even have an effect on the efficiency of the rated notes.
REGULATORY DISCLOSURES
For additional specification of Moody’s key score assumptions and sensitivity evaluation, see the sections Methodology Assumptions and Sensitivity to Assumptions within the disclosure kind. Moody’s Score Symbols and Definitions might be discovered on https://rankings.moodys.com/rating-definitions.
The evaluation depends on an evaluation of collateral traits to find out the collateral loss distribution, that’s, the perform that correlates to an assumption concerning the probability of prevalence to every stage of potential losses within the collateral. As a second step, Moody’s evaluates every potential collateral loss situation utilizing a mannequin that replicates the related structural options to derive funds and due to this fact the final word potential losses for every rated instrument. The loss a rated instrument incurs in every collateral loss situation, weighted by assumptions concerning the probability of occasions in that situation occurring, ends in the anticipated lack of the rated instrument.
Moody’s quantitative evaluation entails an analysis of situations that stress elements contributing to sensitivity of rankings and consider the probability of extreme collateral losses or impaired money flows. Moody’s weights the influence on the rated devices primarily based on its assumptions of the probability of the occasions in such situations occurring.
For rankings issued on a program, sequence, class/class of debt or safety this announcement offers sure regulatory disclosures in relation to every score of a subsequently issued bond or notice of the identical sequence, class/class of debt, safety or pursuant to a program for which the rankings are derived solely from current rankings in accordance with Moody’s score practices. For rankings issued on a help supplier, this announcement offers sure regulatory disclosures in relation to the credit standing motion on the help supplier and in relation to every specific credit standing motion for securities that derive their credit score rankings from the help supplier’s credit standing. For provisional rankings, this announcement offers sure regulatory disclosures in relation to the provisional score assigned, and in relation to a definitive score which may be assigned subsequent to the ultimate issuance of the debt, in every case the place the transaction construction and phrases haven’t modified previous to the task of the definitive score in a fashion that might have affected the score. For additional info please see the issuer/deal web page for the respective issuer on https://rankings.moodys.com.
For any affected securities or rated entities receiving direct credit score help from the first entity(ies) of this credit standing motion, and whose rankings could change on account of this credit standing motion, the related regulatory disclosures shall be these of the guarantor entity. Exceptions to this strategy exist for the next disclosures, if relevant to jurisdiction: Ancillary Providers, Disclosure to rated entity, Disclosure from rated entity.
The rankings have been disclosed to the rated entity or its designated agent(s) and issued with no modification ensuing from that disclosure.
These rankings are solicited. Please confer with Moody’s Coverage for Designating and Assigning Unsolicited Credit score Scores out there on its web site https://rankings.moodys.com.
Regulatory disclosures contained on this press launch apply to the credit standing and, if relevant, the associated score outlook or score evaluation.
Moody’s common rules for assessing environmental, social and governance (ESG) dangers in our credit score evaluation might be discovered at https://rankings.moodys.com/paperwork/PBC_1288235.
The World Scale Credit score Score on this Credit score Score Announcement was issued by one in every of Moody’s associates exterior the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Major 60322, Germany, in accordance with Artwork.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit score Score Businesses. Additional info on the EU endorsement standing and on the Moody’s workplace that issued the credit standing is out there on https://rankings.moodys.com.
The World Scale Credit score Score on this Credit score Score Announcement was issued by one in every of Moody’s associates exterior the UK and is endorsed by Moody’s Traders Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA below the regulation relevant to credit standing businesses within the UK. Additional info on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is out there on https://rankings.moodys.com.
REFERENCES/CITATIONS
[1] Trustee report 10-Aug-2022
[2] Trustee report 10-Aug-2021
[3] Trustee report 10-Aug-2022
[4] Trustee report 10-Aug-2021
Please see https://rankings.moodys.com for any updates on adjustments to the lead score analyst and to the Moody’s authorized entity that has issued the score.
Please see the issuer/deal web page on https://rankings.moodys.com for added regulatory disclosures for every credit standing.
Nalin Aeron
Vice President – Senior Analyst
Structured Finance Group
Moody’s Traders Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Consumer Service: 1 212 553 1653
David Ham
VP – Senior Credit score Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Consumer Service: 1 212 553 1653
Releasing Workplace:
Moody’s Traders Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Consumer Service: 1 212 553 1653
