New York, February 16, 2012 -- Moody's Investors Service has placed the Aa3 ratings of the covered bonds
issued by BA Covered Bond Program on review for possible downgrade.
The driver of the review action was Moody's action yesterday to
put Bank of America, N.A.'s long term A2 rating
on review for possible downgrade. Bank of America, N.A.
is the sponsor of the covered bond program.
The complete rating action is as follows:
Issuer: BA Covered Bond Program
Series 2007-1, Aa3 Placed Under Review for Possible Downgrade;
previously on September 23, 2011 Downgraded to Aa3
Series 2007-2, Aa3 Placed Under Review for Possible Downgrade;
previously on September 23, 2011 Downgraded to Aa3
Series 2007-3, Aa3 Placed Under Review for Possible Downgrade;
previously on September 23, 2011 Downgraded to Aa3
RATINGS RATIONALE
The outcome of Moody's review of the covered bonds rating will depend
on the outcome of our review of Bank of America's rating.
If Moody's downgrades Bank of America's rating one notch to
A3, we would likely downgrade the covered bond ratings one notch
to A1. If Moody's confirms Bank of America's rating,
we would likely confirm the covered bond ratings at Aa3.
The review action reflects Moody's view that the rating of a covered bond
with a high degree of exposure to market value risk (i.e.
high refinancing risk) is closely linked to the rating of its sponsor,
absent a significant amount of committed overcollateralization.
Moody's considers this program to be particularly subject to market value
risk. In the unlikely event that the sponsor bank defaults,
the entire cover pool may need to be liquidated in a short period of time
(see press releases for the BA Covered Bond Program, dated April
3, 2009 and July 10, 2009, in which we discuss this
issue).
Moody's considers overcollateralization to be committed when the sponsor
is legally bound to maintain it and, in our opinion, it cannot
be withdrawn in the future under stressful circumstances. The amount
of overcollateralization in the program we consider to be committed is
approximately 4%, which is the minimum amount of overcollateralization
required under the program documents (corresponding to the asset percentage
ceiling of 96%).
The principal methodology used in this rating was Moody's Approach to
Rating Covered Bonds published in March 2010. Please see the Credit
Policy page on www.moodys.com for a copy of this methodology.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
REGULATORY DISCLOSURES
Although this credit rating has been issued in a non-EU country
which has not been recognized as endorsable at this date, this credit
rating is deemed "EU qualified by extension" and may still
be used by financial institutions for regulatory purposes until 30 April
2012. Further information on the EU endorsement status and on the
Moody's office that has issued a particular Credit Rating is available
on www.moodys.com.
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process.
Please see Moody's Rating Symbols and Definitions on the Rating
Process page on www.moodys.com for further information on
the meaning of each rating category and the definition of default and
recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history. The date on
which some ratings were first released goes back to a time before Moody's
ratings were fully digitized and accurate data may not be available.
Consequently, Moody's provides a date that it believes is
the most reliable and accurate based on the information that is available
to it. Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has
issued the rating.
Yehudah Forster
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Linda Stesney
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places ratings of Bank of America's covered bonds on review for downgrade