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Rating Action:

Moody's downgrades one note and confirms two notes in three Irish RMBS transactions

18 Jul 2013

London, 18 July 2013 -- Moody's Investors Service has today taken rating action on three Irish Residential mortgage-backed securities (RMBS) transactions. Moody's downgraded the rating of one note in Lansdowne Mortgage Securities No.1 plc and confirmed the rating of two notes in Emerald Mortgages No. 4 plc and Emerald Mortgages No. 5 Limited. Insufficiency of credit enhancement to address sovereign risk have prompted today's downgrade.

Today's rating action concludes the review of the two notes placed on review on 12 September 2012, following Moody's decision to adjust the Irish country ceiling to A3 on 6 September 2012 and one note placed on review on 15 November 2012, following Moody's revision of key collateral assumptions for the entire Irish RMBS market.

For a detailed list of affected ratings, see towards the end of the press release, before regulatory disclosures section.

RATINGS RATIONALE

Today's downgrade primarily reflects the insufficiency of credit enhancement to address sovereign risk. Moody's confirmed the ratings of securities whose credit enhancement and structural features provided enough protection against sovereign and counterparty risk.

The determination of the applicable credit enhancement driving today's rating actions reflects the introduction of additional factors in Moody's analysis to better measure the impact of sovereign risk on structured finance transactions (see "Structured Finance Transactions: Assessing the Impact of Sovereign Risk", 11 March 2013). This report is Available on www.moodys.com and can be accessed via the following link: (http://www.moodys.com/research/Structured-Finance-Transactions-Assessing-the-Impact-of-Sovereign-Risk--PBS_SF319988).

-- Additional Factors Better Reflect Increased Sovereign Risk

Moody's has supplemented its analysis to determine the loss distribution of securitised portfolios with two additional factors, the maximum achievable rating in a given country (the Local Currency Country Risk Ceiling) and the applicable portfolio credit enhancement for this rating. With the introduction of these additional factors, Moody's intends to better reflect increased sovereign risk in its quantitative analysis, in particular for mezzanine and junior tranches.

The Irish country ceiling, and therefore the maximum rating that Moody's will assign to a domestic Irish issuer including structured finance transactions backed by Irish receivables, is A3. Moody's Individual Loan Analysis Credit Enhancement (MILAN CE) represents the required credit enhancement under the senior tranche for it to achieve the country ceiling. By lowering the maximum achievable rating for a given MILAN, the revised methodology alters the loss distribution curve and implies an increased probability of high loss scenarios.

Moody's has not revised the key collateral assumptions for any of the deals. Expected loss assumptions as a percentage of original pool balance remain at 8% for Lansdowne Mortgage Securities No. 1, 3.4% for Emerald Mortgages No. 4 and 7.7% for Emerald Mortgages No. 5. The MILAN CE assumptions remain at 70% for Lansdowne Mortgage Securities No. 1, 22% for Emerald Mortgages No. 4 and 30% for Emerald Mortgages No. 5.

-- Exposure to Counterparty Risk

Moody's rating analysis also took into consideration the set-off risk arising from exposure to EBS Ltd (Ba2, NP), acting as originator in the Emerald Mortgages No. 4 and 5. For Lansdowne Mortgage Securities No1, Moody's took into consideration the exposure to Allied Irish Bank p.l.c (Ba2, NP), acting as issuer account bank. These exposures do not impact today's rating action.

OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES

In consideration of Moody's new adjustments, any further sovereign downgrade would negatively affect structured finance ratings through the application of the country ceiling or maximum achievable rating, as well as potentially increased portfolio credit enhancement requirements for a given rating.

As the euro area crisis continues, the ratings of structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could further negatively affect the ratings of the notes.

The methodologies used in these ratings were Moody's Approach to Rating RMBS Using the MILAN Framework, published in May 2013, and The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines, published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Other Factors used in these ratings are described in "Approach to Assessing Linkage to Swap Counterparties in Structured Finance Cashflow Transactions: Request for Comment" (http://www.moodys.com/research/Approach-to-Assessing-Linkage-to-Swap-Counterparties-in-Structured-Finance--PBS_SF289772), published in July 2012.

In reviewing these transactions, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, Moody's calculates the corresponding loss for each class of notes given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (1) the probability of occurrence of each default scenario; and (2) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

In the context of the rating review, the transactions have been remodeled and some inputs have been adjusted to reflect the new approach described above.

THE LIST OF AFFECTED RATINGS

Issuer: Emerald Mortgages No. 4 plc

....EUR1428M A Notes, Confirmed at Ba2 (sf); previously on Sep 12, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

Issuer: Emerald Mortgages No. 5 Limited

....EUR2375M A Notes, Confirmed at Baa1 (sf); previously on Nov 15, 2012 Downgraded to Baa1 (sf) and Remained On Review for Possible Downgrade

Issuer: Lansdowne Mortgage Securities No. 1 p.l.c.

....EUR258M A2 Notes, Downgraded to Ba2 (sf); previously on Sep 12, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

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.

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.

Sebastian?Hoepfner
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

Barbara?Rismondo
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Carole Bernard
VP - Senior Analyst
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 one note and confirms two notes in three Irish RMBS transactions
No Related Data.
© 2019 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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