The restructuring, implemented in
The restructuring aims to mitigate the deal's exposure to interest-rate and foreign-exchange risk, present since the event of default on the swap agreement that the bankruptcy filing of
--- RATING DRIVERS FOR CLASS A NOTES Today's rating upgrades of the class A1a and A1c notes reflect the redenomination of the class A1a note and repayment of the senior notes through the application of cash receipts.
Moody's does not consider the redenomination of the class A1a notes to be a Distressed Exchange. The class A1a notes have been redenominated to British pound sterling (GBP) from euro (EUR) at a conversion rate of
The cash receipts relating to the claims against the swap counterparties have been applied towards the repayment of the outstanding notes, and together with the termination of the swap replacement obligation resulted in faster repayment of the notes.
--- RATING DRIVERS FOR CLASS B, C AND D NOTES The B1c notes benefit from the restructuring of the transaction, which eliminates the potential for future build-up of under-collateralisation caused by the transaction being un-hedged.
Moody's upgrade of the class B1c and affirmation of the classes C1c and D1c notes take into consideration the losses resulting from the tranche write-down as well as any future losses to be incurred due to collateral performance. Class B1c, C1c and D1c notes suffered write-downs of 28% of their original principal balance following the restructuring. Moody's believes that the expected recovery rate on the Class B1c, C1c and D1c notes is consistent with the revised ratings. Moody's determined that the ratings of the class B1c, C1c and D1c notes are compliant with its publication "Moody's Approach to
--- OTHER CONSIDERATIONS Moody's review of transaction's collateral indicated stable performance, and as such, it did not revise any of its key collateral assumptions.
Moody's rating analysis also took into consideration the exposure of the notes to the issuer account bank
--- LIST OF ADDITIONAL RESTRUCTURING ITEMS Amendment to the margin of the notes: The margins of the class A1a and A1c notes were amended to 77 bps and of class B1c, C1c and D1c notes to 202 bps.
Amendment of reserve fund level and required target amount: The reserve fund required amount was reduced to
Waiver of account bank trigger breach: The noteholders agreed to waive the trigger breach of Danske acting as the transaction's account bank. As a result, Danske will continue to act as the transaction's account bank, even though it has a short-term rating of Prime-2, below the Prime-1 rating originally required for the issuer account bank.
Termination of the PECO: The relevant parties agreed to terminate the Post Enforcement Call Option agreement (PECO).
The principal methodology used in this rating was Moody's Approach to Rating RMBS Using the
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING Upward pressure could develop on the ratings following (1) stronger underlying asset performance, beyond Moody's expectations; (2) further deleveraging with a build-up of credit enhancement; or (3) the improvement of the creditworthiness of the transaction's main counterparties.
Downward pressure could develop on the ratings following (1) underlying collateral performance that is worse than Moody's expects; or (2) deterioration in the creditworthiness of the transaction's main counterparties.
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 this transaction 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.
LyudmilaUdot Asst Vice President -
One Canada Square Canary Wharf London E14 5FA
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JOURNALISTS: 44 20 7772 5456
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