Moodys.com
Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
LOG IN
Don't want to see this again?
REGISTER
OR
Accept our Terms of Use to continue to Moodys.com:

PLEASE READ AND SCROLL DOWN!

 

By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

 

Terms of One-Time Website Use

 

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

 

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

 

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

 

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​

I AGREE
Related Issuers
1828 CLO Ltd.
522 Funding CLO 2017-1(A), Ltd.
522 Funding CLO 2018-2(A), Ltd.
522 Funding CLO 2018-3(A), Ltd.
522 Funding CLO 2019-4(A), Ltd.
610 Funding CLO 1, Ltd.
Acis CLO 2017-7 Ltd.
Allegro CLO IV, Ltd.
Allegro CLO V, Ltd.
Allegro CLO VI, Ltd.
Allegro CLO VII, Ltd.
AMMC CLO 15, Limited
AMMC CLO 18, Limited
AMMC CLO XIII, Limited
AMMC CLO XIV, Limited
Apex Credit CLO 2015-II LTD.
Apex Credit CLO 2016 Ltd.
Apex Credit CLO 2017 LTD.
Apex Credit CLO 2017-II Ltd.
Apex Credit CLO 2018 Ltd.
Apex Credit CLO 2018-II Ltd.
Apex Credit CLO 2019 Ltd.
Arch Street CLO, Ltd.
Ares L CLO Ltd.
Ares XL CLO Ltd.
Ares XLII CLO Ltd.
Ares XLIII CLO Ltd.
Ares XXXIX CLO Ltd.
Ares XXXVIII CLO Ltd.
Atlas Senior Loan Fund XI, Ltd.
Atlas Senior Loan Fund XIV, Ltd.
Avery Point VI CLO, Limited
Avery Point VII CLO, Limited
Babson CLO Ltd. 2014-I
Bain Capital Credit CLO 2016-2, Limited
Bain Capital Credit CLO 2019-1, Limited
Ballyrock CLO 2016-1 Ltd.
Barings CLO Ltd. 2015-I
Barings CLO Ltd. 2016-I
Barings CLO Ltd. 2018-I
Battalion CLO VII Ltd.
Battalion CLO VIII (Combination Note), Ltd. (Restructured as a Secured Note)
Battalion CLO VIII Ltd.
Benefit Street Partners CLO XII, Ltd.
Benefit Street Partners CLO XV, Ltd.
Benefit Street Partners CLO XVI, Ltd.
Black Diamond CLO 2017-1, Ltd.
Brookside Mill CLO Ltd.
California Street CLO XII, Ltd. (fka Symphony CLO XII, Ltd.)
Canyon Capital CLO 2014-2, Ltd.
Canyon Capital CLO 2015-1, Ltd.
Carlyle Global Market Strategies CLO 2012-4, Ltd.
Carlyle Global Market Strategies CLO 2013-1, Ltd
Carlyle Global Market Strategies CLO 2015-1, Ltd.
Carlyle Global Market Strategies CLO 2015-3, Ltd.
Carlyle Global Market Strategies CLO 2015-4, Ltd.
Carlyle Global Market Strategies CLO 2015-5, Ltd.
Carlyle Global Market Strategies CLO 2016-2 (Secured Note), Ltd.
Carlyle Global Market Strategies CLO 2016-2, Ltd.
Carlyle US CLO 2016-4, Ltd.
Carlyle US CLO 2017-1 Ltd.
Carlyle US CLO 2017-2, Ltd.
Carlyle US CLO 2017-4, Ltd.
Carlyle US CLO 2018-1, Ltd.
Carlyle US CLO 2018-3 (Secured Note), LLC
Carlyle US CLO 2018-3, Ltd.
Carlyle US CLO 2018-4, Ltd.
Catamaran CLO 2013-1 Ltd.
Catamaran CLO 2014-1 Ltd.
CBAM 2017-1, Ltd.
CBAM 2017-2, Ltd.
CBAM 2017-3 (Secured Note) LLC
CBAM 2017-3, Ltd.
CBAM 2017-4 (Secured Note) LLC
CBAM 2017-4, Ltd.
CBAM 2018-5, Ltd.
CBAM 2018-6, Ltd.
CBAM 2018-7, Ltd.
CBAM 2018-8, Ltd.
CBAM 2019-10, Ltd.
CBAM 2019-11, Ltd.
CBAM 2019-9, Ltd.
CIFC Funding 2014-II-R, Ltd.
CIFC Funding 2017-I, Ltd
CIFC Funding 2017-III, Ltd.
Cirrus Funding 2018-1, Ltd.
Clear Creek CLO, Ltd.
Covenant Credit Partners CLO III, Ltd
Crestline Denali CLO XIV, Ltd.
Crestline Denali CLO XV, Ltd.
Crestline Denali CLO XVI, Ltd.
Crestline Denali CLO XVII, Ltd.
Crown Point CLO 4 Ltd.
Crown Point CLO 7 Ltd.
Crown Point CLO III, Ltd.
Cutwater 2014-I, Ltd.
Cutwater 2014-II, Ltd.
Cutwater 2015-I, Ltd.
Denali Capital CLO XI, Ltd.
Denali Capital CLO XII, Ltd.
Dryden 37 Senior Loan Fund
Dryden 38 Senior Loan Fund
Dryden 40 Senior Loan Fund
Dryden 41 Senior Loan Fund
Eaton Vance CLO 2014-1R, Ltd.
Elevation CLO 2014-2, Ltd.
Elevation CLO 2016-5, Ltd.
Elevation CLO 2017-6, Ltd
Elevation CLO 2017-7, Ltd.
Elevation CLO 2017-8, Ltd.
Elevation CLO 2018-10, Ltd.
Elevation CLO 2018-9, Ltd.
Evans Grove CLO, Ltd.
Galaxy XXIV CLO, Ltd.
Galaxy XXVII CLO, Ltd.
Gallatin CLO IX 2018-1, Ltd.
Gallatin CLO VIII 2017-1, Ltd.
Golub Capital Partners CLO 22(B)-R, Ltd.
Golub Capital Partners CLO 23(B)-R, Ltd.
Golub Capital Partners CLO 26(B)-R, Ltd.
Golub Capital Partners CLO 35(B), Ltd.
Halcyon Loan Advisors Funding 2014-1 Ltd.
Halcyon Loan Advisors Funding 2014-2 Ltd.
Halcyon Loan Advisors Funding 2017-1 Ltd.
Halcyon Loan Advisors Funding 2017-2 Ltd.
Halcyon Loan Advisors Funding 2018-1 Ltd.
HarbourView CLO VII-R, Ltd.
Hempstead II CLO Ltd.
HPS Loan Management 10-2016, Ltd.
HPS Loan Management 11-2017, Ltd.
ICG US CLO 2014-1, Ltd.
ICG US CLO 2014-2, Ltd.
ICG US CLO 2014-3, Ltd.
ICG US CLO 2015-1, Ltd.
ICG US CLO 2015-2R, Ltd.
ICG US CLO 2016-1, Ltd.
ICG US CLO 2017-1, Ltd.
ICG US CLO 2018-1, Ltd.
ICG US CLO 2018-2, Ltd.
Jamestown CLO IX Ltd.
Jamestown CLO VI-R Ltd.
Jamestown CLO X Ltd.
Jamestown CLO XI Ltd.
Jefferson Mill CLO Ltd.
JFIN CLO 2014-II Ltd.
JFIN CLO 2015 Ltd.
JMP Credit Advisors CLO III(R) Ltd.
JMP Credit Advisors CLO IV Ltd.
JMP Credit Advisors CLO V Ltd.
KKR CLO 11 Ltd.
KKR CLO 12 Ltd.
KKR CLO 13 Ltd.
KKR CLO 14 Ltd.
KKR CLO 15 Ltd.
KKR CLO 16 Ltd.
KKR CLO 17 Ltd.
KKR CLO 18 Ltd.
KKR CLO 19 Ltd.
KKR CLO 22 Ltd.
KKR CLO 23 Ltd.
KKR CLO 24 Ltd.
KKR CLO 25 Ltd.
KKR CLO 26 Ltd.
KKR CLO 9 Ltd.
KKR Financial CLO 2013-1, Ltd.
KVK CLO 2016-1 Ltd.
LCM XV Limited Partnership
LCM XXIV Ltd.
LCM XXV Ltd.
Lockwood Grove CLO, Ltd.
Loomis Sayles CLO II, Ltd.
Madison Park Funding XII, Ltd.
Madison Park Funding XIV, Ltd.
Madison Park Funding XIX, Ltd.
Madison Park Funding XV, Ltd.
Madison Park Funding XVI, Ltd.
Madison Park Funding XVII, Ltd.
Madison Park Funding XXV, Ltd.
Man GLG US CLO 2018-1 Ltd.
Man GLG US CLO 2018-2 Ltd.
Marathon CLO VIII Ltd.
Marathon CLO XI Ltd.
Marathon CLO XIII Ltd.
Marble Point CLO X Ltd.
Marble Point CLO XI Ltd.
Marble Point CLO XII Ltd.
Marble Point CLO XIV Ltd.
Mercer Field II CLO Ltd.
MidOcean Credit CLO VI
MJX Venture Management II LLC, Series H
Monarch Grove CLO, Ltd.
Monroe Capital BSL CLO 2015-1, Ltd.
Mountain View CLO 2017-2 Ltd.
Mountain View CLO IX Ltd.
Mountain View CLO XIV Ltd.
MP CLO III, Ltd.
MP CLO IV, Ltd.
MP CLO VII, Ltd.
MP CLO VIII, Ltd.
Nassau 2017-II Ltd.
Nassau 2018-I Ltd.
Nassau 2018-II Ltd.
Nassau 2019-I Ltd.
Nassau 2019-II Ltd.
Northwoods Capital XII-B, Limited
Northwoods Capital XIV-B, Limited
Northwoods Capital XV, Limited
Northwoods Capital XVI, Limited
Northwoods Capital XVII, Limited
Northwoods Capital XVIII, Limited
NZCG Funding Ltd.
Ocean Trails CLO VI
Octagon 25 Secured Note, LLC
Octagon Investment Partners 20-R, Ltd.
Octagon Investment Partners 25, Ltd.
Octagon Investment Partners 26, Ltd.
Octagon Investment Partners 30, Ltd.
Octagon Investment Partners 31, Ltd.
Octagon Investment Partners 32, Ltd.
Octagon Investment Partners 34, Ltd.
Octagon Investment Partners 36, Ltd.
Octagon Investment Partners 39, Ltd.
Octagon Investment Partners 40, Ltd.
Octagon Investment Partners 41, Ltd.
Octagon Investment Partners 42, Ltd.
Octagon Investment Partners XIV, Ltd.
Octagon Investment Partners XXI, Ltd.
Octagon Investment Partners XXIII, Ltd.
Octagon Loan Funding, Ltd.
OZLM VI, Ltd.
OZLM VII, Ltd.
OZLM VIII, LTD.
OZLM XI, Ltd.
OZLM XII, Ltd.
OZLM XIII, Ltd.
OZLM XIV, Ltd.
OZLM XIX, Ltd.
OZLM XV, Ltd.
OZLM XVI, Ltd.
OZLM XVII, Ltd.
OZLM XVIII, Ltd.
OZLM XX, Ltd.
OZLM XXII, Ltd.
Parallel 2015-1 Ltd.
Parallel 2018-1 Ltd.
Parallel 2018-2 Ltd.
Peaks CLO 2, Ltd.
PPM CLO 2 Ltd.
PPM CLO 2018-1 Ltd.
PPM CLO 3 Ltd.
Risk Retention - Garrison 2015-1 Reset
Risk Retention - Venture 28A CLO
Risk Retention - Venture XVI CLO, Limited (Reset)
Risk Retention - Venture XVIII CLO, Ltd
Risk Retention - Venture XXVIII CLO, Ltd
Risk Retention - Venture XXX CLO, Ltd
Risk Retention Notes for Venture XXIX CLO, Limited
Rockford Tower CLO 2017-3, Ltd.
Salem Fields CLO, Ltd.
Saranac CLO III Limited
SARANAC CLO V LIMITED
Saranac CLO VI Limited
Saranac CLO VII Limited
Saratoga Investment Corp. CLO 2013-1, Ltd.
SCOF-2 Ltd.
Seven Sticks CLO Ltd.
Shackleton 2013-IV-R CLO, Ltd.
Shackleton 2014-VI-R CLO, Ltd.
Shackleton 2014-V-R CLO, Ltd.
Shackleton 2018-XII CLO, Ltd.
Silver Creek CLO, Ltd.
Sound Point CLO III-R, Ltd.
Sound Point CLO IV-R, Ltd.
Sound Point CLO IX, Ltd.
Sound Point CLO VIII-R, Ltd.
Sound Point CLO VII-R, Ltd.
Sound Point CLO VI-R, Ltd.
Sound Point CLO V-R, Ltd.
Sound Point CLO X, Ltd.
Sound Point CLO XI, Ltd.
Sound Point CLO XII, Ltd.
Sound Point CLO XIV, Ltd.
Sound Point CLO XIX, Ltd.
Sound Point CLO XV, Ltd.
Sound Point CLO XVI, Ltd.
Sound Point CLO XVII, Ltd.
Sound Point CLO XVIII, Ltd.
Sound Point CLO XX, Ltd.
Sound Point CLO XXI, Ltd.
Sound Point CLO XXII, Ltd.
Steele Creek CLO 2014-1R, Ltd.
Steele Creek CLO 2015-1, Ltd.
Steele Creek CLO 2016-1, Ltd.
Steele Creek CLO 2017-1, Ltd.
Steele Creek CLO 2018-1, Ltd.
Steele Creek CLO 2018-2, Ltd.
Steele Creek CLO 2019-1, Ltd.
Strata CLO I, Ltd.
Symphony CLO XIV, LTD.
Symphony CLO XV, Ltd.
Symphony CLO XVI, Ltd.
Symphony CLO XVII, Ltd.
Symphony CLO XX, Ltd.
TCI-Symphony CLO 2016-1 Ltd.
TCI-Symphony CLO 2017-1 Ltd.
Telos CLO 2013-3, Ltd.
TIAA CLO III LTD.
TICP CLO I-2, Ltd.
TICP CLO IV, Ltd.
Tralee CLO III, Ltd.
Trinitas CLO III, Ltd.
Trinitas CLO VII, Ltd.
Venture 28A CLO, Limited
Venture 31 CLO, Limited
Venture 33 CLO, Limited
Venture 34 CLO, Limited
Venture 35 CLO, Limited
Venture 36 CLO Limited
Venture 37 CLO, Limited
Venture XIII CLO, Limited
Venture XIV CLO, Limited
Venture XIX CLO, Limited
Venture XV CLO, Limited
Venture XVI CLO, Limited
Venture XVIII CLO, Limited
Venture XXII CLO, Limited
Venture XXIII CLO, Limited
Venture XXIV CLO, Limited
Venture XXIX CLO, Limited
Venture XXV CLO, Limited
Venture XXVI CLO, Limited
Venture XXVII CLO, Limited
Venture XXVII CLO, Limited Risk Retention Notes due 2030
Venture XXVIII CLO, Limited
Venture XXX CLO, Limited
Vibrant CLO III, Ltd.
Vibrant CLO IV, Ltd.
Vibrant CLO IX, Ltd.
Vibrant CLO V, Ltd.
Vibrant CLO VI, LTD
Vibrant CLO VII, LTD.
Vibrant CLO VIII, Ltd.
Vibrant CLO X, Ltd.
Voya CLO 2014-3, Ltd.
Voya CLO 2015-1, Ltd.
Voya CLO 2015-2, Ltd.
Voya CLO 2016-2, Ltd.
Voya CLO 2016-4, Ltd.
Voya CLO 2017-1, LTD.
Wellfleet CLO 2016-2, Ltd.
West CLO 2014-1 Ltd.
West CLO 2014-2 Ltd.
WhiteHorse IX, Ltd.
Whitehorse VIII, Ltd.
WhiteHorse X, Ltd.
Wind River 2014-1 CLO Ltd.
Wind River 2014-2 CLO Ltd.
Wind River 2014-3 CLO Ltd.
Wind River 2015-1 CLO Ltd.
Wind River 2015-2 CLO Ltd.
Wind River 2016-1 CLO Ltd.
Wind River 2016-2 CLO Ltd.
Wind River 2017-1 CLO Ltd.
Wind River 2017-2 CLO Ltd.
York CLO-5 Ltd.
ZAIS CLO 11, Limited
Zais CLO 13, Limited
ZAIS CLO 2, Limited
ZAIS CLO 3, Limited
ZAIS CLO 5, Limited
ZAIS CLO 6, Limited
ZAIS CLO 7, Limited
ZAIS CLO 9, Limited
Rating Action:

Moody's places ratings on 859 securities from 358 US CLOs on review for downgrade; also places ratings on 25 linked securities on review for downgrade

17 Apr 2020

Approximately $22 billion of securities affected

NOTE: On August 12, 2020, the press release was corrected as follows: The first sentence of the first paragraph of the press release was changed to “Moody's Investors Service announced today that it has placed on review for downgrade its ratings on 859 securities ("CLO Securities") issued by 358 US broadly syndicated loan-backed (BSL) collateralized loan obligations (CLOs), plus another 25 linked secured notes and repackaged securities;” the last sentence of the first paragraph of the Ratings Rationale section was changed to “The rating actions on the secured notes and repackaged securities, which are backed by CLO debt or equity securities, result from their dependence on the CLO Securities we placed on review for downgrade as part of today's action;”the fifth paragraph of the Ratings Rationale section was changed to “1. For CLO Securities currently rated A1(sf) -- A3(sf), if the CLO's Moody's-calculated WARF as of April 7, 2020 ("Updated WARF") is at least 20% worse than its reported WARF in March, and the CLO's mezzanine senior OC ratio (par coverage ratio for securities originally rated A1(sf) - A3(sf)) has decreased by more than 1% since Moody's last rating action;” the sixth paragraph of the Ratings Rationale section was changed to “2. For CLO Securities currently rated Baa1(sf) or lower, if (a) the CLO's Updated WARF is more than 15% worse than its reported WARF in March, or (b) the CLO's Updated WARF is no more than 15% worse than its reported WARF in March and the CLO's mezzanine junior OC ratio (par coverage ratio for securities originally rated Baa1(sf) - Baa3(sf)) has decreased by more than 0.75% since Moody's last rating action;” the seventh paragraph of the Ratings Rationale section was changed to “ In addition, Moody's placed on review for downgrade its ratings on 25, secured notes and repackaged securities on review for downgrade if they were collateralized by a CLO Security whose rating Moody's placed on review for downgrade in this rating action;" the eight paragraph of the Ratings Rationale section was removed; and In the Factors that Would Lead to an Upgrade or Downgrade of the Ratings section, the first sentence was changed to “The performance of rated CLO Securities, and dependent secured notes, and repackaged securities is subject to and is sensitive to the performance of the related CLOs' underlying portfolio and related CLOs, respectively, which in turn depends on economic and credit conditions that may change” and the third sentence was changed to “Finally, to the extent that trading is permitted and feasible with respect to a CLO, the applicable CLO manager's investment decisions and management of such transaction will also affect the performance of the CLO's rated CLO Securities and any rated linked secured notes, and repackaged securities.” Revised release follows.

New York, April 17, 2020 -- Moody's Investors Service announced today that it has placed on review for downgrade its ratings on 859 securities ("CLO Securities") issued by 358 US broadly syndicated loan-backed (BSL) collateralized loan obligations (CLOs), plus another 25 linked secured notes and repackaged securities. The CLO Securities include 13 rated A1(sf) - A3(sf), 355 rated Baa1(sf) - Baa3(sf), 369 rated Ba1(sf) - Ba3(sf), and 122 rated B1(sf) or below. The affected securities represent approximately 19% of Moody's US-rated broadly syndicated loan (BSL) CLO securities.

During its review, Moody's will assess the impact of the ongoing credit shocks on CLO ratings taking into account (1) the credit quality of individual deals' most current portfolios, (2) manager trading strategies, (3) CLO structural mechanisms such as over-collateralization (OC) test haircuts for "excess" Caa exposures, and (4) and macroeconomic and credit market conditions. Moody's generally strives to conclude the rating reviews within 90 days. However, due to the high degree of uncertainty in the current credit environment, the resolution of this watch-list action may extend beyond our usual timeframe.

Due to the significant uncertainty over the breadth and depth of the negative effects of the coronavirus credit shock and the ongoing rating reviews on vulnerable CLO portfolio obligors, it is possible that additional CLOs, CLO Securities, or linked securities could be put on review for downgrade.

Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL423016 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer.

RATINGS RATIONALE

The rating actions on the CLO Securities are primarily a result of the credit quality deterioration stemming from the coronavirus outbreak, and our assessment that expected losses ("ELs") on these CLO Securities have increased materially. Expected Loss varies by CLO Security, and is a function of, among other things, (1) a CLO's exposure to obligors whose ratings were recently downgraded, are currently on review for downgrade, or have negative credit outlooks, (2) a CLO Security's priority in the related CLO's capital structure, or (3) the level of credit enhancement available for a CLO Security either from over-collateralization or from cash flows that would be diverted as a result of coverage test failures. The rating actions on the secured notes and repackaged securities, which are backed by CLO debt or equity securities, result from their dependence on the CLO Securities we placed on review for downgrade as part of today's action.

To identify the CLO Securities subject to today's rating action, Moody's assessed how negative movements in key portfolio credit quality metrics such as weighted average rating factor (WARF) migration and par erosion -- impact the rated securities. Moody's performed sensitivity analyses to test and calibrate how changes in levels of these key drivers impact modeled ELs. The observed EL changes and model-implied rating transitions based solely on changes in these key drivers were used as a framework for estimating the likely occurrences of material EL changes in the US BSL CLOs Moody's rates. Moody's also noted that the impact of these drivers is most significant on mezzanine and junior CLO securities. The sensitivity analysis revealed that the senior securities, which have significant credit enhancement and also benefit from cashflow diversion mechanism are well protected from the negative WARF movements evidenced to date.

Under this approach, for today's rating actions Moody's calculated a CLO's WARF deterioration from March through early April, and also any par erosion as of early April 2020 since the last rating action. Notably, Moody's calculated an average reported BSL CLO WARF of approximately 2916 as of March 2020 and an average recalculated WARF of 3322 as of April 2020 -- a deterioration of 406 points, or 14%, on average since March.

Based the information obtained under this approach, Moody's concluded that most CLO securities it rates likely have ELs that could exceed the benchmark corresponding to their current ratings if they meet either of the following conditions:

1. For CLO Securities currently rated A1(sf) -- A3(sf), if the CLO's Moody's-calculated WARF as of April 7, 2020 ("Updated WARF") is at least 20% worse than its reported WARF in March, and the CLO's mezzanine senior OC ratio (par coverage ratio for securities originally rated A1(sf) - A3(sf)) has decreased by more than 1% since Moody's last rating action;

2. For CLO Securities currently rated Baa1(sf) or lower, if (a) the CLO's Updated WARF is more than 15% worse than its reported WARF in March, or (b) the CLO's Updated WARF is no more than 15% worse than its reported WARF in March and the CLO's mezzanine junior OC ratio (par coverage ratio for securities originally rated Baa1(sf) - Baa3(sf)) has decreased by more than 0.75% since Moody's last rating action.

In addition, Moody's placed on review for downgrade its ratings on 25, secured notes and repackaged securities on review for downgrade if they were collateralized by a CLO Security whose rating Moody's placed on review for downgrade in this rating action.

Moody's considered in its analysis the increased uncertainty relating to the effect of the coronavirus outbreak on the US economy as well as the effects that the announced government measures put in place to contain the virus, will have on the performance of corporate assets. Moody's regards the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety. It is a global health shock, for which it is extremely difficult to provide an economic assessment. The degree of uncertainty around our forecasts is unusually high.

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 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111156. Alternatively, 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 rated CLO Securities, and dependent secured notes, and repackaged securities is subject to and is sensitive to the performance of the related CLOs' underlying portfolio and related CLOs, respectively, which in turn depends on economic and credit conditions that may change. In particular, the length and severity of the economic and credit shock precipitated by the global coronavirus pandemic will have a significant impact on the performance of the securities. Finally, to the extent that trading is permitted and feasible with respect to a CLO, the applicable CLO manager's investment decisions and management of such transaction will also affect the performance of the CLO's rated CLO Securities and any rated linked secured notes, and repackaged securities.

REGULATORY DISCLOSURES

The List of Affected Credit Ratings includes additional disclosures that vary with regard to some of the ratings. Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL423016 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and provides, for each of the credit ratings covered, Moody's disclosures on the following items:

• Person Approving the Credit Rating

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

Moody's did not use any models, or loss or cash flow analysis, in its analysis.

Moody's did not use any stress scenario simulations in its analysis.

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.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.

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

Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.

At least one ESG consideration was material to the credit rating action(s) announced and described above.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on www.moodys.com.

The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead rating analyst and the Moody's legal entity that has issued the ratings.

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.

Aniket Deshpande
VP-Sr 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

Dev Chatterjee
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

David Ham
VP - Senior Credit Officer
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.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR  PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT.

MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY'S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided "AS IS" without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY'S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications.

To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY'S.

To the extent permitted by law, MOODY'S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY'S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

Moody's Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody's Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody's Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and Moody's investors Service also maintain policies and procedures to address the independence of Moody's Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody's Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy."

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody's Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001. MOODY'S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. ("MJKK") is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody's SF Japan K.K. ("MSFJ") is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization ("NRSRO"). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​​​​​
Moodys.com