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Related Issuers
Rating Action:

Moody's assigns definitive ratings to one class of German RMBS notes issued by Rosenkavalier 2008 GmbH

21 Feb 2011

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
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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