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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 the ratings on USD 42 million of SF CDO notes issued by Ashford CDO I, Ltd.

07 Oct 2014

New York, October 07, 2014 -- Moody's Investors Service has upgraded the ratings on notes issued by Ashford CDO I, Ltd.:

U.S.$27,000,000 Class A-3L Notes Due December 11, 2040 (current outstanding balance of $25,038,414), Upgraded to Aa3 (sf); previously on April 23, 2014 Upgraded to Baa1 (sf);

U.S.$20,000,000 Class B-1L Notes Due December 11, 2040 (current outstanding balance of $16,880,302), Upgraded to A2 (sf); previously on April 23, 2014 Upgraded to Ba2 (sf).

Ashford CDO I, Ltd., issued in December 2005, is a collateralized debt obligation backed primarily by a portfolio of CLO tranches originated from 2004 to 2007.

RATINGS RATIONALE

These rating actions are due primarily to the deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios. Since the last rating action in April 2014, $44.6 million of principal proceeds have been paid to the notes, mostly from unscheduled redemptions of underlying CLO assets. The Class A-1LB notes and Class A-2L notes have paid down in full and Class A-3L notes have paid down by approximately 7.3% or $2.0 million since April 2014. Based on the trustee's September report, the OC ratios of Class A and Class B notes are reported at 171.2% and 119.1%, versus April 2014 levels of 147.5% and 113.0%, respectively. Moody's notes that the September 2014 trustee reported OC ratios do not take into account $21.5 million of principal proceeds that was paid to the Class A-2L and Class A-3L notes holders on the September 11, 2014 payment date.

The deal has also benefited from an improvement in the weighted average spread (WAS) of the underlying portfolio since April 2014. Based on the trustee's September 2014 report, the WAS is currently 2.91%, compared to 2.70% in April 2014. Additionally, the weighted average rating factor of the deal has been stable.

Methodology Underlying the Rating Action

The principal methodology used in this rating was "Moody's Approach to Rating SF CDOs," published in March 2014. Please see the Credit Policy 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) Macroeconomic uncertainty: The performance of SF CDOs backed by CLOs (CLO squareds) could be negatively affected by 1) uncertainty about credit conditions in the general economy (macroeconomic uncertainty), and 2) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers. Additionally, the performance of the CLO assets can also be affected positively or negatively by 1) the manager's investment strategy and behavior and 2) differences in the legal interpretation of CLO documentation by different transaction parties owing to embedded ambiguities.

2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds, including those from optional redemptions of underlying CLO assets, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster deleveraging than Moody's expects could have a significant 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 no recoveries, and therefore, realization of any recoveries 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 (702):

Class A-3L: +1

Class B-1L: 0

Ba1 and below ratings notched down by two notches (1482):

Class A-3L: 0

Class B-1L: -1

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 did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

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

As the section on loss and cash flow analysis describes, 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 rating action on the support provider and in relation to each particular 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 rating action, and whose ratings may change as a result of this 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.

Haoning Ding
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

Ramon O Torres
Senior Vice President/Manager
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

Moody's upgrades the ratings on USD 42 million of SF CDO notes issued by Ashford CDO I, Ltd.
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.

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​
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