Payment Terms

Research: Rating Action: Moody’s assigns a rating to a class of notes issued by OAHS 2022-1, LLC

New York, July 06, 2022 — Moody’s Investors Service (“Moody’s”) has assigned a rating to a class of notes issued by OAHS Issuer 2022-1, LLC (the “Issuer”) as follows:

Series 2022 Fixed Rate Notes, final rating assigned A2 (sf)

The Series 2022 Fixed Rate Notes are referred to herein as the “Rated Notes”.

RATINGS RATIONALE

The justification for the rating is based on our methodology and considers all relevant risks, in particular those associated with the portfolio and the structure of the CRE CLO.

Moody’s has previously assigned a provisional rating to the Series 2022 Fixed Rate Notes of (P)A3 (sf), described in the previous press release, dated June 1, 2022. Following the release of the provisional ratings for this transaction, on Based on the revised principal balance and coupon ratings, Moody’s recommends upgrading and converting the rating to A2 (sf).

OAHS Issuer 2022-1, LLC is a Static Cash Flow Commercial Real Estate Backed Financing CLO (CRE CLO). The transaction is backed by senior mezzanine interest and related collateral backed by cash flow from a portfolio of federal eligible low-income housing tax credits (LIHTC) and multi-family properties based on Section 8 projects. At the closing date, 100% of the assets of the transaction are fully identified and closed.

The closing pool is collateralized by the cash flows generated by the properties, after senior debt payments, and LIHTC-related fees – such as developer and GP-related fees, payable to SPV general partners of 10 entities at specified limited liability invested in 10 LIHTC properties located in the following locations four states and territories of the United States; California, Minnesota, New Jersey and Pennsylvania. 100% of cash flow is funded, in part, by rents from tenants supported by Section 8 in the 10 properties.

The transaction closed on July 6, 2022.

Orbach Affordable Housing Solutions, LLC will act as administrator of CRE CLO. This is the first CRE CLO transaction rated by Moody’s for the administrator and will provide management services and performance services related to LIHTC compliance with collateral interests during the life cycle of the transaction. TCAM Asset Management will act as standby administrator. Wilmington Trust, National Association will act as collateral agent and paying agent for this transaction.

Moody’s has identified the following metrics as key indicators of expected loss in CRE CLO transactions: weighted average rating factor (WARF), a primary measure of credit quality with credit ratings performed for all collateral, weighted average life (WAL), weighted average recovery rate (WARR), number of debtors of assets; and correlation of assets in pairs. These parameters are typically modeled as actual parameters for static transactions and as covenants for managed transactions.

For modeling purposes, Moody’s used the following basic assumptions:

Nominal amount: $133,965,000

Number of debtors: 10

Weighted Average Rating Factor (WARF): 1341

Weighted average recovery rate (WARR): 31.04%

Weighted Average Life (WAL): 13.4 years

Weighted Average Deviation (WAS): NAP

Weighted average coupon (WAC): 6.817%

Correlation of assets per pair: 35.0%

Methodology underlying the rating action:

The main methodology used in this rating is “Moody’s Approach to Rating SF CDOs” published in June 2021 and available on https://ratings.moodys.com/api/rmc-documents/72732. Otherwise, please see the Scoring Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Factors that may lead to a rating improvement or deterioration:

The performance of the Rated Securities 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 administrator’s investment decisions and the management of the transaction will also affect the performance of the Rated Securities.

In conjunction with the above set of modeling assumptions, Moody’s performed additional sensitivity analysis, which was a component in determining the rating assigned to the Notes Rated. This sensitivity analysis includes an increased probability of default compared to the reference case.

The main sources of uncertainty in the assumptions are the magnitude of growth in the current macroeconomic environment.

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.

Further information on representations, warranties and enforcement mechanisms available to investors can be found at https://ratings.moodys.com/documents/PBS_1331444.

The analysis relies on a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics determined by Moody’s based on its assessment of collateral characteristics. Moody’s then evaluates each simulated scenario using a model reproducing the relevant structural characteristics and payment allocation rules of the transaction, in order to deduce the losses or payments for each rated instrument. The average loss incurred by a rated instrument under all simulated collateral loss or cash flow scenarios, which Moody’s weights based on its assumptions about the likelihood of events in such scenarios actually occurring, results in the loss expected from 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 rating has been communicated to the rated entity or its designated agent(s) and issued without modification as a result of such communication.

This rating is requested. 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.

Tulay Sangiray
Assistant Vice President – 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

Deryk Meherik
Senior Vice President/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