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Moody's assigns provisional ratings to MMAF Equipment Finance LLC 2017-B

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Global Credit Research - 08 Nov 2017

Approximately $ 725 million securities rated

New York, November 08, 2017 -- Moody's Investors Service, ("Moody's") has assigned provisional ratings of (P)P-1 (sf) to the Class A-1 Notes and (P)Aaa (sf) to the Class A-2, Class A-3, Class A-4 and Class A-5 Notes to be issued by MMAF Equipment Finance LLC 2017-B (the issuer). The sponsor and servicer is MassMutual Asset Finance LLC (MMAF; unrated), a wholly-owned subsidiary of Massachusetts Mutual Life Insurance Company (insurance financial strength rating Aa2, stable).

The complete rating actions are as follows:

Issuer: MMAF Equipment Finance LLC 2017-B

Class A-1 Notes, Assigned (P)P-1 (sf)

Class A-2 Notes, Assigned (P)Aaa (sf)

Class A-3 Notes, Assigned (P)Aaa (sf)

Class A-4 Notes, Assigned (P)Aaa (sf)

Class A-5 Notes, Assigned (P)Aaa (sf)

RATINGS RATIONALE

The ratings are based on an assessment of the quality and diversity of the obligors under the loans and leases, with the majority rated investment grade; the historical performance of MMAF's portfolio, with very few instances of delinquency or default; credit enhancement including overcollateralization of 9.50% of the pool, a non-declining reserve account funded at closing and sized at 0.50% of the pool, and excess spread; and the legal and turbo structure of the transaction, as well as the servicing arrangements.

MMAF, as the sponsor and servicer, has engaged Portfolio Financial Servicing Company (unrated) as the sub-servicer and backup servicer, while Barings LLC (unrated) is the performance guarantor of MMAF's obligations as servicer.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to a downgrade of the ratings:

Moody's could downgrade the ratings if levels of credit protection are insufficient to protect investors against current expectations of loss. Moody's updated expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or lease, or a deterioration in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, negative changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings.

Additional research including a pre-sale report for this transaction is available at www.moodys.com.

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.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1098532

In rating this transaction, Moody's CDOROM™ is used to model the expected loss for each tranche. Moody's CDOROM™ is a Monte Carlo simulation tool which takes each underlying asset default probability as input. Each underlying asset default behavior is then modeled individually with a standard multi-factor model incorporating both intra- and inter-industry correlation. The correlation structure is based on a Gaussian copula. Each Monte Carlo scenario simulates defaults and if applicable, recovery rates, to derive losses on a portfolio. For a synthetic transaction, the model then allocates losses to the tranches in reverse order of priority to derive the loss on the tranches. By repeating this process and averaging over the number of simulations, Moody's can derive the expected loss on the tranches. For a cash transaction, the portfolio loss, or default, distribution produced by Moody's CDOROM™ may be input into a separate cash flow model in accordance with its priority of payment to determine each tranche's expected loss.

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.

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.

Aron Bergman
Asst Vice President - 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

Jian Hu
MD - Structured Finance
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

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