London, 11 October 2012 -- Moody's Investors Service has today downgraded to A1(sf) the ratings of
56 securities across 17 South African residential mortgage-backed
securities (RMBS) and asset-backed securities (ABS), prompted
by the weakening of the South African government's credit profile,
as captured by Moody's recent downgrade of South Africa's government bond
rating to Baa1 from A3 and the lowering of the local currency ceiling
to A1. For full details please refer to the Sovereign press release(
http://www.moodys.com/research/Moodys-downgrades-South-Africas-government-bond-rating-to-Baa1-outlook--PR_256159).
Concurrently, Moody's has placed on review for downgrade the ratings
of 54 South African RMBS and ABS securities (senior and subordinated notes)
and an asset-backed commercial paper (ABCP) programme. The
main driver for the placements is Moody's intention to reassess credit
enhancement adequacy for each of the rated notes, given the increased
risk of economic instability and political uncertainty as reflected by
the lowering of the country ceiling.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302738
for the list of affected credit ratings. This list is an integral
part of this press release. For a detailed rationale on each rating
action, please refer to the list of affected credit ratings.
RATINGS RATIONALE
--DRIVER FOR DOWNGRADE: WEAKENING OF THE SOUTH AFRICAN
GOVERNMENT'S CREDIT PROFILE
Today's downgrades primarily reflect the weakening of the South
African government's credit profile, as captured by Moody's recent
downgrade of South Africa's government bond rating by one notch to Baa1
from A3, and the lowering to A1 of the local currency country ceiling
on 27 September 2012. See "Moody's downgrades South Africa's
government bond rating to Baa1; outlook remains negative",
27 September 2012 [http://www.moodys.com/research/Moodys-downgrades-South-Africas-government-bond-rating-to-Baa1-outlook--PR_256159].
-- DRIVER FOR REVIEW PLACEMENT: REASSESSMENT OF CREDIT
ENHANCEMENT ADEQUACY FOR SENIOR AND SUBORDINATED NOTES
Today's review placements primarily reflect the need to reassess
the adequacy of credit enhancement levels, given the higher risk
of economic instability and political uncertainty. Based on Moody's
initial assessment, securities placed on review were deemed to have
inadequate credit enhancement to meet the rating agency's expectation
of increased loss volatilities and the probability of high severity loss
scenarios, which necessitate increased credit enhancement for the
same rating level.
-- OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES
Deterioration of the general economic environment and specifically,
the real estate and consumer credit market beyond the current consensus.
Key modeling assumptions, sensitivities, cash-flow
analysis and stress scenarios for the affected transactions have not been
updated, as the rating actions have been primarily driven by (1)
the lowering of South Africa's country ceiling; and,
as a consequence, (2) Moody's decision to assess credit enhancement
levels consistent with each structured finance rating category.
Moody's National Scale Ratings (NSRs) are intended as relative measures
of creditworthiness among debt issues and issuers within a country,
enabling market participants to better differentiate relative risks.
NSRs differ from Moody's global scale ratings in that they are not globally
comparable with the full universe of Moody's rated entities, but
only with NSRs for other rated debt issues and issuers within the same
country. NSRs are designated by a ".nn" country
modifier signifying the relevant country, as in ".mx"
for Mexico. For further information on Moody's approach to national
scale ratings, please refer to Moody's Rating Methodology published
in October 2012 entitled "Mapping Moody's National Scale Ratings
to Global Scale Ratings".
REGULATORY DISCLOSURES
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.
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
Moody's considers the quality of information available on the rated entities,
obligations or credits satisfactory for the purposes of issuing these
ratings.
Moody's adopts all necessary measures so that the information it uses
in assigning the ratings 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.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entities or their related third parties within
the two years preceding the credit rating action. Please see the
special report "Ancillary or other permissible services provided to entities
rated by MIS's EU credit rating agencies" on the ratings disclosure page
on our website www.moodys.com for further information.
In addition to the information provided below please find on the ratings
tab of the issuer page at www.moodys.com, for each
of the ratings covered, Moody's disclosures on the lead rating analyst
and the Moody's legal entity that has issued each of the ratings.
The person who approved Grayston Conduit 1 (Proprietary) Limited -
Series 4 credit ratings is Wickens Alex-VP-SeniorAnlayst/Manager,
Structured Finance Group, Journalists Tel: 44 20 7772 5456,
Subscribers Tel: 44 20 7772 5454.
The person who approved the credit ratings of the other transactions mentioned
in this Rating Action is Shah Neil- MD - Structured Finance,
Structured Finance Group, Journalists Tel: 44 20 7772 5456,
Subscribers Tel: 44 20 7772 5454.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
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.
John Paul Truijens
Asst Vice President - 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
Neal?Shah
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 downgrades 56 South African RMBS and ABS securites