London, 20 March 2015 -- Moody's Investors Service has taken rating actions today on 51 tranches
in 36 Repackaged transactions. The actions are prompted by (1)
the introduction of a Counterparty Risk Assessment (CR Assessment) as
part of the bank methodology update announced on 16 March 2015; and
(2) the bank rating actions announced on 17 March 2015.
Banking Methodology: http://www.moodys.com/viewresearchdoc.aspx?docid=PBC_179038
Banking Rating Action: http://www.moodys.com/viewresearchdoc.aspx?docid=PR_321005
Moody's will assign the CR Assessments to banks over time,
and immediately start using approximations for CR Assessments as inputs
into its credit analysis for structured finance transactions. The
approximated values will be used up to the time when Moody's formally
assigns a CR Assessment.
Following the expected assignment of the CR Assessments to banks and the
Banking Rating Action taken on the 17 March 2015, Moody's
has placed on review for upgrade the ratings of 42 tranches in 29 Repacks
and has also placed on review for downgrade the ratings of 9 tranches
in 7 Repacks.
Please click on this http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF399763
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
--- RATINGS PLACED ON REVIEW
The main drivers for ratings being placed on review for upgrade or downgrade
are (1) the updates to the banking rating methodology and (2) the rating
action released by Moody's banking group on 17 March 2015.
(1) the change to using the CR Assessment rather than the senior unsecured
debt rating for banks that act as key structured transaction parties,
as per Approach to Assessing Swap Counterparties in Structured Finance
Cash Flow Transactions.
(2) the placement on review for upgrade or downgrade of the senior unsecured
ratings for those banks that act as underlying collateral or issuer in
the repackaged transactions that this press release covers.
METHODOLOGY UNDERLYING THE RATING ACTIONS:
The principal methodology used in these ratings was "Moody's Approach
to Rating Repackaged Securities" published in December 2014.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
Moody's expects to conclude the majority of the structured finance
rating reviews in the first half of 2015. The timeline to resolve
these reviews will depend on the resolution process applied to the underlying
bank ratings, the conclusions stemming from the bank rating actions,
as well as the assignment of CR Assessments.
Moody's notes that this transaction is subject to a high level of
macroeconomic uncertainty, which could negatively impact the ratings
of the notes, as evidenced by 1) uncertainties of credit conditions
in the general economy, 2) more specifically, any uncertainty
associated with the underlying credits in the transaction could have a
direct impact on the repackaged transaction and 3) additional expected
loss associated with hedging agreements in this transaction may also negatively
impact the ratings.
LOSS AND CASH FLOW ANALYSIS:
This analysis only applies to transactions carrying the (sf) indicator.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF399763
for the list of Affected Credit Ratings. This list is an integral
part of this Press Release.
Our quantitative analysis focuses on the risks relating to the credit
quality of the assets backing the repack and of the counterparties.
We generally determine the expected loss posed to securities holders by
adding together the severities for loss scenarios arising from either
Underlying Asset default, and if applicable, hedge counterparty
risk, each weighted according to its respective probability.
We then translate the expected loss to a rating using our idealised loss
rates.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF399763
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:
- Due Diligence
- Loss and Cash Flow Analysis
- PACR
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.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
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.
Mariona Serrat
Associate 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
Ian Perrin
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Philippe Joly
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Raja Iyer
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 places under review ratings on 36 Repack deals