New York, June 06, 2019 -- Moody's Investors Service has upgraded the ratings on the following notes
issued by Trapeza CDO XIII, Ltd.:
U.S. $375,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2042 (current balance of $156,881,507),
Upgraded to Aa1 (sf); previously on September 12, 2017 Upgraded
to Aa2 (sf)
U.S.$58,000,000 Class C-1 Secured
Deferrable Floating Rate Notes Due 2042 (current balance of $60,662,822),
Upgraded to B1 (sf); previously on September 12, 2017 Upgraded
to B2 (sf)
U.S.$5,000,000 Class C-2 Secured
Deferrable Fixed/Floating Rate Notes Due 2042 (current balance of $6,250,879),
Upgraded to B1 (sf); previously on September 12, 2017 Upgraded
to B2 (sf)
Trapeza CDO XIII, Ltd., issued in August 2007,
is a collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).
RATINGS RATIONALE
The rating actions are primarily a result of the deleveraging of the Class
A-1 notes, an increase in the transaction's over-collateralization
(OC) ratios, and partial repayment of the Class C-1 and C-2
deferred interest balance since June 2018.
The Class A-1 notes have paid down by approximately 38.2%
or $96.9 million since June 2018, using principal
proceeds from the redemption of the underlying assets and the diversion
of excess interest proceeds. Based on Moody's calculations,
the OC ratios for the Class A-1 and Class C notes have improved
to 305.4% and 116.4% from June 2018 levels
of 223.2% and 110.7%, respectively.
The Class A-1 notes will continue to benefit from the use of proceeds
from redemptions of any assets in the collateral pool. Additionally,
the Class C-1 and Class C-2 notes' deferred interest
balance has been reduced by $2.3 million and $1.1
million, respectively, and will continue being repaid as long
as the Class C OC ratio, reported at 116.4% on the
trustee's May 2019 report, remains in compliance with the
trigger of 113.5%.
The key model inputs Moody's used in its analysis, such as
par, weighted average rating factor, and weighted average
recovery rate, are based on its methodology and could differ from
the trustee's reported numbers. In its base case, Moody's
analyzed the underlying collateral pool as having a performing par of
$479.2 million, defaulted/deferring par of $34.0
million, a weighted average default probability of 11.4%
(implying a WARF of 1058), and a weighted average recovery rate
upon default of 10.0%.
Methodology Used for the Rating Action
The principal methodology used in these ratings was "Moody's Approach
to Rating TruPS CDOs" 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 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 portfolio consists primarily of
unrated assets whose default probability Moody's assesses through credit
scores derived using RiskCalc™ or credit assessments. Because
these are not public ratings, they are subject to additional estimation
uncertainty.
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.
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.
Monica Chau
Analyst
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
Oktay Veliev, CFA
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
