Frankfurt am Main, June 05, 2012 -- Moody's has today placed on review for downgrade the ratings of residential
mortgage-backed securities ("RMBS") and asset-backed securities
("ABS") that have a strong indirect linkage to Spanish banks that Moody's
downgraded on 17 May, 2012. Today's rating action affects
83 tranches, including 24 RMBS and 33 ABS transactions.
As detailed in an earlier announcement ("Impact of bank credit deterioration
on structured finance will vary with degree of bank exposure" published
on 15 May 2012 http://www.moodys.com/research/Moodys-Impact-of-bank-credit-deterioration-on-structured-finance-will--PR_245919)
Moody's is placing on review for downgrade securities that rely strongly
on the performance of affected banks, while monitoring the implementation
of the various protection mechanism designed to reduce credit linkage.
If the transactions parties fail to implement effective protection mechanism
in a timely fashion, these affected securities will likely suffer
a multi notch downgrade.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286998
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
and RMBS transactions.
For additional information on Structured Finance ratings, please
refer to the webpage containing Moody's related announcements http://www.moodys.com/eusovereign.
RATINGS RATIONALE
Today's rating announcement reflects the increased counterparty risk following
the deterioration in credit quality of Spanish banks acting in various
roles in the affected ABS and RMBS transactions. Today's rating
action takes into account : (i) the potential for payment disruption
risks, and (ii) the level of exposure to swap providers and issuer
account banks.
Payment Disruption Risk
Moody's considers that transactions more likely to suffer a potential
payment disruption are those with weak servicers and no back-up
arrangements. Moody's has therefore placed on review for downgrade
senior notes in 10 transactions with lowly rated servicers and no triggers
for the appointment of a back-up servicer
Exposure to Issuer Account Banks
Moody's considers transactions to be highly exposed to issuer account
banks in cases where a substantial portion of the credit enhancement and
liquidity in the transaction is deposited in an issuer account bank rated
below Prime-1. Moody's has placed on review 69 tranches
in 49 transactions where (i) the funds deposited in the issuer accounts
represent more than 10% of current note balance; and (ii)
for which the credit enhancement reduced by such funds would be insufficient
to support the current rating of the affected notes.
Exposure to Swap Provider
Moody's has placed on review for downgrade notes in 1 transaction whereby
the swap counterparty was already in breach of a replacement trigger (loss
of Baa1) prior to the downgrade announced on 17 of May, 2012.
The swap counterparties have now been further downgraded. During
the review Moody's will assess the degree of linkage between the notes
and swap counterparty rating.
OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES IN FUTURE
As the euro area crisis continues the ratings of the 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" and the special
comment published on 19 January, 2012 "Why Global Bank Ratings Are
Likely to Decline in 2012."
Following the downgrade of Spain's long-term government bond
rating to A3, Moody's lowered the maximum achievable ratings in
Spain from Aaa(sf) to Aa2(sf). Furthermore, as discussed
in Moody's special report "Rating Euro Area Governments Through Extraordinary
Times -- An Updated Summary," published in October
2011, Moody's is considering reintroducing individual country ceilings
for some or all euro area members, which could affect further the
maximum structured finance rating achievable in those countries.
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.
Other factors used in these ratings are described in Global Structured
Finance Operational Risk Guidelines: Moody's Approach to Analyzing
Performance Disruption Risk published in June 2011.
Key modeling assumptions, sensitivities, cash-flow
analysis and stress scenarios for the affected transactions have not been
updated as the rating action has been primarily driven by the assessment
of counterparty exposure.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF286998
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
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
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.
Iris Thate
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's reviews Spanish ABS and RMBS transactions exposed to Spanish banks
