Research: Rating Action: Moody’s places nine Verizon Master Trust stocks under review for upgrade

$384.2 million in asset-backed securities affected

New York, October 26, 2022 — Moody’s Investors Service (“Moody’s”) has placed 9 Verizon Master Trust Notes under review for possible upgrade. The collateral underlying the transactions consists of device payment plans which are installment loans to individuals and businesses used to finance the purchase of mobile devices.

The full rating actions are as follows:

Issuer: Verizon Master Trust

Series: Series 2021-1

Class C, A1 (sf) tickets placed under review for possible upgrade; previously on May 25, 2021 Final rating assigned A1 (sf)

Issuer: Verizon Master Trust

Series: Series 2022-1

Category B, Aa2 (sf) tickets placed under review for possible upgrade; previously on January 25, 2022 Final rating assigned Aa2 (sf)

Class C, A2 (sf) tickets placed under review for possible upgrade; previously on January 25, 2022 Final rating assigned A2 (sf)

Issuer: Verizon Master Trust

Series: Series 2022-2

Category B, Aa2 (sf) tickets placed under review for possible upgrade; previously on January 25, 2022 Final rating assigned Aa2 (sf)

Class C, A2 (sf) tickets placed under review for possible upgrade; previously on January 25, 2022 Final rating assigned A2 (sf)

Issuer: Verizon Master Trust

Series: Series 2022-3

Category B, Aa2 (sf) tickets placed under review for possible upgrade; previously on May 25, 2022 Final Rating Assigned Aa2 (sf)

Class C, A2 (sf) tickets placed under review for possible upgrade; previously on May 25, 2022 Final rating assigned A2 (sf)

Issuer: Verizon Master Trust

Series: Series 2022-4

Category B, Aa2 (sf) tickets placed under review for possible upgrade; previously on May 25, 2022 Final Rating Assigned Aa2 (sf)

Class C, A2 (sf) tickets placed under review for possible upgrade; previously on May 25, 2022 Final rating assigned A2 (sf)

RATINGS RATIONALE

The rating actions reflect a drop in expected loss from 5.5% to 5.0% as well as a reduction in Aaa stress loss from 25.50% to 23.75% for the Verizon Master Trust. The lower expected loss and loss under Aaa stress reflect consistent origination history in terms of credit rating composition and the duration and performance of past securitizations. In addition, Verizon has demonstrated a history of managing its securitizations within concentration limits. Given the size of the Verizon Master Trust pool and consistent underwriting history to date, there is a lower probability of the pool migrating to a worst-case scenario.

The shares also reflect Cellco Partnership d/b/a Verizon Wireless’ experience and expertise as a provider of device payment plans.

During the review period, Moody’s will perform detailed cash flow analyzes under various scenarios.

MAIN METHODOLOGY

The main methodology used in these ratings was “Moody’s Approach to Rating Consumer Loan-Backed ABS” published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390487. Otherwise, please see the Scoring Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of ratings:

At the top

Moody’s could upgrade the ratings if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential payment structures, such as the one in this transaction, credit enhancement increases as a percentage of the collateral balance as collections repay senior notes. Moody’s expectations for pool losses could decline due to better-than-expected economic improvements, changes in service practices that improve recoveries or upgrades, or result in early payments.

Down

Moody’s could downgrade bond ratings if pool losses exceed its expectations and credit enhancement levels are consistent with lower ratings. The credit enhancement may decrease if the excess spread is not sufficient to cover losses in any given month. Moody’s expectation of pool losses may increase, for example, due to deterioration in performance resulting from a slowing U.S. economy, poor service, errors on the part of parties to transaction, inadequate transaction governance or fraud. Additionally, given the tie to the carrier, ticket ratings could also come under pressure if Verizon’s rating were to be downgraded.

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.

In rating this transaction, Moody’s used a cash flow model to model cash flow stress scenarios to determine the extent to which investors would receive timely interest and principal payments under the scenarios. crisis, taking into account the structure of the transaction and the composition of the guarantees.

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 ratings have been communicated to the rated entity or its designated agent(s) and issued without modification resulting from such communication.

These notes are solicited. 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.

Wendy Rosenfeld
Vice President – Senior 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

Pedro Sancholuz Ruda
VP – Senior Credit Officer
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

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