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Rating Action:

Moody's upgrades EUR 119.2m SF CDO notes of Faxtor ABS 2003-1 B.V. and Faxtor ABS 2004-1 B.V.

27 Jun 2014

London, 27 June 2014 -- Moody's Investors Service announced today that it has upgraded the ratings of notes issued by Faxtor ABS 2003-1 B.V. (Faxtor 2003-1) and Faxtor ABS 2004-1 B.V. (Faxtor 2004-1).

Issuer: Faxtor ABS 2003-1 B.V.

....EUR23M (EUR14,170,569 Current Outstanding Balance) Class A-2E Floating Rate Notes, Upgraded to Aa2 (sf); previously on Feb 13, 2013 Downgraded to A3 (sf)

....EUR9M (EUR5,545,005 Current Outstanding Balance) Class A-2F Fixed Rate Notes, Upgraded to Aa2 (sf); previously on Feb 13, 2013 Downgraded to A3 (sf)

....EUR7.5M Class A-3E Floating Rate Notes, Upgraded to B1 (sf); previously on Feb 13, 2013 Downgraded to Caa1 (sf)

....EUR15M Class A-3F Fixed Rate Notes, Upgraded to B1 (sf); previously on Feb 13, 2013 Downgraded to Caa1 (sf)

....EUR5.5M Class BE Floating Rate Notes, Affirmed Caa3 (sf); previously on Feb 13, 2013 Downgraded to Caa3 (sf)

....EUR9.5M Class BF Fixed Rate Notes, Affirmed Caa3 (sf); previously on Feb 13, 2013 Downgraded to Caa3 (sf)

Issuer: Faxtor ABS 2004-1 B.V.

....EUR264M (EUR6,024,144 Current Outstanding Balance) Class A-1 Floating Rate Notes, Affirmed Aaa (sf); previously on Feb 13, 2013 Upgraded to Aaa (sf)

....EUR35M Class A-2 Floating Rate Notes, Upgraded to Aa1 (sf); previously on Feb 13, 2013 Affirmed Aa3 (sf)

....EUR25M Class A-3 Floating Rate Notes, Upgraded to A2 (sf); previously on Feb 13, 2013 Downgraded to Ba1 (sf)

....EUR12M Class BE Floating Rate Notes, Upgraded to Ba2 (sf); previously on Feb 13, 2013 Downgraded to B3 (sf)

....EUR5M Class BF Fixed Rate Notes, Upgraded to Ba2 (sf); previously on Feb 13, 2013 Downgraded to B3 (sf)

....EUR8M Class S Combination Notes, Upgraded to Baa2 (sf); previously on Feb 13, 2013 Downgraded to Ba1 (sf)

RATINGS RATIONALE

The rating actions are primarily due to the deleveraging of the senior notes and an increase in the transactions' over-collateralization (OC) ratios since the recent payment date of each transaction, May 2014 for Faxtor 2003-1 and January 2014 for Faxtor 2004-1. For Faxtor 2003-1, the Class A-1E notes have been redeemed in full and the Classes A-2E and A-2F have been partially redeemed by EUR12.3 million (38.4% of closing balance). For Faxtor 2004-1, the principal account balance reported by the Trustee in May 2014 is sufficient to redeem in full the EUR 6.0 million remaining of Class A-1 and partially redeem Class A-2 by approximately 11% of its closing balance. According to the May 2014 Trustee Report, the OC ratios of Faxtor 2003-1 Classes A and B are currently 141% and 99% versus 120% and 96% respectively in November 2013. Similarly, for Faxtor 2004-1, the OC ratios of Classes A and B are currently 159% and 126% versus 140% and 119% respectively in November 2013.

The rating on the combination notes addresses the repayment of the rated balance on or before the legal final maturity. For the Class S notes, the 'rated balance' at any time is equal to the principal amount of the combination note on the issue date minus the sum of all payments made from the issue date to such date, of either interest or principal. The rated balance will not necessarily correspond to the outstanding notional amount reported by the trustee. The rated balance of the Class S note is currently overcollateralized by the Class BE notes.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's Approach to Rating SF CDOs" published in March 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 rating:

In addition to the base case analysis, Moody's also conducted a sensitivity analysis to the credit quality of the approximately 25% of assets on review for upgrade. The two notch upward adjustment of the rating of each asset on review for upgrade was reversed. The sensitivity model output was within one notch of the base case model output.

These transactions are subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings, as described below:

1) Macro-economic uncertainty: Primary causes of uncertainty about assumptions are the extent of any slowdown in growth in the current macroeconomic environment and in the residential real estate property markets. The residential real estate property market is subject to uncertainty about housing prices; the pace of residential mortgage foreclosures, loan modifications and refinancing; the unemployment rate; and interest rates.

2) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds, recoveries from defaulted assets, and excess interest proceeds will continue and at what pace. Faster deleveraging than Moody's expects could have a significant impact on the notes' ratings.

3) Recovery of defaulted assets: The amount of recoveries received from defaulted assets reported by the trustee and those that Moody's assumes as having defaulted as well as the timing of these recoveries create additional uncertainty. Moody's analysed defaulted assets assuming no recoveries, and therefore, realisation of any recoveries in the future would positively impact the notes' ratings.

4) Lack of portfolio granularity: The performance of the portfolios depend to a large extent on the credit conditions of a few large obligors, some of them rated Caa1 or lower. The ratings of the notes are significantly affected by the credit quality migration of these assets, up or down.

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 a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics Moody's determines based on its assessment of the collateral characteristics. Moody's then evaluates each simulated scenario using model that replicates the relevant structural features and payment allocation rules of the transaction, to derive losses or payments for each rated instrument. The average loss a rated instrument incurs in all of the simulated collateral loss or cash flow scenarios, which Moody's weights based on its assumptions about the likelihood of events in such scenarios actually 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.

Bongani Dlamini
Asst Vice President - 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
VP - Sr Credit Officer/Manager
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 EUR 119.2m SF CDO notes of Faxtor ABS 2003-1 B.V. and Faxtor ABS 2004-1 B.V.
No Related Data.
© 2022 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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