New York, August 25, 2016– Moodys Investors Service, (Moodys) has
assigned scores to five classes of notes issued by Apidos CLO XXIV (the.
Issuer or Apidos XXIV).
Moodys score action is as follows:.
US$ 248,000,000 Class A-1 Senior citizen.
Protected Floating Rate Notes due 2027 (the Class A-1 Notes),.
Definitive Rating Assigned Aaa (sf).
US$ 50,000,000 Class A-2 Senior.
Safe Drifting Rate Notes due 2027 (the Class A-2 Notes),.
Definitive Score Assigned Aa2 (sf).
US$ 32,000,000 Class B Mezzanine Deferrable.
Floating Rate Notes due 2027 (the Class B Notes), Definitive Score.
Appointed A2 (sf).
US$ 20,000,000 Class C Mezzanine Deferrable.
Floating Rate Notes due 2027 (the Class C Notes), Definitive Score.
Appointed Baa3 (sf).
US$ 18,000,000 Class D Mezzanine Deferrable.
Drifting Rate Notes due 2027 (the Class D Notes), Conclusive Score.
Appointed Ba3 (sf).
The Class A-1 Notes, Class A-2 Notes, Class.
B Notes, Class C Notes and Class D Notes are described herein,.
jointly, as the Ranked Notes.
Moodys ratings of the Rated Notes resolve the anticipated losses postured to.
noteholders. The ratings show the risks due to defaults on the.
underlying portfolio of possessions, the transactions legal structure,.
and the attributes of the underlying possessions.
Apidos XXIV is a managed cash circulation CLO. The provided notes will be.
collateralized mainly by broadly syndicated very first lien senior protected.
corporate loans. At least 96% of the portfolio should consist.
of senior protected loans and qualified financial investments (including cash),.
and approximately 4% of the portfolio might consist of 2nd lien loans.
and unsecured loans. The portfolio is around 85%.
ramped as of the closing date.
CVC Credit Partners, LLC (the Supervisor) will direct the selection,.
acquisition and personality of the possessions on behalf of the Provider and.
may participate in trading activity, consisting of discretionary trading,.
during the deals four and a half year reinvestment period.
Afterwards, the Supervisor may reinvest unscheduled primary payments.
and continuesfollows sales of credit risk possessions, based on specific.
In addition to the Rated Notes, the Provider has issued subordinated.
The deal incorporates interest and par protection tests which,.
if set off, divert interest and primary proceeds to pay for.
the notes in order of seniority.
Moodys modeled the transaction using a money flowa capital model based upon the Binomial.
Expansion Strategy, as described in Section 18.104.22.168.
of the Moodys Global Technique to Score Collateralized Loan Obligations.
rating methodology published in December 2015.
For modeling functions, Moodys utilized the following base-case.
Par amount: $400,000,000.
Diversity Rating: 65.
Weighted Typical Rating Element (WARF): 2788.
Weighted Average Spread (WAS): 3.85%.
Weighted Typical Discount coupon (WAC): 7.00%.
Weighted Average Healing Rate (WARR): 46.5%.
Weighted Average Life (WAL): 8 years.
Methodology Underlying the Score Action:.
The primary approach used in these ratings was Moodys Global Approach.
to Score Collateralized Loan Commitments released in December 2015.
Please see the Scores Approaches page on www.moodys.com.
for a copy of this method.
Aspects That Would Result in an Upgrade or Downgrade of the Scores:.
The efficiency of the Rated Notes undergoes uncertainty. The.
performance of the Rated Notes is delicate to the efficiency of the.
underlying portfolio, which in turn depends upon economic and credit.
conditions that might change. The Supervisors investment decisions.
and management of the transaction will also affect the performance of.
the Rated Notes.
Together with the set of modeling assumptions above, Moodys carried out.
an extra level of sensitivity analysis, which was an element in determining.
the scores assigned to the Rated Notes. This level of sensitivity analysis.
consists of increased default possibility relative to the base case.
Below is a summary of the effect of a boost in default probability.
( revealed in regards to WARF level) on the Rated Notes (revealeddisplayed in terms.
of the number of notch difference versus the current model output,.
where a negative distinction represents higher predicted losses),.
presuming that all other elements are held equal:.
Portion Modification in WARF– increase of 15% (from.
2788 to 3206).
Score Effect in Score Notches.
Class A-1 Notes: 0.
Class A-2 Notes: -1.
Class B Notes: -2.
Class C Notes: -1.
Class D Notes: 0.
Portion Modification in WARF– increase of 30% (from.
2788 to 3624).
Score Effect in Rating Notches.
Class A-1 Notes: 0.
Class A-2 Notes: -2.
Class B Notes: -4.
Class C Notes: -2.
Class D Notes: -1.
Further information concerning Moodys analysis of this deal might be.
found in the related pre-sale report, available on Moodys.com.
For additional specification of Moodys crucial score presumptions and level of sensitivity.
analysis, see the areas Method Assumptions and Sensitivity.
to Assumptions of the disclosure form.
Further details on the representations and warranties and enforcement.
mechanisms available to investors are readily available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1039158.
The analysis counts on an assessment of security characteristics to.
identify the security loss circulation, that is, the function.
that associates to a presumption about the probability of event to.
each level of possible losses in the security. As a second action,.
Moodys evaluates each possible security loss situation utilizing a.
model that replicates the relevant structural features to obtain payments.
and for that reason the ultimate prospective losses for each ranked instrument.
The loss a rated instrument sustains in each collateral loss circumstance,.
weighted by presumptions about the probability of events in that scenario.
taking place, leads to the expected loss of the ranked instrument.
Moodys quantitative analysis entails an evaluation of scenarios.
that tension elements adding to sensitivity of scores and take into.
account the probability of extreme security losses or impaired money flows.
Moodys weights the effectinfluence on the ranked instruments based on its.
presumptions of the likelihood of the occasions in such scenarios occurring.
For scores released on a program, series or category/class of financial obligation,.
this statement 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 scores.
are obtained solely from existing scores in accordance with Moodys.
rating practices. For ratings provided on an assistance service provider,.
this statement offers specific regulatory disclosures in relation.
to the credit score action on the support company and in relation to.
each certain credit rating action for securities that obtain their.
credit scores from the assistance suppliers credit score.
For provisionary scores, this announcement supplies particular regulatory.
disclosures in relation to the provisional score appointed, and.
in relation to a conclusive score that might be designated subsequent to.
the final issuance of the debt, in each case where the transaction.
structure and terms have actually not altered prior to the assignment of the definitive.
rating in a way that would have affected the rating. For even more.
info please see the scores tab on the issuer/entity page for the.
particular issuer on www.moodys.com.
For any afflicted securities or ranked entities receiving direct credit.
support from the main entity( ies) of this credit score 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 method exist for the following disclosures,.
if relevant to jurisdiction: Ancillary Solutions, Disclosure.
to ranked entity, Disclosure from ranked entity.
Regulatory disclosures consisted of in this press release use to the credit.
score and, if relevant, the associated rating outlook or rating.
Please see www.moodys.com for any updates on modifications to.
the lead score analyst and to the Moodys legal entity that has actually provided.
Please see the scores tab on the issuer/entity page on www.moodys.com.
for additional regulatory disclosures for each credit rating.
Structured Finance Group
Moodys Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
Senior Vice President
Structured Financing Group
Moodys assigns scores to five classes of notes provided by Apidos CLO XXIV
Moodys Investors Service, Inc.
250 Greenwich Street
New york city, NY 10007