$117.5 million of notes affected
New York, September 09, 2022 — Moody’s Traders Service (“Moody’s”) has upgraded the rankings on the next notes issued by Northwoods Capital XVI, Restricted:
U.S.$60,000,000 Class B Senior Secured Floating Fee Notes due 2030, Upgraded to Aa1 (sf); beforehand on November 15, 2017 Definitive Score Assigned Aa2 (sf)
U.S.$30,000,000 Class C Mezzanine Secured Deferrable Floating Fee Notes due 2030, Upgraded to A1 (sf); beforehand on September 24, 2020 Confirmed at A2 (sf)
U.S.$27,500,000 Class D Mezzanine Secured Deferrable Floating Fee Notes due 2030, Upgraded to Baa2 (sf); beforehand on September 24, 2020 Confirmed at Baa3 (sf)
Northwoods Capital XVI, Restricted, initially issued in November 2017, 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 will finish in November 2022.
RATINGS RATIONALE
These score actions replicate the advantage of the quick time frame remaining earlier than the top of the deal’s reinvestment interval in November 2022. In mild of the reinvestment restrictions in the course of the amortization interval which restrict the power of the supervisor to impact important modifications to the present collateral pool, Moody’s analyzed the deal assuming the next probability that the collateral pool traits will probably be maintained and proceed to fulfill sure covenant necessities. Particularly, Moody’s assumed that the deal will profit from decrease weighted common score issue (WARF) and better weighted common unfold (WAS) ranges in comparison with their respective covenant ranges. Moody’s modeled a WARF of 2703 and a WAS of three.71% in comparison with their respective present covenant ranges of 2908 and three.55%. Moreover, the transaction’s reported collateral high quality and OC ratios have been secure since August 2021.
Moody’s modeled the transaction utilizing a money move mannequin primarily based on the Binomial Growth Approach, as described in “Moody’s International Strategy to Score Collateralized Mortgage Obligations.”
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 steadiness: $492,372,394
Variety Rating: 78
Weighted Common Score Issue (WARF): 2703
Weighted Common Unfold (WAS) (earlier than accounting for reference price flooring): 3.71%
Weighted Common Coupon (WAC): 1.14%
Weighted Common Restoration Fee (WARR): 46.6%
Weighted Common Life (WAL): 4.64 years
Along with base case evaluation, Moody’s thought-about further situations the place outcomes may diverge from the bottom case. These further situations embody, amongst others, close to time period defaults by corporations going through liquidity stress, 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 International Strategy to Score Collateralized Mortgage Obligations” revealed in December 2021 and obtainable 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.
Elements that Would Result in an Improve or Downgrade of the Rankings:
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 is dependent upon financial and credit score circumstances that will change. The Supervisor’s funding selections and administration of the transaction can 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 type. Moody’s Score Symbols and Definitions could 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 in regards to the probability of prevalence to every degree 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 last word potential losses for every rated instrument. The loss a rated instrument incurs in every collateral loss situation, weighted by assumptions in regards to the probability of occasions in that situation occurring, leads to the anticipated lack of the rated instrument.
Moody’s quantitative evaluation entails an analysis of situations that stress components contributing to sensitivity of rankings and take into consideration 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 gives sure regulatory disclosures in relation to every score of a subsequently issued bond or observe of the identical sequence, class/class of debt, safety or pursuant to a program for which the rankings are derived completely from current rankings in accordance with Moody’s score practices. For rankings issued on a help supplier, this announcement gives sure regulatory disclosures in relation to the credit standing motion on the help supplier and in relation to every explicit credit standing motion for securities that derive their credit score rankings from the help supplier’s credit standing. For provisional rankings, this announcement gives sure regulatory disclosures in relation to the provisional score assigned, and in relation to a definitive score that could 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 way that might have affected the score. For additional data 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 might change because of this credit standing motion, the related regulatory disclosures will probably 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 seek advice from Moody’s Coverage for Designating and Assigning Unsolicited Credit score Rankings obtainable 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 could be discovered at https://rankings.moodys.com/paperwork/PBC_1288235.
The International Scale Credit score Score on this Credit score Score Announcement was issued by one in all Moody’s associates outdoors the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Essential 60322, Germany, in accordance with Artwork.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit score Score Businesses. Additional data on the EU endorsement standing and on the Moody’s workplace that issued the credit standing is obtainable on https://rankings.moodys.com.
The International Scale Credit score Score on this Credit score Score Announcement was issued by one in all Moody’s associates outdoors the UK and is endorsed by Moody’s Traders Service Restricted, One Canada Sq., Canary Wharf, London E14 5FA beneath the legislation relevant to credit standing companies within the UK. Additional data on the UK endorsement standing and on the Moody’s workplace that issued the credit standing is obtainable on https://rankings.moodys.com.
Please see https://rankings.moodys.com for any updates on modifications 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 extra regulatory disclosures for every credit standing.
Ruonan Yang
Analyst
Structured Finance Group
Moody’s Traders Service, Inc.
250 Greenwich Road
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Shopper Service: 1 212 553 1653
David Ham
VP – Senior Credit score Officer
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Shopper 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
Shopper Service: 1 212 553 1653
