Moody's Upgrades Rating on Davis Square Funding V, Ltd. Notes

Strategic Insights -

Moody's Investors Service has upgraded the rating on notes issued by Davis Square Funding V, Ltd. to Caa3 (sf) from Ca (sf), reflecting the current level of credit enhancement available to the notes and the recent performance of the underlying portfolio. The notes, with a current outstanding balance of $583,584,245.61, were issued in September 2005 and are a collateralized debt obligation backed primarily by a portfolio of structured finance assets.

Key Takeaways:

  • The rating on the Class A-1-a Floating Rate Notes due 2040 has been upgraded to Caa3 (sf) from Ca (sf), reflecting the current level of credit enhancement available to the notes.
  • The notes have incurred a missed interest payment or are currently undercollateralized, but the rating action reflects the updated loss expectations on the underlying pools and the revised loss-given-default expectation.
  • The notes are sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change.
  • The rating on the notes is subject to uncertainty and is influenced by deal features and their characteristics, such as amortization profile assumptions, and waterfall features.
  • The numbers: Class A-1-a Floating Rate Notes due 2040, with a current outstanding balance of $583,584,245.61.

Statistics:

  • The outstanding balance of the Class A-1-a Floating Rate Notes due 2040 is $583,584,245.61.
  • The rating on the Class A-1-a Floating Rate Notes due 2040 has been upgraded to Caa3 (sf) from Ca (sf).
  • The notes were issued in September 2005.
  • The principal methodology used in this rating was "Structured Finance CDOs" published in June 2025.
  • The rated notes underlie the following classes in the Davis Square Funding V, Ltd. series: Class A-1-a Floating Rate Notes due 2040, Upgraded to Caa3 (sf).

Sources:

  • Moody's Investors Service, "Rating Action: Moody's Upgrades Rating on Davis Square Funding V, Ltd.'s Class A-1-a Floating Rate Notes due 2040"
  • Moody's Ratings Methodology, "Structured Finance CDOs", June 2025.