Research: Rating Action: Moody’s raises the ratings of two classes of notes issued by ICG US CLO 2014-2, Ltd.

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$65.2 million in tickets affected

New York, November 10, 2022 — Moody’s Investors Service (“Moody’s”) has raised the ratings of the following notes issued by ICG US CLO 2014-2, Ltd. :

US$44,000,000 Class B-RR senior term notes due 2031, upgraded to Aa1 (sf); previously on March 8, 2018 Awarded Aa2 (sf)

US$21,200,000 Class C-RR Mezzanine Deferred Term Notes due 2031, upgraded to A1 (sf); previously on March 8, 2018 Assigned A2 (sf)

ICG US CLO 2014-2, Ltd., originally issued in August 2014, partially refinanced in April 2017 and fully refinanced in March 2018, is a cash flow managed CLO. The Notes are secured primarily by a portfolio of highly syndicated senior secured corporate loans. The reinvestment period of the transaction will end in January 2023.

RATINGS RATIONALE

These rating actions reflect the advantage of the short period of time remaining before the end of the operation’s reinvestment period in January 2023. Given the reinvestment restrictions during the amortization period which limit the manager’s ability to make significant changes to the current collateral pool, Moody’s has analyzed the transaction assuming a higher probability that the features of the collateral pool will be maintained and continue to meet certain covenant requirements.

In particular, Moody’s has assumed that the transaction will benefit from a lower weighted average rating factor (“WARF”) and a higher weighted average spread (“WAS”) relative to the covenant levels. Moody’s modeled a WARF of 2,697 and a WAS of 3.46% against a WARF covenant of 2,964 and a WAS covenant of 3.20%. The operation also benefited from a shortening of the weighted average life of the portfolio.

Moody’s modeled the transaction using a cash flow model based on the binomial expansion technique, as described in “Moody’s Global Approach to Rating Collateralized Loan Obligations”.

Key model inputs used by Moody’s in its analysis, such as face value, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and may differ from the figures communicated by the administrator. For modeling purposes, Moody’s used the following basic assumptions:

Balance of proceeds at par and principal: $386,487,603

Default: $9,493,186

Diversity score: 71

Weighted Average Rating Factor (WARF): 2697

Weighted average spread (WAS) (before taking into account benchmark rate floors): 3.46%

Weighted average recovery rate (WARR): 47.51%

Weighted Average Life (WAL): 4.11 years

In addition to the base case analysis, Moody’s considered additional scenarios in which results could diverge from the base case. Additional scenarios include, but are not limited to, short-term corporate defaults facing liquidity pressure, deterioration in the credit quality of the underlying portfolio, lower overall WAS and lower recoveries on outstanding assets. default.

Methodology used for the rating action

The main methodology used in these ratings is “Moody’s Global Approach to Rating Collateralized Loan Obligations” published in December 2021 and available on https://ratings.moodys.com/api/rmc-documents/74832. Otherwise, please see the Scoring Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Factors that would cause ratings to be upgraded or downgraded:

The performance of the Notes rated is subject to uncertainty. The performance of rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on changing economic and credit conditions. The Manager’s investment decisions and the management of the Transaction will also affect the return on the Rated Notes.

REGULATORY INFORMATION

For details on key rating assumptions and Moody’s sensitivity analysis, see the Methodological Assumptions and Sensitivity to Assumptions sections in the Disclosure Form. Moody’s rating symbols and definitions can be found at https://ratings.moodys.com/rating-definitions.

The analysis relies on an assessment of the characteristics of the collateral to determine the distribution of collateral losses, ie the function correlated to an assumption about the probability of occurrence of each level of possible collateral losses. Secondly, Moody’s assesses each possible collateral loss scenario using a model that reproduces the relevant structural characteristics to deduce the payouts and therefore the ultimate potential losses for each rated instrument. The loss incurred by a rated instrument 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 involves an evaluation of scenarios that focus on factors contributing to rating sensitivity and consider the likelihood of material collateral losses or impaired cash flows. Moody’s weights the impact on rated instruments based on its assumptions of the likelihood of events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security, this announcement provides certain regulatory information regarding each rating of a subsequently issued bond or note of the same series, category/class of debt, security or under a program for which ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a media provider, this announcement provides certain regulatory information relating to the credit rating action on the media provider and each particular credit rating action for securities whose credit ratings are derived from the support provider’s credit rating. For the provisional ratings, this press release provides certain regulatory information relating to the provisional rating assigned, and to a final rating that may be assigned after the final issuance of the debt, in each case where the structure and conditions of the transaction n have not changed prior to the final rating being assigned in a way that would have affected the rating. For more information, please see the issuer/transaction page of the respective issuer at https://ratings.moodys.com.

For all relevant securities or rated entities receiving direct credit support from the lead entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action , the associated regulatory information will be that of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to the jurisdiction: Ancillary services, Disclosures to the rated entity, Disclosures to be provided by the rated entity.

The ratings have been communicated to the rated entity or its designated agent(s) and issued without modification resulting from such communication.

These notes are solicited. Please refer to Moody’s Policy for the Designation and Assignment of Unsolicited Credit Ratings available on its website. https://ratings.moodys.com.

The regulatory information contained in this press release applies to the credit rating and, if applicable, the outlook or rating revision relating thereto.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis are available at https://ratings.moodys.com/documents/PBC_1288235.

The worldwide credit rating on this credit rating announcement was issued by one of Moody’s affiliates outside the EU and is approved by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main. -le-Main 60322, Germany, in accordance with Article 4(3) of Regulation (EC) No 1060/2009 on credit rating agencies. Further information on the EU approval status and the Moody’s office that issued the credit rating can be found at https://ratings.moodys.com.

The worldwide credit rating on this credit rating announcement has been issued by one of Moody’s affiliates outside the UK and is approved by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the United Kingdom. . Further information on the UK endorsement status and the Moody’s office that issued the credit rating can be found at https://ratings.moodys.com.

Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and Moody’s legal entity that issued the rating.

Please see the issuer/transaction page at https://ratings.moodys.com for additional regulatory information for each credit rating.

Yinni Li
Vice President – Senior Analyst
Structured Finance Group
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Leon Mogunov
Associate General Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

Release Office:
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
UNITED STATES
JOURNALISTS: 1 212 553 0376
Customer service: 1 212 553 1653

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