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I AGREE
Related Issuers
Rating Action:

Moody's assigns ratings to six classes of notes issued by Crown Point CLO 4 Ltd.

21 Mar 2018

New York, March 21, 2018 -- Moody's Investors Service ("Moody's") has assigned ratings to six classes of notes issued by Crown Point CLO 4 Ltd. (the "Issuer" or "Crown Point 4").

Moody's rating action is as follows:

U.S.$3,375,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf)

U.S.$285,750,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf)

U.S.$51,750,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf)

U.S.$27,000,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf)

U.S.$29,250,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf)

U.S.$20,250,000 Class E Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf)

The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes."

RATINGS RATIONALE

Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets.

Crown Point 4 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, and up to 10.0% of the portfolio may consist of second lien loans, first-lien last-out loans and unsecured loans. The portfolio is approximately 65% ramped as of the closing date.

Pretium Credit Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions.

In addition to the Rated Notes, the Issuer issued subordinated notes.

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.

Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017.

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

Par amount: $450,000,000

Diversity Score: 60

Weighted Average Rating Factor (WARF): 2846

Weighted Average Spread (WAS): 3.45%

Weighted Average Coupon (WAC): 6.50%

Weighted Average Recovery Rate (WARR): 47.5%

Weighted Average Life (WAL): 9.10 years

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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 performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes.

Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case.

Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal:

Percentage Change in WARF -- increase of 15% (from 2846 to 3273)

Rating Impact in Rating Notches

Class X Notes: 0

Class A Notes: -1

Class B Notes: -2

Class C Notes: -2

Class D Notes: -1

Class E Notes: 0

Percentage Change in WARF -- increase of 30% (from 2846 to 3700)

Rating Impact in Rating Notches

Class X Notes: 0

Class A Notes: -1

Class B Notes: -3

Class C Notes: -4

Class D Notes: -2

Class E Notes: -1

Further details regarding Moody's analysis of this transaction may be found in the related pre-sale report, available 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_1116132.

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 or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt 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.

David H. Burger
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Danielle Nazarian
Senior Vice President
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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