London, 11 June 2015 -- Moody's Investors Service has today confirmed the ratings of nine notes
and affirmed the rating of one note in four Irish residential mortgage-backed
securities (RMBS) transactions: Celtic Residential Irish Mortgage
Securitisation No. 9 Plc (Celtic 9), Celtic Residential Irish
Mortgage Securitisation No. 14 Ltd. (Celtic 14), Celtic
Residential Irish Mortgage Securitisation No. 15 Ltd (Celtic 15)
and Celtic Residential Irish Mortgage Securitisation No. 16 Ltd
(Celtic 16).
Today's rating actions are prompted by (i) the conclusion of the review
of the rating of various counterparties and (ii) the sufficiency of credit
enhancement in these transactions.
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating actions conclude the placement on review for upgrade of
class A2 in Celtic 9 and the placement on review for downgrade of all
rated tranches in Celtic 14, Celtic 15 and Celtic 16 after the updates
to several Moody's structured finance rating methodologies.
Following this, Ulster Bank Ireland Limited (UBIL)'s long
term domestic deposit rating was confirmed at Baa3 and its Counterparty
Risk Assessment ("CR Assessment") was assigned at Baa1(cr)
on the 3rd of June 2015 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_326607).
UBIL acts as the originator and servicer in all four transactions.
It also acts as the account bank in Celtic 14, Celtic 15 and Celtic
16.
Today's confirmations and affirmation reflect Moody's view that
the available credit enhancement is sufficient to maintain the current
rating on the affected notes.
-- COUNTERPARTY RISK EXPOSURE AND UPDATES TO MOODY'S
STRUCTURE FINANCE RATING METHODOLOGIES
Today's rating actions took into consideration the notes'
exposure to relevant counterparties, such as servicer, account
banks or swap providers. Moody's incorporated the updates
to its structured finance methodologies in its analysis of the transactions
affected by today's rating actions (see "Moody's updates several
structured finance rating methodologies in light of its new counterparty
risk assessment for banks", published on 16 March 2015).
Moody's now matches banks' exposure in structured finance
transactions to the CR Assessment for commingling risk, and to the
bank deposit rating when analyzing set-off risk. Moody's
has introduced a recovery rate assumption of 45% for both exposures.
Moody's considered how the liquidity available in the transactions
and other mitigants support continuity of note payments, in case
of servicer default, using the CR Assessment as a reference point
for servicers or cash mangers. The ratings of the senior notes
are capped in the single A range due to operational risk as per the 'Global
Structured Finance Operational Risk Guidelines' published by Moody's Investors
Service on the 16th March 2015. The current CR Assessment of the
servicer, UBIL, at Baa1(cr) coupled with the absence of any
back up servicing arrangements is the reason behind this cap.
Moody's also assessed the default probability of each transaction's
account bank providers by referencing the bank's deposit rating.
Moody's analysis considered the risks of additional losses on the
notes if they were to become unhedged following a swap counterparty default
by using the CR Assessment as reference point for swap counterparties.
-- KEY COLLATERAL ASSUMPTIONS
The key collateral assumptions for Celtic 9, Celtic 14, Celtic
15 and Celtic 16 remain unchanged as part of this review. The performance
of the underlying asset portfolios remain in line with Moody's assumptions.
Moody's also has a stable outlook (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF373727)
for Irish RMBS transactions.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework", published in January
2015. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for
further information on Moody's analysis at the initial rating assignment
and the on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include (1) further decrease in sovereign risk; (2) better-than-expected
performance of the underlying collateral; (3) deleveraging of the
capital structure; and (4) improvements in the credit quality of
the transaction counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk; (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available credit enhancement; and (4) deterioration in the
credit quality of the transaction counterparties.
LIST OF AFFECTED RATINGS
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
9 PLC
....EUR1067.5M A2 Notes, Confirmed
at A3 (sf); previously on Mar 20, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR70M B Notes, Affirmed B3 (sf);
previously on Jan 23, 2015 Upgraded to B3 (sf)
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
14 LTD
....EUR1000M A1 Notes, Confirmed at
A1 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
....EUR1000M A2 Notes, Confirmed at
A1 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
....EUR1000M A3 Notes, Confirmed at
A1 (sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
15 LTD
....EUR700M A1 Notes, Confirmed at A1
(sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
....EUR700M A2 Notes, Confirmed at A1
(sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
....EUR700M A3 Notes, Confirmed at A1
(sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
16 LTD
....EUR260M A1 Notes, Confirmed at A1
(sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
....EUR260M A2 Notes, Confirmed at A1
(sf); previously on Mar 20, 2015 A1 (sf) Placed Under Review
for Possible Downgrade
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain 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 certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Ali Khan
Associate Analyst
Structured Finance Group
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
Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
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
Moody's confirms nine notes in four Celtic transactions
