London, 21 February 2012 -- Moody's Investors Service has today downgraded the ratings of 478
notes and placed on review for downgrade the ratings on five notes from
387 structured finance transactions exposed to assets located in Italy
and Spain. This announcement follows the lowering of the highest
achievable structured finance ratings in Italy and Spain which was prompted
by the downgrade of those sovereigns on 13 February 2012 (please see the
announcement "Moody's lowers the highest achievable structured
finance ratings in Italy, Portugal and Spain following the recent
sovereign rating actions," published on 17 February 2012,
http://www.moodys.com/research/Moodys-lowers-the-highest-achievable-structured-finance-ratings-in-Italy--PR_238109).
Today's rating actions affect 127 asset-backed securities
(ABS), 255 residential mortgage-backed securities (RMBS),
and five collateral loan obligations (CLO).
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF277177
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
This is a list of the ratings affected by today's action on Italian ABS
and RMBS.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF277183
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
This is a list of the ratings affected by today's action on Spanish ABS,
RMBS and CLO.
RATINGS RATIONALE
Today's rating action follows Moody's decision to lower the
highest achievable structured finance rating in Italy and in Spain to
Aa2(sf) from Aaa(sf). The highest structured finance rating achievable
is the rating beyond which structural features or credit enhancement provided
by any domestic party cannot mitigate the impact of possible severe events
and the level of uncertainty surrounding such events. The changes
that have been announced reflect an increase in the probability of severe
economic stress or even default, which, although in most cases
extremely low, create a level of uncertainty that is inconsistent
with structured finance rating levels higher than the new levels that
have been set.
Moody's has therefore downgraded to Aa2(sf) tranches rated Aaa(sf)
and Aa1(sf), which are backed by assets domiciled in Italy and Spain.
As part of this rating action, Moody's considered the presence
of specific structural features, such as financial guarantees,
which may limit the impact of severe events.
Moody's has placed on review for downgrade the Aaa(sf) ratings of
five ABS notes guaranteed by the European Investment Fund (Aaa) in order
to allow further analysis of how these guarantees would perform in the
remote but not implausible event of debt redenomination.
Moody's has maintained on review for downgrade all tranches placed
previously on review because of worse-than-expected performance,
insufficient credit enhancement or operational risk concerns. Moody's
is reviewing the minimum credit enhancement levels necessary to achieve
the maximum achievable structured finance ratings in Italy and Spain.
We are assessing whether these levels may decline in consideration of
the lowered ratings achievable in these jurisdictions. Tranches
that do not benefit from the current minimum credit enhancement amount
remain on review until a decision is reached on the revised required levels.
Moody's has concluded the review of the senior notes in Adriano
Finance S.r.l. following the implementation of restructuring
that have increased the existing non-amortising reserve fund.
The transaction was placed on review in October following the previous
downgrade of the Italian sovereign rating.
Key modeling assumptions, sensitivities, cash-flow
analysis and stress scenarios of the affected transactions have not been
updated as the rating action has been primarily driven by revision of
maximum achievable ratings.
OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT STRUCTURED FINANCE RATINGS IN
THE FUTURE
As the euro area crisis continues, the rating of the 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 negatively impact the ratings of the notes.
For more information please refer to the Rating Implementation Guidance
published on 13 February 2012 "How Sovereign Credit Quality May Affect
Other Ratings" http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_139495.
Moody's is currently reviewing the commensurate minimum credit enhancement
levels necessary to achieve the lowered maximum achievable structured
finance rating in Italy and Spain and will make announcement in due course.
Moody's is also continuing to consider the impact of the deterioration
of sovereigns' financial condition and the resultant asset portfolio deterioration
on mezzanine and junior tranches of structured finance transactions.
The ratings of the notes downgraded in today's action could be further
negatively impacted by the other developments explained below.
On 15 February 2012, Moody's placed on review for downgrade the
ratings of multiple European and global banks, and Securities Firms
with Global Capital Markets Operations (please see "Moody's Reviews Ratings
for European Banks" and "Moody's Reviews Ratings for Banks and Securities
Firms with Global Capital Markets Operations" for more information).
The creditworthiness and therefore the ability of entities eligible to
act as transaction parties may decline following the conclusion of the
rating agency's review. Depending upon the magnitude of any downgrade
of the relevant transaction counterparties (such as servicers, cash
managers, liquidity banks, account banks or swap counterparties),
the effect on the related structured finance transactions could be significant.
Any deterioration in the credit quality of transaction parties may also
lead to increased risks of set-off and commingling in some transactions.
Furthermore, as discussed in Moody's special report "Rating Euro
Area Governments Through Extraordinary Times -- An Updated
Summary," published in October 2011, the rating agency is
reassessing the euro area's single 'country ceiling,' which currently
implies that the debt of any euro area entity, regardless of its
country of domicile, could potentially achieve a Aaa rating (unless
it is subject to the highest achievable ratings as described above or
other ratings ceilings imposed for analytical reasons). Moody's
will consider reintroducing individual country ceilings for some or all
euro area members, which could affect further the maximum structured
finance rating achievable in those countries.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF277177
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF277183
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
* Ratings Rationale
* Methodologies and Models used
* Representations and Warranties
* Releasing Office
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
agents and issued with no amendment resulting from that disclosure.
Information sources used to prepare the ratings 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 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 reviews
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.
The below contact information is provided for information purposes only.
Please see the issuer page on www.moodys.com for Moody's
regulatory disclosure of the name of the lead analyst and the office that
has issued the credit rating.
The relevant Releasing Office for each rating is identified under the
Debt/Tranche List section on the Ratings tab of each issuer/entity page
on moodys.com.
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.
Barbara Rismondo
VP - Senior Credit Officer
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
Annick Poulain
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Carole Gintz
VP- Sr. Credit Officer / Manager
Structured Finance Group
Tel: 33-1-5330-1057
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 senior ABS, RMBS and CLO notes exposed to Italy and Spain
