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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.

 

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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.          

 

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Related Issuers
Rating Action:

Moody's upgrades rating on $18.7 million of SF CDO notes issued by ACA ABS 2004-1, LIMITED

13 Sep 2016

New York, September 13, 2016 -- Moody's Investors Service has upgraded the rating on notes issued by ACA ABS 2004-1, LIMITED:

U.S.$47,250,000 Class B Senior Secured Floating Rate Notes Due July 16, 2039 (current outstanding balance of $18,735,922), Upgraded to Ba3 (sf); previously on May 7, 2014 Upgraded to Caa3 (sf).

ACA ABS 2004-1, LIMITED, issued in May 2004, is a collateralized debt obligation backed primarily by a portfolio of RMBS and CRE CDOs originated in 2003 and 2004.

RATINGS RATIONALE

These rating action is due primarily to deleveraging of the senior notes and an increase in the transaction's over-collateralization ("OC") ratio since January 2016. The Class B notes have been paid down by approximately 30.7%, or $13.0 million, since that time. Based on the trustee's August 2016 report, the OC ratio for the Class B notes is reported at 105.21%, versus 61.15% in January 2016. The paydown of the Class B notes is partially the result of cash collections from certain assets treated as defaulted by the trustee in amounts materially exceeding expectations.

The deal has also benefited from an improvement in the credit quality of the underlying portfolio since January 2016. Based on the trustee's August 2016 report, the weighted average rating factor is currently 1031, compared to 1135 in January 2016.

Methodology Underlying the Rating Action

The prinicpal methodology used in this rating was "Moody's Approach to Rating SF CDOs," published in July 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

Factors That Would Lead To an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below:

1) Primary causes of uncertainty about assumptions are the extent of any deterioration in either consumer or commercial credit conditions and in the commercial and residential real estate property markets. Commercial real estate property market is subject to uncertainty about general economic conditions including commercial real estate prices, investment activities, and economic performances.The residential real estate property market's uncertainties include housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates.

2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster than expected deleveraging could have a significantly positive impact on the notes' ratings.

3) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analyzed defaulted assets assuming limited recoveries, and therefore, realization of any recoveries exceeding Moody's expectation in the future would positively impact the notes' ratings.

Loss and Cash Flow Analysis:

Moody's applies a Monte Carlo simulation framework in Moody's CDOROM™ to model the loss distribution for SF CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios define the reference pool's loss distribution. Moody's then uses the loss distribution as an input in the CDOEdge™ cash flow model.

In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss):

Ba1 and below ratings notched up by two rating notches (1226):

Class B: +2

Class C-1: 0

Class C-2: 0

Ba1 and below ratings notched down by two notches (2777):

Class B: -1

Class C-1: 0

Class C-2: 0

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.

Moody's describes its loss and cash flow analysis in the section "Ratings Rationale" of this press release.

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.

Aileen Wang
Associate Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

David Ham
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

No Related Data.
© 2021 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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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 JPY550,000,000.

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

​
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