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I AGREE
21 Feb 2011
Approximately EUR 4.8 billion of rated debt securities affected
London, 21 February 2011 -- Added missing Due Diligence Regulatory Disclosure as a last sentence in
RATINGS RATIONALE section. Revised release follows:
Moody's Investors Service assigns definitive ratings to the following
classes of notes issued by Celtic Residential Irish Mortgage Securitisation
No. 14 Limited:
- Aa2 (sf) to the € 1,000,000,000 Class
A1 Mortgage Backed Floating Rate Notes due 2051
- Aa2 (sf) to the € 1,000,000,000 Class
A2 Mortgage Backed Floating Rate Notes due 2051
- Aa2 (sf) to the € 1,000,000,000 Class
A3 Mortgage Backed Floating Rate Notes due 2051
- Aa2 (sf) to the € 1,000,000,000 Class
A4 Mortgage Backed Floating Rate Notes due 2051
- Aa2 (sf) to the € 763,150,000 Class A5 Mortgage
Backed Floating Rate Notes due 2051
RATINGS RATIONALE
The ratings take into account the credit quality of the underlying mortgage
loan pool, from which Moody's determined the MILAN Aaa Credit Enhancement
and the portfolio expected loss, as well as the transaction structure
and any legal considerations as assessed in Moody's cash flow analysis.
The expected portfolio loss of 8%(as of the current balance) and
the MILAN Aaa Credit Enhancement of 40% (as of the current balance)
serve as input parameters for Moody's cash flow model, which is
based on a probabilistic lognormal distribution as described in the report
"The Lognormal Method Applied to ABS Analysis", published in September
2000. Key drivers for the MILAN Aaa Credit Enhancement number,
which is higher than other prime Irish RMBS transactions, are the
weighted average index Loan-to-Value of 118.6%
and the LTV distribution of the portfolio (about 75.7% of
the pool consist of loans with an indexed LTV of above 100%).
The key drivers for the portfolio expected loss are the performance of
the seller's precedent transactions, benchmarking with comparable
transactions in the Irish market and the current economic conditions in
Ireland in combination with historic performance data received from the
seller. In respect to current economic conditions in, Ireland
has experienced a 35% house price decline in the past four years,
unemployment increased to 13.0% in Q3 2010, up from
4.5% in Q4 2007 and Moody's expects this to continue rising
to 13.9% by Q1 2012. A combination of government
spending cuts and tax increases will reduce household disposable incomes
and constrain borrower's ability to maintain their mortgage payments,
as described in Moody's report "Irish RMBS Indices", January 2011.
The current level of arrears of the portfolio of 18.5% has
been taken into account in the portfolio expected loss assumption.
The credit enhancement under the Class A notes also incorporates additional
stress scenarios, which have been analysed by Moody's to take into
account systemic country risk and its impact of the sovereign and bank
ratings in Ireland. In its analysis, Moody's considered the
likely performance of the transaction in the context of a severe stress
scenario that assumes combinations of a restructuring of the government's
debt, a banking system crisis, and a more severe version of
the current austerity plan. The loss to the portfolio in such extreme
scenario was assumed to be approximately 25% and credit enhancement
of the senior notes was assessed to ensure that these notes would not
experience a loss in such a scenario.The rating addresses the expected
loss posed to investors by the legal final maturity of the notes.
In Moody's opinion, the structure allows for timely payment of interest
and principal with respect of the notes by the legal final maturity.
Moody's ratings only address the credit risk associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
The transaction closed in November 2008 and was initially not rated by
Moody's. The transaction represents the securitisation of Irish
mortgage loans backed by residential properties located in the Ireland
and originated by Ulster Bank Ireland Limited (A2) and First Active plc(Not
Rated), subsidiaries of Ulster Bank Limited (A2). The transaction
was arranged by Royal Bank of Scotland plc(Aa3) and is serviced by Ulster
Bank Ireland Limited; the swap is provided by Royal Bank of Scotland
plc. The reserve fund is 27.7 per cent of the Class A notes
and may amortise to 55% of the outstanding notes.
The V-Score for this transaction is Medium/High, mainly due
to the current macroeconomic environment, historical performance
and downgrade rate in Irish RMBS sector and performance of the existing
Celtic transactions.
V-Scores are a relative assessment of the quality of available
credit information and of the degree of dependence on various assumptions
used in determining the rating. High variability in key assumptions
could expose a rating to more likelihood of rating changes. The
V-Score has been assigned according to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: If the portfolio Milan Aaa Credit
Enhancement was increased to 48%, the model output for Classes
A1, A2, A3, A4 and A5 would be Aa3 assuming that the
expected loss remains at 8% and all other factors remain equal.
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in rating the notes were: The Lognormal
Method Applied to ABS Analysis published in September 2000, Moody's
MILAN Methodology for rating Irish RMBS published in April 2009,
A Framework for Stressing House Prices in RMBS Transactions in EMEA published
in July 2008 and Cash Flow Analysis in EMEA RMBS: Testing Structural
Features with the MARCO Model published in January 2006.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit 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 ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service 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 the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
London
Ming Zhou
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Correction to Text, February 16, 2011 Release: Moody's assigns definitive ratings to Irish RMBS notes issued by Celtic Residential Irish Mortgage Securitisation No. 14 Limited
No Related Data.
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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.
MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.
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