Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Está por salir del sitio local de España y comenzará a navegar en el sitio global. ¿Desea continuar?
No mostrar este mensaje nuevamente
Si
No
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Already a customer?
LOG IN
Don't want to see this again?
REGISTER
OR
Accept our Terms of Use to continue to Moodys.com:
​​

PLEASE READ AND SCROLL DOWN!

By clicking “I AGREE” [at the end of this document], you indicate that you understand and intend these terms and conditions to be the legal equivalent of a signed, written contract and equally binding, and that you accept such terms and conditions as a condition of viewing any and all Moody’s inform​ation that becomes accessible to you [after clicking “I AGREE”] (the “Information”).   References herein to “Moody’s” include Moody’s Corporation, Inc. and each of its subsidiaries and affiliates.

Terms of One-Time Website Use

1.            Unless you have entered into an express written contract with Moody’s to the contrary, you agree that you have no right to use the Information in a commercial or public setting and no right to copy it, save it, print it, sell it, or publish or distribute any portion of it in any form.               

2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

3.            To the extent permitted by law, Moody’s and its directors, officers, employees, representatives, licensors and suppliers disclaim liability for: (i) any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with use of the Information; and (ii) any direct or compensatory damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud or any other type of liability that by law cannot be excluded) on the part of Moody’s or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with use of the Information.

4.            You agree to read [and be bound by] the more detailed disclosures regarding Moody’s ratings and the limitations of Moody’s liability included in the Information.     

5.            You agree that any disputes relating to this agreement or your use of the Information, whether sounding in contract, tort, statute or otherwise, shall be governed by the laws of the State of New York and shall be subject to the exclusive jurisdiction of the courts of the State of New York located in the City and County of New York, Borough of Manhattan.​​​​

I AGREE
Rating Action:

Moody's takes action on UK NC RMBS notes issued in 3 transactions of the Alba series

25 Feb 2010

Approximately GBP 1.2 billion of debt securities affected

London, 25 February 2010 -- Moody's Investors Service has today taken action on 12 classes of notes issued by Alba 2006-1 plc ("Alba 2006-1"), Alba 2006-2 plc ("Alba 2006-2"), and Alba 2007-1 ("Alba 2007-1"). 9 of the 12 affected notes listed below had been placed on review for possible downgrade on 23 September 2009 because of late payments on the notes of Alba 2006-2 and Alba 2007-1. Following further investigation by Moody's it has become apparent that the operational issues that caused the late payment on these two transactions are also present in Alba 2006-1 although it has not, to date, suffered a late payment .

Today's rating action on notes issued by Alba 2006-1 and Alba 2006-2 is prompted by the payment errors that have occurred in the past and our concerns over timely payments on the Notes and to the swap counterparty in the future. All senior notes in Alba 2007-1 have been confirmed as the current ratings are already incorporating the risk of non timely payments following the expiry of the liquidity facility which caused the downgrade of the class A2 and A3 notes in March 2009. The downgrade of the class F in Alba 2007- 1 is driven by worse than expected performance. All MERC certificates have also been downgraded in consideration of potential operational errors which could prevent the correct calculation of the amounts due for these certificates.

Transaction Overview

Alba 2006-1 closed in June 2006 and the current pool factor is approximately 33.31%. The assets supporting the notes are first-lien owner occupied and buy to let mortgage loans secured by residential properties located in England, Wales and Scotland. The weighted average LTV at closing was 79.88% while the current weighted average LTV is approximately 79.99%. The reserve fund, which cannot amortise due to the breach of performance triggers, is currently GBP1.4 million which is 42% of its target level of GBP 3.34 million.

Alba 2006-2 closed in November 2006 and the current pool factor is 54.00%. The assets supporting the loans are first-lien owner occupied and buy to let mortgage loans secured by residential properties located in England and Wales. The weighted average LTV at closing was 82.25% while the current weighted average LTV is approximately 82.45%. The reserve fund is fully drawn (0% vs. target level of 1.20% of the current portfolio balance) and there is a principal deficiency on the class F notes.

Alba 2007-1 closed in June 2007 and the current pool factor is 71.46%. The assets supporting the loans are first-lien owner occupied and buy to let mortgage loans secured by residential properties located in England and Wales. The weighted average LTV at closing was 84.07% while the current weighted average LTV is approximately 84.52%. The reserve fund is currently drawn and is at only 5.89% of its target balance.

Late Payments and Calculation Errors

The servicing of the mortgage portfolios for all three transactions is delegated to Homeloan Management Limited (SQ2) as servicer and to Oakwood Home Loans (NR) as special servicer. Wells Fargo (Aa2/P-1) is the appointed master servicer and HSBC Bank plc (Aa2/P-1) is the cash manager.

Moody's has been informed of a number of inaccurate determinations of available revenue and principal funds throughout the lifetime of the Alba 2006-1, Alba 2006-2 and Alba 2007-1 transactions. These inaccuracies have also caused the misallocations of principal payments in the Alba 2006-1 and Alba 2006-2 transactions on certain interest payment dates.

In particular, some items relating to fees and expenses have been erroneously included in the issuer available funds even though they were not due to the Issuer. In addition some funds which were not yet cleared have been accounted as "received" by the Issuer and this has led to incorrect calculations of principal collections applicable to note redemption. Overall the parties have not been able to correctly reconcile all payment ledgers within the time frame prescribed by the documents.

The Issuers have advised Moody's that they are working with all the counterparties to resolve the above issues. The historical quarterly reports for each of these transactions have been recalculated and the amended versions published. The Issuers of all three transactions are also in the process of resolving the misallocations of principal and interest payments to the noteholders.

Moody's however, believes that all the operational concerns that caused the inaccuracies in the past have not been fully addressed. The uncertainties regarding the implementation of a long term solution have led to today's rating action. Moody's considers that the risk of non timely payments is not commensurate with a Aaa-rating and therefore has downgraded ratings for class A3 notes in Alba 2006-1 and Alba 2006-2.

It should be noted that Moody's is not aware of any similar concerns affecting Alba 2005-1 and has therefore taken no action in this transaction.

Revised Performance Expectations

The loans in arrears by more than 90 days amount to approximately 18.11% of the current portfolio balance in Alba 2006-1, 15.75% in Alba 2006-2, and 10.81% in Alba 2007-1. The cumulative losses realised since closing amount to 1.65% of original portfolio balance in Alba 2006-1, 1.85% in Alba 2006-2, and 1.89% in Alba 2007-1.

Moody's has assessed the outstanding portfolio to determine whether there is an increase in credit support needed and the volatility of future losses. As a consequence, Moody's has confirmed the Milan Aaa CE at 29.39% for Alba 2006-1, 31.00% for Alba 2006-2, and 30% for Alba 2007-1. The current available credit enhancement is 54% for the class A3 notes in Alba 2006-1, 41% for the class A3 notes and 26% for the class B notes in Alba 2006-2, and for Alba 2007-1 35% for the class A2 and A3 notes, 19% for the class B notes and 0.08% for the class F notes.

Considering the current amount of realized losses, and completing a roll-rate and severity analysis for the non-defaulted portion of the portfolio, Moody's has increased the expected loss for all three transactions. The expected loss, as a percentage of the closing portfolio balance is therefore now 3.80% from 2.50% for Alba 2006-1, 5.50% from 2.70% for Alba 2006-2, and 6.30% from 5.00% for Alba 2007-1. The increase in expected losses caused the downgrade of class F in Alba 2007-1, but had no impact on the senior note ratings given the current available credit enhancement for these classes of notes.

The loss expectation and the Milan Aaa CE are the two key parameters used by Moody's to calibrate the loss distribution curve, which is one of the inputs into our RMBS cash-flow model. Moody's has also factored into its analysis the negative sector outlook for UK non-conforming RMBS. The sector outlook reflects the following expectations of key macro-economic indicators: GDP to grow by 0.8% in 2010 and by 2.2% in 2011, unemployment to increase to 8.4% by 2010 from 7.9% in 2009, house prices to decrease by around 25% from their peak in 2007 to a trough in 2010 and personal insolvencies likely to remain elevated. For more detailed information please refer to Moody's Economy.com.

The classes of notes affected by today's rating actions are:

Issuer: Alba 2006-1 plc

Class A3a Notes, Downgraded to Aa1; previously on June 16, 2006 Assigned Aaa

Class A3b Notes, Downgraded to Aa1; previously on Jun 16, 2006 Assigned Aaa

MERC Notes, Downgraded to Aa1; previously on Jun 16, 2006 Assigned Aaa

Issuer: Alba 2006-2 plc

Class A3a Notes, Downgraded to Aa1; previously on Sep 23, 2009 Aaa Placed Under Review for Possible Downgrade

Class A3b Notes, Downgraded to Aa1; previously on Sep 23, 2009 Aaa Placed Under Review for Possible Downgrade

Class B Notes, Confirmed at Aa2; previously on Sep 23, 2009 Aa2 Placed Under Review for Possible Downgrade

MERC Notes, Downgraded to Aa1; previously on Sep 23, 2009 Aaa Placed Under Review for Possible Downgrade

Issuer: Alba 2007-1 plc

Class A2 Notes, Confirmed at Aa1; previously on Sep 23, 2009 Aa1 Placed Under Review for Possible Downgrade

Class A3 Notes, Confirmed at Aa1; previously on Sep 23, 2009 Aa1 Placed Under Review for Possible Downgrade

Class B Notes, Confirmed at Aa3; previously on Sep 23, 2009 Aa3 Placed Under Review for Possible Downgrade

Class F Notes, Downgraded to Ca; previously on Sep 23, 2009 Caa3 Placed Under Review for Possible Downgrade

MERC Notes, Downgraded to Aa1; previously on Sep 23, 2009 Aaa Placed Under Review for Possible Downgrade

Moody's ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transactions. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

The principal methodologies used in rating and monitoring these transactions were "Moody's Approach to Rating UK RMBS" published in April 2005, "Moody's Updated Methodology for Rating UK RMBS" published in November 2007 and "Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction" published in December 2008, as well as the Special Report "Interest Rate Risks in UK RMBS -- Moody's approach" published in October 2007, available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

For further information, please visit our website www.moodys.com or contact Moody's Client Service Desk (+44 20) 7772 5454

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Shivani Kak
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's takes action on UK NC RMBS notes issued in 3 transactions of the Alba series
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating 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 or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​​​