90 Portuguese ABS and RMBS ratings placed on review for downgrade
Madrid, September 11, 2012 -- Moody's Investors Service has today downgraded to Baa3(sf) the ratings
of 47 securities across 32 Portuguese asset-backed and residential
mortgage-backed transactions (ABS and RMBS). Concurrently,
Moody's has also placed on review for downgrade the ratings of 90 Portuguese
ABS and RMBS securities (senior and subordinated notes).
Today's rating downgrades follow Moody's decision to adjust the Portuguese
country ceiling to Baa3 on 5 September 2012 (http://www.moodys.com/research/Moodys-adjusts-Portugals-country-ceilings-to-Baa3--PR_254548
).
The main driver for today's rating review placements is Moody's
intention to reassess credit enhancement adequacy for each of the rated
notes, given the increased risk of economic and financial instability.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF297194
for the list of affected credit ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
For a detailed rationale on each rating action, please refer to
the list of affected credit ratings.
RATINGS RATIONALE
--DRIVER FOR DOWNGRADE: PORTUGAL COUNTRY CEILING ADJUSTED
TO Baa3
On 5 September 2012, Moody's adjusted to Baa3 the Portuguese country
ceilings, which signifies the maximum rating that Moody's will assign
to a domestic issuer or to structured finance transactions backed by Portuguese
receivables. As a consequence, the highest achievable rating
for Portuguese structured finance transactions is now Baa3(sf),
down from Baa1(sf) previously.
Portugal's new country ceiling, as per the 5 September 2012 press
release, reflects the rating agency's assessment of the risks of
economic and financial instability in the country and the likely impact
this would have on all other borrowers and structured finance instruments
in Portugal, as income and access to liquidity and funding could
be significantly curtailed under stressed conditions. The ceiling
also reflects the risk of exit and redenomination in the unlikely event
of a default by the sovereign. The ceiling affects all domestic
issuers and transactions other than those whose assets and revenues are
predominantly sourced from or located outside of the country, or
which benefit from an external credit support.
-- DRIVER FOR REVIEW PLACEMENT: REASSESSMENT OF CREDIT
ENHANCEMENT ADEQUACY FOR SENIOR AND SUBORDINATED NOTES
Moody's has placed on review for downgrade the ratings of 90 Portuguese
senior and subordinated notes in order to reassess credit enhancement
adequacy levels, given the higher risk of economic and financial
instability. Portuguese securities placed on review for potentially
insufficient credit enhancement failed to meet credit enhancement levels
consistent with some severe loss scenario, which is based on a consistent
stress of the securitised pool's expected loss assumptions.
-- OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES
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 negatively impact the ratings of the notes.
Key modelling 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 Portugal's country ceiling; and, as a
consequence; (2) Moody's decision to assess credit enhancement levels
consistent with each structured finance rating category
--PRINCIPAL METHODOLOGIES
Moody's approach to country risk ceilings is described in Moody's Rating
Implementation Guidance entitled "Local-Currency Country Risk Ceiling
for Bonds and Other Local Currency Obligations" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_140182
), published on 16 August 2012.
On 21 August 2012, Moody's released a Request for Comment,
in which the rating agency requested market feedback on proposed adjustments
to its modelling assumptions designed to account for the impact of rapid
and significant country credit deterioration on structured finance transactions.
If the adjusted approach is implemented as proposed, the rating
of the notes affected by today rating action may be negatively affected.
Please refer to the Request for Comment, "Approach to Assessing
the Impact of a Rapid Country Credit Deterioration on Structured Finance
Transactions" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF294880
), for further details regarding the implications of the proposed
methodology changes on Moody's ratings.
The rating considerations described in this press release complement the
principal rating methodologies applicable to each of the Portuguese ABS
and RMBS transactions affected by today's rating action (see link provided
above in this press release for a full list of affected credit ratings).
Moody's rating methodology for the Portuguese electricity tariff deficit
transactions considers the strength of the specific legislation enacted
to set forth the regulatory claims and the repayment mechanisms,
the creditworthiness and strategic role of key counterparties.
For further information on the rating approach, please see the new
issue reports publicly available for these transactions on Moody's website
.
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 Douro SME Series 1 credit ratings is Rismondo,
Barbara - SVP - 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 Gintz, Carole - VP - Senior
Credit Officer/Manager, 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.
Maria?Turbica Manrique
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Barbara Rismondo
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Sebastian Schranz
Analyst
Structured Finance Group
Moody's Deutschland GmbH
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades to Baa3(sf) ratings of 47 Portuguese ABS and RMBS securities
