London, 12 August 2014 -- Moody's Investors Service has today upgraded the rating of 19 notes and
confirmed the ratings of 2 junior notes in the 7 Irish residential mortgage-backed
securities (RMBS) transactions by Ulster Bank Ireland Limited.
This rating action is prompted by better than expected collateral performance
combined with the increase in country ceiling to Aa3.
Please see towards the end of the press release for a list of affected
ratings.
Today's rating upgrades follow the upgrade of the Irish sovereign rating
to Baa1 from Baa3 on 16 May 2014 and the resulting increase of the local-currency
country ceiling to Aa3 from A2 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_299549)
which reflect the country's reduced economic, legal and political
risks.
Today's rating action concludes the review of the notes placed on review
for upgrade, following the first upgrade of the Irish sovereign
rating this year to Baa3 on 17 January 2014.
RATINGS RATIONALE
Today's rating action reflects the impact of the upgrade of the sovereign
ceiling and improvement in collateral performance.
The Irish sovereign rating was upgraded to Baa1 in May 2014 and resulted
in an increase in the local-currency country ceiling to Aa3.
The Irish country ceiling, and therefore the maximum rating that
Moody's will assign to a domestic Irish issuer including structured finance
transactions backed by Irish receivables, is Aa3 (sf).
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance to date. Moody's expect the recent
recovery in Irish house prices to be supportive of future recoveries on
repossessed mortgage loans. As a result, Moody's reduced
its expected loss assumption on Celtic Residential Irish Mortgage Securitisation
No. 9 Plc from 4.9% to 4.0%,
Celtic Residential Irish Mortgage Securitisation No. 10 Plc from
6.5% to 5.5%, Celtic Residential Irish
Mortgage Securitisation No. 12 limited from 9.1%
to 6.0%, Celtic Residential Irish Mortgage Securitisation
No. 14 Ltd from 17.3% to 11.0%,
Celtic Residential Irish Mortgage Securitisation No. 15 Ltd from
11.3% to 10.0% and Celtic Residential Irish
Mortgage Securitisation No. 16 Ltd from 16.0% to
12.5% on the original pool balance. Moody's has also
revised its MILAN CE assumptions for Celtic Residential Irish Mortgage
Securitisation No. 9 Plc to 24% from 27%, Celtic
Residential Irish Mortgage Securitisation No. 14 Ltd to 35%
from 45% and Celtic Residential Irish Mortgage Securitisation No.
15 Ltd to 35% from 40%. The decrease in the Milan
assumption takes into consideration the recent recovery in the Irish housing
market resulting in a reduced exposure to loans in negative equity.
The ratings of the senior notes are also capped in the single A range
due to operational risk as per the 'Global Structured Finance Operational
Risk Guidelines' published by Moody's Investors Service on
the 4th June 2013. The current rating of the servicer, Ulster
Bank Ireland Limited, at Baa3/P-3 coupled with the absence
of any back up servicing arrangements is the reason behind this cap.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in March 2014.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
List Of Affected Ratings:
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
9 PLC
....EUR 1067.5M Class A2 Notes,
Upgraded to Baa3 (sf); previously on Jan 24, 2014 Ba2 (sf)
Placed Under Review for Possible Upgrade
....EUR 70M Class B Notes, Upgraded
to Caa1 (sf); previously on Jan 24, 2014 Ca (sf) Placed Under
Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
10 PLC
....EUR1253M Class A2 Notes, Upgraded
to Ba2 (sf); previously on Jan 24, 2014 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR89.5M Class B Notes, Upgraded
to Caa3 (sf); previously on Jan 24, 2014 Ca (sf) Placed Under
Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
11 PLC
....EUR1388.8M Class A3a Notes,
Upgraded to Baa1 (sf); previously on Jan 24, 2014 Ba1 (sf)
Placed Under Review for Possible Upgrade
....GBP586M Class A3c Notes, Upgraded
to Baa1 (sf); previously on Jan 24, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR77M Class Ba Notes, Upgraded
to B2 (sf); previously on Jan 24, 2014 Caa1 (sf) Placed Under
Review for Possible Upgrade
....EUR147.4M Class Ca Notes,
Upgraded to Caa3 (sf); previously on Jan 24, 2014 Ca (sf) Placed
Under Review for Possible Upgrade
....GBP17.5M Class Cc Notes,
Confirmed at Ca (sf); previously on Jan 24, 2014 Ca (sf) Placed
Under Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
12 LIMITED
....EUR 487.5M Class A2 Notes,
Upgraded to A1 (sf); previously on Jan 24, 2014 Baa1 (sf) Placed
Under Review for Possible Upgrade
....EUR 1010.685M Class A3 Notes,
Upgraded to Ba1 (sf); previously on Jan 24, 2014 Ba3 (sf) Placed
Under Review for Possible Upgrade
....EUR 39M Class B Notes, Upgraded
to B3 (sf); previously on Jan 24, 2014 Ca (sf) Placed Under
Review for Possible Upgrade
....EUR 87.75M Class C Notes,
Confirmed at Ca (sf); previously on Jan 24, 2014 Ca (sf) Placed
Under Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
14 LTD
....EUR 1000M Class A1 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR 1000M Class A2 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR 1000M Class A3 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
15 LTD
....EUR 700M Class A1 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR 700M Class A2 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR 700M Class A3 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
Issuer: CELTIC RESIDENTIAL IRISH MORTGAGE SECURITISATION NO.
16 LTD
....EUR 260M Class A1 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
....EUR 260M Class A2 Notes, Upgraded
to A1 (sf); previously on May 30, 2014 A2 (sf) Placed Under
Review for Possible Upgrade
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to a downgrade of the ratings
affected by today's action would be the worse-than-expected
performance of the underlying collateral, deterioration in the credit
quality of the counterparties and an increase in sovereign risk.
Factors or circumstances that could lead to an upgrade of the ratings
affected by today's action would be the better-than-expected
performance of the underlying assets, and a decline in both counterparty
and sovereign risk.
REGULATORY DISCLOSURES
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 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.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
As the section on loss and cash flow analysis describes, Moody's
quantitative analysis entails an evaluation of scenarios that stress factors
contributing to sensitivity of ratings and take into account the likelihood
of severe collateral losses or impaired cash flows. Moody's
weights the impact on the rated instruments based on its assumptions of
the likelihood of the events in such scenarios occurring.
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.
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.
Ali Khan
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
Anthony Parry
VP - Senior Credit Officer
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 upgrades 19 notes in 7 Irish RMBS transactions by Ulster Bank Ireland Limited
