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By clicking “I AGREE”, 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 information that becomes accessible to you (the “Information”). References herein to “Moody’s” include Moody’s Corporation. and each of its subsidiaries and affiliates..

 

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Rating Action:

Moody's upgrades the ratings of six classes of notes and five composite obligationsissued by ZAIS Investment Grade Limited VI, Ltd., an ABS CDO

31 Mar 2011

New York, March 31, 2011 -- Moody's Investors Service announced today that it has upgraded the ratings of five Composite Obligations and six classes of notes issued by ZAIS Investment Grade Limited VI. The classes of notes affected by today's rating actions are as follows:

U.S. $206,000,000 Class A-1 Senior Secured Floating Rate Notes (current balance: $111,706,823), Upgraded to A1 (sf); previously on September 9, 2009 Downgraded to Ba1 (sf)

U.S. $54,750,000 Class A-2a Senior Secured Floating Rate Notes, Upgraded to Ba1 (sf); previously on September 9, 2009 Downgraded to Caa1 (sf)

U.S. $8,250,000 Class A-2b Senior Secured Fixed Rate Notes, Upgraded to Ba1 (sf); previously on September 9, 2009 Downgraded to Caa1(sf)

U.S. $21,000,000 Class A-3 Senior Secured Floating Rate Notes, Upgraded to B1 (sf); previously on September 9, 2009 Downgraded to Caa3 (sf)

U.S. $6,400,000 Class B-1 Senior Secured Floating Rate Notes, Upgraded to Caa3 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

U.S. $36,600,000 Class B-2 Senior Secured Fixed Rate Notes, Upgraded to Caa3 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

U.S. $1,250,000 Type II Composite Obligations, Upgraded to Baa3 (sf); previously on September 9, 2009 Downgraded to Caa3 (sf)

U.S. $3,000,000 Type III Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

U.S. $10,500,000 Type IV Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

U.S. $15,000,000 Type V Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

U.S. $8,600,000 Type VI Composite Obligations, Upgraded to Caa2 (sf); previously on September 9, 2009 Downgraded to Ca (sf)

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes and composite obligations result primarily from the delevering of the Class A-1 Notes and the improvement of the credit quality of the portfolio.

The Class A-1 Notes have been paid down by approximately $72.5 million since the last rating action in September 2009. As a result of the delevering, the overcollateralization ratios have increased since that time. As of the latest trustee report dated February 16, 2011, the Class A and Class B overcollateralization ratios are reported at 126.32% and 103.56%, respectively, versus August 2009 levels of 107.11% and 92.31%, respectively and currently the Class A OC is in compliance. The Class B-1 and B-2 notes are receiving their interest payments but a deferred interest balance is still outstanding on the Notes and will only be paid down once all the OC and IC tests are passing.

Moody's also notes that the deal has benefited from improvement in the credit quality of the underlying portfolio since the rating action in September 2009. Based on the February 2011 trustee report, the weighted average rating factor is 2276 compared to 2704 in August 2009. The deal also experienced a decrease in defaults. In particular, the dollar amount of defaulted securities has decreased to about $86 million from approximately $128 million in August 2009.

ZAIS Investment Grade Limited VI. is a collateralized debt obligation backed primarily by a portfolio of CLOs, and ABS CDOs.

The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in November 2010.

Moody's applied the Monte Carlo simulation framework within CDOROMv2.6 to model the loss distribution for SF CDOs. Within this framework, defaults are generated so that they occur with the frequency indicated by the adjusted default probability pool (the default probability associated with the current rating multiplied by the Resecuritization Stress) for each credit in the reference. Specifically, correlated defaults are simulated using a normal (or "Gaussian") copula model that applies the asset correlation framework. Recovery rates for defaulted credits are generated by applying within the simulation the distributional assumptions, including correlation between recovery values. Together, the simulated defaults and recoveries across each of the Monte Carlo scenarios define the loss distribution for the reference pool.

Once the loss distribution for the collateral has been calculated, each collateral loss scenario derived through the CDOROM loss distribution is associated with the interest and principal received by the rated liability classes via the CDOEdge cash-flow model . The cash flow model takes into account the following: collateral cash flows, the transaction covenants, the priority of payments (waterfall) for interest and principal proceeds received from portfolio assets, reinvestment assumptions, the timing of defaults, interest-rate scenarios and foreign exchange risk (if present). The Expected Loss (EL) for each tranche is the weighted average of losses to each tranche across all the scenarios, where the weight is the likelihood of the scenario occurring. Moody's defines the loss as the shortfall in the present value of cash flows to the tranche relative to the present value of the promised cash flows. The present values are calculated using the promised tranche coupon rate as the discount rate. For floating rate tranches, the discount rate is based on the promised spread over Libor and the assumed Libor scenario.

Moody's Investors Service did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Moody's rating action today factors in a number of sensitivity analyses and stress scenarios, discussed below. Results are shown in terms of the number of notches' difference versus the current model output, where a positive difference corresponds to lower expected loss, assuming that all other factors are held equal:

Moody's Caa3 bucket notched down to Ca:

Class A-1: -1

Class A-2a: -2

Class A-2b: -2

Class A-3: -3

Class B-1: -2

Class B-2: -2

Type II Combo: -1

Type III Combo: -2

Type IV Combo: -2

Type V Combo: -2

Type VI Combo: -2

Moody's Caa3 bucket notched up to Caa1:

Class A-1: 0

Class A-2a: 0

Class A-2b:0

Class A-3:0

Class B-1: 0

Class B-2: 0

Type II Combo: 0

Type III Combo: 0

Type IV Combo: +1

Type V Combo:+1

Type VI Combo: +1

REGULATORY DISCLOSURES

Information sources used to prepare the credit rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

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.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Sange Lama
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Leon Mogunov
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

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

Moody's upgrades the ratings of six classes of notes and five composite obligationsissued by ZAIS Investment Grade Limited VI, Ltd., an ABS CDO
No Related Data.
© 2022 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 CREDIT RATINGS AFFILIATES ARE THEIR 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 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 APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S 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.

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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 $5,000,000. 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 JPY100,000 to approximately JPY550,000,000.

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

​
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