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I AGREE
22 Jul 2009
EUR 432.4 million of rated securities affected
Frankfurt, July 22, 2009 -- Moody's Investors Service has taken the following rating action on the
notes issued by LTR Finance No. 6 plc
- Class A Notes, Aaa and placed under review for possible
downgrade; previously on September 25, 2006, Assigned
Aaa;
- Class B Notes, Aa1 and placed under review for possible
downgrade; previously on September 25, 2006 , Assigned
Aa1;
- Class C Notes, A2 and placed under review for possible
downgrade; previously on September 25, 2006, Assigned
A2; and
- Class D Notes, Baa2 and placed under review for possible
downgrade; previously on September 25, 2006, Assigned
Baa2;
Today's rating action was prompted by the worse-than-expected
performance of the pool securitised in this transaction and the negative
outlook on the Portuguese and Spanish economy.
The stressful economic environment is reflected in various collateral
performance parameters that showed signs of deterioration over the past
reporting periods such as increased delinquencies and defaults.
At the same time, the outstanding classes of notes have yet to benefit
from de-leveraging given that the transaction is still in the revolving
period which is expected to end on November 24, 2009.
As of May 2009, the reserve fund is fully funded at its target amount
of EUR 24.75 million or 5.7% of current note balance
and so far no draw has been observed since closing of the transaction.
Periodic write-offs have then been fully covered by excess spread
available in the structure which was in excess of these periodic write-offs.
In May 2009 quarterly net excess spread has been reported equal to EUR
3 million or 2.78% annualised of outstanding pool balance
in the last reporting date.
As of the last reporting date on 26 May 2009, the amount of cumulative
write-offs since closing reached EUR 31.4 million or 3.6%
of total assets securitised. A contract is classified as written-off
if the obligor is more than 12 months in arrears or in case the servicer
or originator considers the outstanding obligations as uncollectible.
Assets more than 90 days in arrears increased from 4.53%
in Februray 2009 to 4.98% in May 2009 of outstanding pool
balance. Recoveries calculated as the difference between the current
level of cumulative written-off receivables and cumulative realised
losses equal EUR 4.1 million or 13.2% of cumulative
written-off receivables.
As part of its review process, Moody's will reassess the cumulative
default rate and recovery rate for the remaining life of the transaction,
reflecting the collateral performance to date as well as the future macro-economic
environment. Moody's will also request, whenever not already
available, up-dated data on cumulative defaults and other
pool characteristics such as geographic concentration, origination
vintage of the loans and product type.
This transaction which closed in September 2006 consists in the securitisation
of a revolving portfolio of Portuguese and Spanish auto loan and lease
contracts originated by Banco Finantia Sofinloc, S.A.
and Sofinloc IFIC, S.A.. The revolving period
is expected to end in November 2009. In the last period,
the class A notes were partially redeemed to EUR 353.7 million
from EUR 371.3 million as the principal collections on the securitised
loans were not fully reinvested in new loans. The current pool
factor as of May 2009 is 96%.
Furthermore at the same time Moody's placed all rated outstanding classes
of notes of the transaction LTR Warehouse Limited under review for possible
downgrade. The detailed press release containing the rationale
for this rating action can be found on Moodys.com.
The principal methodology used in rating the transaction was "The Lognormal
Approach applied to ABS Analysis," published in July 2000 and "Revising
Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction,"
published in December 2008 which can be found at www.moodys.com
in the Credit Policy & Methodologies directory, in the Ratings
Methodologies subdirectory. Other methodologies and factors that
may have been considered in the process of rating this issue can also
be found on this page.
The ratings address the expected loss posed to investors by the legal
final maturity (24 November 2018). Moody's ratings address only
the credit risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
Moody's is closely monitoring the transaction. For updated monitoring
information, please visit Moody's website at www.moodys.com
or contact our Client Service Desk in London (+44-20-7772
5454).
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Sebastian Hoepfner
Senior Associate
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places on review for possible downgrade notes issued by LTR Finance No. 6 plc
No Related Data.
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