Research: Rating Action: Moody’s has assigned a provisional rating to a class of notes to be issued by IP Lending VI, Ltd.

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New York, June 29, 2022 — Moody’s Investors Service (“Moody’s”) has assigned a provisional rating to a class of bonds to be issued by IP Lending VI, Ltd. (the “Issuer”).

Moody’s rating action is as follows:

US$137,750,000 senior secured fixed rate notes due June 2027 (the “Senior Notes”), assigned (P)A3 (sf)

RATINGS RATIONALE

The rating is based on full credit support provided by Aspen Bermuda Limited (A3 insurance financial strength rating) (“Aspen”), Markel Bermuda Limited (A2 insurance financial strength rating) (“Markel”), Liberty Specialty Markets Bermuda Limited (A2 insurance financial strength rating) (“Liberty”), and Columbia Casualty Co. (A2 insurance financial strength rating) (“Columbia”) (“Markel”, “ Aspen”, “Liberty” and “Columbia”, together the “Insurers”), under one policy of insurance (the “Policy”).

The proceeds from the issuance of the Rated Notes were used to purchase a corporate loan from the original lender (the “Underlying Loan”). The underlying loan is secured by the intellectual property and other assets of the borrowing company. Neither the underlying loan nor the borrower is rated by Moody’s.

Both the insurance period and the term of the underlying loan are four years. Under the terms of the policy and other transaction documents, in the event of default in the financing agreement of the underlying loan, the underlying loan will be offered for sale for a waiting period. If the realized value is less than the principal of the listed notes, initially $137,750,000, then the insurers will be required to pay the shortfall within the time period specified in the policy. The obligations of the insurers under the policy are individual and not joint; Markel’s obligations under the policy are up to $120,250,000. Aspen’s obligations under the policy are up to $7,500,000, Liberty’s obligations under the policy up to $5,000,000 and Columbia’s obligations under the policy up to $5,000. $000.

If the Borrower is unable or unwilling to pay, interest on the Rated Notes will be paid from interest reserve accounts in cash sufficient to cover the period prior to payment of the insurance claim which such event will trigger. . The interest reserve accounts include (1) a reserve relating to the underlying loan financed at the closing of the underlying loan in an amount equivalent to 26.45% of the rated notes, with a minimum required amount of 2, 11% of rated notes, and (2) a securitization reserve, funded through the securitization cascade with a required amount of 92.36% of the annual interest payment on the 6.625% senior notes , or 6.44% of the Notes rated.

The final legal maturity of the rated bonds is June 2027, which is 350 days after the maturity of the underlying loan, the maximum possible time interval between filing a loss claim and receiving payment from insurers. Accordingly, all claims for potential losses, potential arbitrations and payments to the Issuer must be concluded prior to the legal final maturity of the rated obligations.

In assigning the rating to the Senior Notes, we also considered several qualitative factors, including, but not limited to, the operational risks present in transactions with multiple parties who may make payments to the Issuer, the timing of such cash flows and the credit terms of supporting documentation substantially consistent with the relevant portions of Moody’s cross-sector rating methodology: “Rating Transactions Based on the Credit Substitution Approach: Letter of Credit-backed, Insured and Guaranteed Debts” released in May 2017, along with the insurer’s limited incentives to contest the claim.

In addition to the senior notes, the issuer has issued a class of subordinated notes, which are not rated by Moody’s.

Methodology underlying the rating action:

The main methodology used in this rating is “Moody’s Approach to Rating Repackaged Securities” published in June 2020 and available on https://ratings.moodys.com/api/rmc-documents/68357. Otherwise, please see the Scoring Methodologies page on https://ratings.moodys.com for a copy of this methodology.

Additional considerations taken into account in our analysis can be found in the rating methodology “Rating Transactions Based on the Credit Substitution Approach: Letter of Credit-backed, Insured and Guaranteed Debts” published in May 2017 and available at https://ratings.moodys.com/api/rmc-documents/75699.

Please note that an Invitation to Comment has been issued in which Moody’s seeks market comment on potential revisions to one or more of the methodologies used to determine these credit ratings. If the revised methodologies are implemented as proposed, it is currently not expected that the credit ratings referenced in this press release will be affected. The request for feedback can be found on the scoring methodologies page on https://ratings.moodys.com.

Factors that would lead to a rating increase or decrease:

The performance of the Senior Notes is subject to uncertainty. The performance of the Rated Notes will be sensitive to any change in the credit quality of the insurers or the termination of the policy, which could in turn affect the rating of the Senior Notes. The Insured’s and Insurers’ compliance with the Policy and Transaction Documents will also affect the rating of the Senior Notes.

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_1335458.

The analysis focuses on the risks related to the credit quality of the assets backed by the repack and the counterparties. Moody’s generally determines the expected loss suffered by bondholders by adding together the severities of the loss scenarios resulting from the failure of the underlying asset and, if applicable, the hedging counterparty risk, each weighted according to its respective probability.

Moody’s did not use any stress scenario simulations in its analysis.

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.

Gideon Lubin
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

Karen Ramallo
Associate General 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

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