Approximately EUR 6.3 billion of debt securities rated.
Frankfurt am Main, February 21, 2011 -- Moody's has assigned a definitive rating to the following class of notes
issued by Rosenkavalier 2008 GmbH:
A2(sf) to the EUR 9,652,700,000 Class A Floating Rate
Notes due 2058.
Moody's has not assigned a rating to the subordinated EUR 2,293,750,000
Class B Floating Rate Notes due 2058. The transaction closed in
December 2008. As of the payment date in January 2011, the
outstanding amount of Class A was EUR 6,280,669,978
and the outstanding amount of Class B was EUR 1,963,892,546.
RATINGS RATIONALE
This transaction comprises two sub-portfolios and will be revolving
until the payment date in February 2013. As of November 2010,
the mortgage loan sub-portfolio represents about 66% of
the aggregate portfolio balance while the CLO sub-portfolio which
consists of loans to small-to-medium sized entities and
corporates represents the remainder of the aggregate portfolio.
The substitution criteria allow the portion of the CLO sub-portfolio
to increase to 50% of the aggregate portfolio.
A feature of this transaction is the fact that loans which become delinquent
by more than 90 days or are terminated by the servicer will be written
off without any recoveries being allocated to the issuer. The only
form of credit enhancement available to the Class A notes is the subordination
provided by Class B notes. Write-offs will immediately reduce
the outstanding amount of the notes while amounts received as repayments
and prepayments from the portfolio will be applied in sequential order
to amortise the notes, excluding amounts used to purchase new receivables
during the revolving period. An additional noteworthy feature of
the transaction is UniCredit Bank's option to repurchase loans out
of the portfolio on each monthly payment date.
The loans in the portfolio have been originated and will be serviced by
UniCredit Bank AG ("UniCredit Bank"). UniCredit Bank
has sold the loan receivables to the issuer. The assignment is
conditional to a transfer event to occur. According to this legal
structure UniCredit Bank will retain the legal ownership of the receivables
as long as no transfer event has occurred. The documentation stipulates
that the receivables and the related mortgages are registered in a refinancing
register maintained by UniCredit Bank to allow the segregation of the
receivables from UniCredit Bank's estate in a potential insolvency.
For the aggregate portfolio, the expected portfolio loss of 12%
and the MILAN Aaa CE number of 40% have been used as input parameters
for Moody's cash flow and tranching 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. The
expected loss which is well above the average for the German RMBS sector
takes into account (i) the fact that no recoveries will be allocated to
the issuer in respect of loans which are either delinquent by more than
90 days or terminated; (ii) the loose substitution criteria and (iii)
the inclusion of the CLO sub-portfolio, for which Moody's
expects a higher default rate than for the mortgage loan sub-portfolio.
The loss distributions for the two sub-portfolios were combined
in order to achieve the aggregate loss distribution of the portfolio that
was used in the cash flow analysis to determine the rating of the Class
A notes.
The expected default rate for the CLO sub-portfolio was determined
according to the methodology described in the report "Refining the ABS
SME Approach: Moody's Probability of Default assumptions in the
rating analysis of granular Small and Mid-sized Enterprise portfolios
in EMEA" published in March 2009. The most important parameter
for the expected default rate of the CLO sub-portfolio is the mean
default probability assumed for the loans in the CLO sub-portfolio.
This default probability was derived via the analysis of (i) the characteristics
of the loan-by-loan portfolio information and (ii) the replenishment
criteria for the CLO sub-portfolio, including, inter
alia, the concentration limits for individual industry sectors,
the limit on the amortisation type of the loans and the limit on the weighted
average life of the loans in the portfolio. We expect the average
default probability of the pool to be a Ba3/B1 Moody's equivalent
(translating into 13.8% cumulative default rate over the
weighted average life of 5 years of the portfolio).
The expected portfolio loss of 9% and the MILAN AaaCE number of
29% for the mortgage loan sub-portfolio were derived from
(i) the characteristics of the loans currently included in the mortgage
loan sub-portfolio; (ii) the very loose replenishment criteria
for this sub-portfolio and (iii) historic performance data provided
by UniCredit Bank for the bank's aggregate mortgage loan portfolio as
well as for this transaction since its initial closing date. Moody's
also considered that the default definition in this transaction does not
match the foreclosure frequency which is estimated by Moody's MILAN model
and therefore further stressed the model result to reflect this feature
of the transaction.
The principal methodologies used in this rating were Moody's Updated MILAN
Methodology for Rating German RMBS published in April 2009 and Cash Flow
Analysis in EMEA RMBS: Testing Structural Features with the MARCO
Model (Moody's Analyser of Residential Cash Flows) published in January
2006, Refining the ABS SME Approach: Moody's Probability
of Default Assumptions In The Rating Analysis of Granular Small and Mid-sized
Enterprise portfolios in EMEA published in March 2009, Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa published in June 2007 and Moody's Approach to Rating
the CDOs of SMEs in Europe published in February 2007.
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.
The V-Score for this transaction is Medium, which is higher
than the V-Score assigned for the German RMBS sector. For
the sub-components "Disclosure of Securitisation Collateral
Pool Characteristics" and "Analytic Complexity" a score
of Medium/High was assigned. The score regarding the level of disclosure
was driven by the fact that certain characteristics for a portion of the
mortgage loan portfolio were not disclosed. The score for Analytic
Complexity is driven by the fact that this transaction comprises two sub-portfolios
and some structural features that are non-standard in the market
segment such as the legal structure and the write-off mechanism.
The legal structure and below average features to ensure alignment of
interest related to the write-off mechanism and the lack of initial
third party oversight in the loss verification process led to scores of
Medium in sub-components "Alignment of Interest" and
"Legal, Regulatory or Other Uncertainty".
V-Scores are a relative assessment of the quality of available
credit information and of the degree of dependence on various assumptions
used for 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 expected loss
was increased from 12% of current balance to 15% of current
balance and MILAN Aaa CE and all other factors were constant, the
model output indicated that Class A would have achieved Baa1. If
the MILAN Aaa CE increased from 40% to 48% and expected
loss and all other factors were constant, the model output indicated
that Class A would have achieved A3.
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 definitive ratings address the expected loss posed to investors by
the legal final maturity. The structure allows for timely payment
of interest and ultimate payment of principal at par on or before the
legal final maturity date. Moody's ratings address only the credit
risks associated with the transaction. Other non-credit
risks have not been addressed but may have a significant effect on the
yield to investors.
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.
Frankfurt am Main
Martin Lenhard
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
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 Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns definitive ratings to one class of German RMBS notes issued by Rosenkavalier 2008 GmbH
