Transactions: Request for Comment" for further details regarding To Moody's Request for Comment, entitled "Approach toĪssessing Linkage to Swap Counterparties in Structured Finance Cashflow On the Securities should not be negatively affected. Rating implementation guidance is adopted as proposed, the rating In structured finance cash-flow transactions. Its rating implementation guidance for assessing linkage to swap counterparties Please note that on 2 July 2012, Moody's released a Requestįor Comment, requesting market feedback on potential changes to No additional cash flow analysis or stress scenarios have been conductedĪs the rating was derived as described above. The EL for each of these time points can then be aggregated to provideĪ weighted-average EL for the rated notes. One-year) intervals through the life of the transaction. Moody's EL calculation assesses the probability and severity ofĮach possible loss-inducing event happening at discrete (typically To events that might give rise to losses to Repack noteholders. Relies on an EL analysis in which we identify and attach probabilities Given the transaction structure, the Collateral and any other credit The expected loss "EL" borne by the Repack investor, Moody's quantitative analysis of Repacks is designed to estimate The Credit Policy page on for a copy of this Rating Repackaged Securities" published in April 2010. The principal methodology used in this rating was "Moody's Approach to In this transaction may also negatively impact the ratings. Transaction and 3) additional expected loss associated with hedging agreements
Uncertainty, which could negatively impact the ratings of the notes,Īs evidenced by 1) uncertainties of credit conditions in the general economyĪnd 2) more specifically, any uncertainty associated with the underlyingĬredits in the transaction could have a direct impact on the repackaged Moody's notes that this transaction is subject to a high level of macroeconomic In its analysis, Moody'sĬonsidered that if the swap starts to move in the money for the Issuer,ĭexia will be required to post collateral under the deal documentation.Īlthough some credit was given to the posting mechanism in the analysis,Īny downgrade in the future of Dexia might potentially have a negative
The most conservative scenario, a full linkage to Dexia, results Swap counterparty is linked to the repack notes to different degrees. Moody's considered several sensitivity scenarios where the risk of the Of the money for the Issuer and therefore no posting is currently required Risk is currently low given that the interest rate swap is deeply out Moody's however notes that the counterparty That this temporary waiver has now expired and Dexia is currently working Guaranty lead insurer to A2" on Moody's also notes that following the breach of the second rating triggerĭexia Credit Local, currently rated Baa2/P-2, introducedĪ temporary waiver to not take one of the remedial actions such as findingĪ guarantor or substituting itself. For further information on the underlyingĪction see the press release titled "Moody's downgrades Assured Term Loan A, which was downgraded toĪ2 from Aa3 under review for possible downgrade on 17th January 2013,ĭriven by the downgrade of Assured Guaranty to A2 from Aa3 under reviewįor possible downgrade. Of a rating action on the backed senior unsecured bank credit facility Moody's explained that the rating action taken today is largely the result
The underlying loan for series A1 and A2 are guaranteed byĪssured Guaranty (Europe) Ltd.
This transaction represents a repackaging of loan receivables with a monoline Paid Notes due 2024, Downgraded to A2 (sf) previously on AprĢ4, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade Of the following notes issued by FCC SURF: London, 25 January 2013 - Moody's Investors Service announced today that it has downgraded the rating