London, 11 June 2015 -- Moody's Investors Service has today upgraded to A1 from A3 (on review
for upgrade) the ratings of the mortgage covered bonds of Raiffeisenbank
a.s. (not publicly rated).
Today's upgrade concludes the review of the above covered bonds'
ratings.
RATINGS RATIONALE
Today's upgrade of the covered bonds reflects the assignment of an initial
CR Assessment (not public) to Raiffesisenbank, a.s.
Raiffesisenbank, a.s. does not carry a public rating.
The CB anchor for the mortgage covered bonds in the CR assessment plus
one notch. This, with a TPI of Very-Improbable,
restricts the rating of the mortgage covered bond at Aa3. However,
legal uncertainty remains regarding whether over-collateralisation
(OC) will remain in the cover pool and available for the benefit of covered
bond holders after an insolvency of the issuer. This limits the
rating uplift available by OC to an A1 rating.
KEY RATING ASSUMPTIONS/FACTORS
Moody's determines covered bond ratings using a two-step
process: an expected loss analysis and a TPI framework analysis.
EXPECTED LOSS: Moody's uses its Covered Bond Model (COBOL)
to determine a rating based on the expected loss on the bond. COBOL
determines expected loss as (1) a function of the probability that the
issuer will cease making payments under the covered bonds (a CB anchor
event); and (2) the stressed losses on the cover pool assets following
a CB anchor event.
The CB anchor for this programme is CR Assessment plus one notch.
The CR Assessment reflects an issuer's ability to avoid defaulting
on certain senior bank operating obligations and contractual commitments,
including covered bonds.
Moody's may use a CB anchor of CR Assessment plus one notch in the
European Union or otherwise where an operational resolution regime is
particularly likely to ensure continuity of covered bond payments.
The cover pool losses for Raiffeisenbank a.s. covered bonds
are 44.5%. This is an estimate of the losses Moody's
currently models following a CB anchor event. Moody's splits
cover pool losses between market risk of 37.3% and collateral
risk of 7.2%. Market risk measures losses stemming
from refinancing risk and risks related to interest-rate and currency
mismatches (these losses may also include certain legal risks).
Collateral risk measures losses resulting directly from cover pool assets'
credit quality. Moody's derives collateral risk from the
collateral score, which for this programme is currently 10.8%.
The over-collateralisation (OC) in the cover pool is 114.7%,
of which the issuer provides 0% on a "committed" basis.
The minimum OC level consistent with the A1 rating target is 9.5%,
of which the issuer should provide 0% in a "committed"
form. These numbers show that Moody's is not relying on "uncommitted"
OC in its expected loss analysis.
All numbers in this section are based on Moody's most recent modeling
(based on data, as per 31st December 2014).
For further details on cover pool losses, collateral risk,
market risk, collateral score and TPI Leeway across covered bond
programmes rated by Moody's please refer to "Moody's Global Covered Bonds
Monitoring Overview", published quarterly.
TPI FRAMEWORK: Moody's assigns a "timely payment indicator"
(TPI), which measures the likelihood of timely payments to covered
bondholders following a CB anchor event. The TPI framework limits
the covered bond rating to a certain number of notches above the CB anchor.
For Raiffeisenbank a.s.' covered bonds, Moody's
has assigned a TPI of Very Improbable.
Factors that would lead to an upgrade or downgrade of the rating:
The CB anchor is the main determinant of a covered bond programme's rating
robustness. A change in the level of the CB anchor could lead to
a downgrade of the covered bonds. The TPI Leeway measures the number
of notches by which Moody's might lower the CB anchor before the rating
agency downgrades the covered bonds because of TPI framework constraints.
The TPI Leeway for this programme is not public.
A multiple-notch downgrade of the covered bonds might occur in
certain circumstances, such as (1) a country ceiling or sovereign
downgrade capping a covered bond rating or negatively affecting the CB
Anchor and the TPI; (2) a multiple-notch downgrade of the
CB Anchor; or (3) a material reduction of the value of the cover
pool.
RATING METHODOLOGY
The principal methodology used in this rating was "Moody's
Approach to Rating Covered Bonds" published in March 2015.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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 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.
The following information supplements Disclosure 10 ("Information
Relating to Conflicts of Interest as required by Paragraph (a)(1)(ii)(J)
of SEC Rule 17g-7") in the regulatory disclosures made at
the ratings tab on the issuer/entity page on www.moodys.com
for each credit rating:
Moody's was not paid for services other than determining a credit
rating in the most recently ended fiscal year by the person that paid
Moody's to determine this credit rating.
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.
Hadrien Rogier
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
Juan Pablo Soriano
MD - Structured Finance
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 Raiffeisenbank a.s.'s mortgage covered bonds to A1
