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Moody's Investors Service Inc.

Moody's Upgrades Rating on Hildene TruPS Securitization 2019-2 Notes

Strategic Insights

— 2 min read

The rating on the U.S.$235,500,000 Class A-1 Senior Secured Floating Rate Notes issued by Hildene TruPS Securitization 2019-2, Ltd. has been upgraded to Aa1 (sf) from Aa2 (sf) due to the ongoing deleveraging of the Class A-1 notes, resulting in a significant increase in over-collateralization ratios. The notes have paid down by approximately 8.0% or $16.5 million since June 2024, using principal proceeds from the redemption of underlying assets. This development has enhanced the credit quality of the notes.

Key Takeaways:

  • Moody's upgraded the rating on the Class A-1 Senior Secured Floating Rate Notes to Aa1 (sf) from Aa2 (sf) due to the substantial increase in over-collateralization ratios.
  • The Class A-1 notes have paid down by approximately 8.0% or $16.5 million since June 2024, resulting in an improved over-collateralization ratio of 182.67%.
  • The rating action was primarily driven by the deleveraging of the Class A-1 notes, which will continue to benefit from the use of proceeds from redemptions of any assets in the collateral pool.
  • The Class A-2, Class B, and Class C notes were not upgraded as their expected losses remain commensurate with their current ratings.
  • Moody's considered various scenarios, including deteriorating credit quality of the portfolio, in their analysis.
  • The rating methodology used in this rating action was "Moody's Approach to Rating TruPS CDOs" published in July 2024.

Statistics:

  • $235,500,000: Original issue amount of the Class A-1 Senior Secured Floating Rate Notes.
  • $190,735,039.67: Current balance of the Class A-1 Notes.
  • 8.0%: Percentage of the Class A-1 notes paid down since June 2024.
  • $16.5 million: Amount of principal proceeds from the redemption of underlying assets used to pay down the Class A-1 notes.
  • 182.67%: Over-collateralization ratio of the Class A-1 notes as of the rating action date.
  • 176.09%: Over-collateralization ratio of the Class A-1 notes as of June 2024.
  • 348.4 million: Performing par (after treating deferring securities as performing if they meet certain criteria).
  • 8.0 million: Deferring par (included in performing par).
  • 7.94%: Weighted average default probability.
  • 960: Weighted average rating factor.
  • 10.0%: Weighted average recovery rate upon default.

Sources:

  • Moody's Investors Service, "Moody's Upgrades Rating on Hildene TruPS Securitization 2019-2 Notes," available at https://ratings.moodys.com/rmc-documents/425579.
  • Moody's Approach to Rating TruPS CDOs, published in July 2024, available at https://ratings.moodys.com/rmc-documents/425579.

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