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Rating Action:

Moody's assigns definitive ratings to nine classes of notes issued by Bosphorus CLO V Designated Activity Company

12 Dec 2019

Frankfurt am Main, December 12, 2019 -- Moody's Investors Service ("Moody's") announced that it has assigned the following definitive ratings to notes issued by Bosphorus CLO V Designated Activity Company (the "Issuer"):

....EUR 1,750,000 Class X Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aaa (sf)

....EUR 97,000,000 Class A-1 Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aaa (sf)

....EUR 120,000,000 Class A-2 Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aaa (sf)

....EUR 20,000,000 Class B-1 Secured Floating Rate Notes due 2032, Definitive Rating Assigned Aa2 (sf)

....EUR 13,250,000 Class B-2 Secured Fixed Rate Notes due 2032, Definitive Rating Assigned Aa2 (sf)

....EUR 21,000,000 Class C Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned A2 (sf)

....EUR 25,350,000 Class D Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned Baa3 (sf)

....EUR 18,400,000 Class E Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned Ba3 (sf)

....EUR 10,500,000 Class F Secured Deferrable Floating Rate Notes due 2032, Definitive Rating Assigned B3 (sf)

RATINGS RATIONALE

The rationale for the rating is based on a consideration of the risks associated with the CLO's portfolio and structure as described in our methodology.

The Issuer is a managed cash flow CLO. At least 90% of the portfolio must consist of senior secured obligations and up to 10% of the portfolio may consist of senior unsecured obligations, second-lien loans, mezzanine obligations and high yield bonds. The portfolio is expected to be 90% ramped as of the closing date and to comprise of predominantly corporate loans to obligors domiciled in Western Europe. The remainder of the portfolio will be acquired during the three months ramp-up period in compliance with the portfolio guidelines.

The first payment date will occur at the end of the ramp-up period. If the manager has not gone effective before the end of the ramp-up period, the transaction will not be able to meet the effective date covenants prior to the first payment date. As a result, noteholders are exposed to the risk of leaking of excess interest proceeds to the subordinated noteholders on the first payment date, as the transaction will not divert available interest proceeds to the principal collection account or effect a sequential repayment of the notes using principal proceeds in order to cure a ramp-up failure.

Commerzbank AG, London Branch, will manage the CLO. It will direct the selection, acquisition and disposition of collateral on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 4.5-year reinvestment period. Thereafter, subject to certain restrictions, purchases are permitted using principal proceeds from unscheduled principal payments and proceeds from sales of credit risk obligations or credit improved obligations.

Interest and principal amortisation amounts due to the Class X Notes are paid pro rata with payments to the Class A-1 and A-2 notes. The Class X Notes amortise by 12.5% or EUR 218,750 over eight payment dates starting on the 2nd payment date.

In addition to the nine classes of notes rated by Moody's, the Issuer has issued EUR3.0 million of Class Z Notes and EUR32.1125 million of Subordinated Notes which are not rated. The Class Z Notes receive payments in an amount equivalent to a certain proportion of the subordinated management fees and its notes' payment is pari passu with the payment of the subordinated management fee.

The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority.

Methodology underlying the rating action:

The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in March 2019. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance.

Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019.

Moody's used the following base-case modeling assumptions:

Par Amount: EUR 350,000,000

Diversity Score: 40

Weighted Average Rating Factor (WARF): 2940

Weighted Average Spread (WAS): 3.75%

Weighted Average Coupon (WAC): 4.75%

Weighted Average Recovery Rate (WARR): 43.5%

Weighted Average Life (WAL): 8.5 years

Moody's has addressed the potential exposure to obligors domiciled in countries with local currency ceiling (LCC) of A1 or below. As per the portfolio constraints and eligibility criteria, exposures to countries with LCC of A1 to A3 cannot exceed 10% and obligors cannot be domiciled in countries with LCC below A3.

Further details regarding Moody's analysis of this transaction may be found in the related new issue report, available soon on Moodys.com.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1206917.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security 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 certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Andreas Hellmut Botterbusch, CFA
VP-Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Carine Kumps-Feniou
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

No Related Data.
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