The rating of the series APC notes in
The rating action concludes the review of the rating on the series APC notes in the underlying transaction, which Moody's placed on review on
As part of its review of the underlying transaction, Moody's has incorporated the risk of additional losses on the notes, in case the notes become unhedged following a swap counterparty default. Assets backing the notes in this deal are fixed-rate assets denominated in
Moody's understands that the swap is currently out of the money for the issuer. However, due its Baa1 rating, Emirates is posting collateral in accordance with the swap documents.
In confirming the rating of the underlying transaction, Moody's noted the strong performance of the asset pool, with cumulative defaults of 0.64 per cent, 90+ delinquencies stable at 0.46 per cent as of last reporting date on
Moody's has not updated its key modelling assumptions for this deal, because the deal's performance is in line with the rating agency's expectations.
Emirates NBD Auto Financing (the repack) is a repackaging of the underlying transaction notes where the main risk is that of the underlying transaction. The repackaged note also benefits from a principal guarantee from
The rating action concludes the review of the rating on the repack, which Moody's placed on review on
Moody's notes that both transactions continue to be exposed to counterparty risk, reflecting (1) reliance on
Factors that could lead to an upgrade or downgrade of the underlying transaction include (1) change in the credit quality of the counterparties and 2) a change in the expected performance of the underlying collateral.
Factors that could lead to an upgrade or downgrade of the repack include a change in the ratings of one or both of either the underlying notes, or JBIC, as the principal guarantor.
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