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Rating Action:

Moody's downgrades Clydesdale's covered bond ratings to Aa1

25 Mar 2014

London, 25 March 2014 -- Moody's Investors Service has today downgraded to Aa1 from Aaa on review for downgrade the ratings of the regulated covered bonds issued by Clydesdale Bank plc (Clydesdale; deposits Baa2 stable, standalone bank financial strength rating D+/adjusted baseline credit assessment baa2). Today's action concludes the review initiated by Moody's on 9 September 2013.

RATINGS RATIONALE

Today's rating action is prompted by (1) Moody's downgrade on 23 August 2013 of Clydesdale's deposit rating to Baa2 from A2, (2) the rating cap derived from Moody's timely payment indicator (TPI) framework and (3) Moody's conclusion that structural changes proposed by Clydesdale are not sufficient to mitigate the higher probability that Clydesdale will cease making payments under the covered bond programme.

As a result and given that Clydesdale's debt ratio is between 5% and 10%, Moody's reference point for determining the probability that Clydesdale will cease making payments under the covered bond programme, the covered bond (CB) anchor, is now the deposit rating plus 1 notch.

Given the deposit rating at Baa2, the CB anchor at deposit rating +1 and the TPI assigned to this transaction at "Probable", Moody's TPI framework constrains the ratings of Clydesdale's covered bonds at Aa1.

KEY RATING ASSUMPTIONS/FACTORS

Moody's determines covered bond ratings using a two-step process; an expected loss analysis and a TPI framework analysis.

EXPECTED LOSS: Moody's uses its Covered Bond Model (COBOL) to determine a rating based on the expected loss on the bond. COBOL determines expected loss as (1) a function of the probability that the issuer will cease making payments under the covered bonds (a CB anchor event); and (2) the stressed losses on the cover pool assets following issuer default.

The cover pool losses for each programme is an estimate of the losses Moody's currently models if a CB anchor event occurs. Moody's splits cover pool losses between market risks and collateral risks. Market risks measure losses stemming from refinancing risks and risks related to interest rate and currency mismatches. These losses may also include certain legal risks. Collateral risks measure losses resulting directly from cover pool assets' credit quality. Moody's derives the collateral risk from the collateral score.

The cover pool losses for this programme stand at 22.1%, with market risk of 16.7% and collateral risk of 5.4%. The collateral score is 5.4%. The over-collateralisation (OC) in the cover pool is 101.7%, of which 25.8% is on a committed basis. The minimum OC level that is consistent with the Aa1 rating is 13.5%. These numbers demonstrate that Moody's is not relying on uncommitted OC in its expected loss analysis.

All numbers in this section derive from Moody's most recent modelling, based on data as per 30 September 2013. For further details on cover pool losses, collateral risk, market risk, collateral score and TPI Leeway across all covered bond programmes rated by Moody's please refer to "Moody's EMEA Covered Bonds Monitoring Overview", published quarterly.

TPI FRAMEWORK: Moody's assigns a TPI, which indicates the likelihood that the issuer will make timely payments to covered bondholders in the event of an issuer default. The TPI framework limits the covered bond rating to a certain number of notches above the CB anchor.

For this programme, Moody's has assigned a TPI of "Probable".

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The CB anchor is the main determinant of a covered bond programme's rating robustness. The TPI Leeway measures the number of notches by which Moody's might lower the CB anchor before the rating agency downgrades the covered bonds because of TPI framework constraints.

Based on the current TPI of "Probable", the TPI Leeway for this programme is zero notches. This implies that if Moody's lowers the CB anchor, the rating agency might also downgrade the covered bonds because of a TPI cap, all other variables being equal.

A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances, such as (1) a sovereign downgrade negatively affecting both the CB anchor and the TPI; (2) a multiple-notch lowering of the CB anchor; or (3) a material reduction of the value of the cover pool.

RATING METHODOLOGY

The principal methodology used in this rating was "Moody's Approach to Rating Covered Bonds", published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

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.

Moody's did not use any stress scenario simulations in its analysis.

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.

Elise Lucotte
Vice President - Senior Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Juan Pablo Soriano
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 Clydesdale's covered bond ratings to Aa1
No Related Data.
© 2021 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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