As with all covered bonds, Yapi Kredi's covered bonds benefit from (1) a promise from the issuer to pay interest and principal on the covered bonds; and (2) if Yapi Kredi defaults -- or certain triggers are hit -- the economic benefit from the cover pool. This would involve Yapi Kredi paying the covered bondholders using the proceeds obtained from the cash flows generated by the assets, or through the direct liquidation of the cover pool.
Turkish law provides two separate regulations, one for mortgage-backed covered bonds and the other for asset-backed covered bonds. For this programme, the Turkish asset-backed covered bonds legislation (the Turkish ACB Legislation) governs the covered bonds, whilst English and Turkish law govern the transaction documents.
The programme incorporates structural features that address several risks within the overall structure, providing a combination of typical covered bond and structured finance protection for investors.
The covered bond ratings take into account four principal factors:
(1) Yapi Kredi's credit strength (long-term global local-currency rating of Baa2, negative).
(2) The Turkish ACB Legislation, which provides protection for bondholders, such as:
---The ring-fencing of the cover pool assets and a stipulation that these assets must not form part of the issuer's bankruptcy estate.
---The segregation of transaction accounts and cash flows from the underlying cover pool.
---Any issuance of covered bonds must be authorised by the Capital Market Board (CMB), following the CMB's approval and registration of the issuer.
---An independent party, the security supervisor, monitors the cover pool on an ongoing basis. The supervisor reports directly to the CMB.
(3) The credit quality of the cover pool, which is reflected in the collateral score of 24%.
The cover pool comprises a granular portfolio of Turkish SME loans, with short-term maturities not exceeding 36 months. The stressed level of losses modelled in event of issuer default (cover pool losses) for this transaction is 26.6%.
(4) The transaction structural features that aim to mitigate various risks -- the features are:
---Early amortisation triggers, together with an extension maturity for the covered bonds, which aims to mitigate refinancing risk.
---A liquidity account that covers three months' interest and the appointment of a replacement servicer facilitator, which aims to mitigate any disruption risk following an issuer default.
---The over-collateralisation (OC) in the cover pool is 44.1%, of which 25% is provided on a "committed" basis, which aims to mitigate credit risk. The minimum OC level that is consistent with the A3 rating target is 0%. These numbers show that Moody's is not relying on "uncommitted" OC in its expected loss analysis.
Moody's has assigned a timely payment indicator (TPI) of "Probable" to this transaction. This TPI level is relatively high for covered bonds issued out of a country rated non-investment grade (Turkey, Ba1 positive). However, based on both the strength of the Turkish ACB Legislation and the structural mechanisms implemented, Moody's believes that refinancing and operational risks are well mitigated. This TPI does not constrain the rating of the covered bonds at its current level and the ratings are limited by the current local-currency ceiling of A3.
As is the case with other covered bonds, Moody's considers the transaction to be linked to Yapi Kredi's credit strength, particularly from a timeliness of payment perspective. If this credit strength deteriorates -- all other variables being equal -- the covered bond ratings may come under pressure.
Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. The A3 rating assigned to the covered bonds is expected to be assigned to all subsequent covered bonds issued under this programme and any future rating actions are expected to affect all such covered bonds. If there are any exceptions to this, Moody's will in each case publish details in a separate press release.
KEY RATING ASSUMPTIONS/FACTORS
Covered bond ratings are determined after applying a two-step process: an expected loss analysis and a TPI framework analysis.
EXPECTED LOSS: Moody's determines a rating based on the expected loss on the bond. The primary model used is Moody's Covered Bond Model (COBOL), which determines expected loss as (1) a function of the issuer's probability of default (measured by the issuer's rating); and (2) the stressed losses on the cover pool assets following issuer default.
The cover pool losses for this programme are 26.6%. This is an estimate of the losses Moody's currently models if Yapi Kredi defaults. Cover pool losses can be split between market risk of 10.5% and collateral risk of 16.1%. Market risk measures losses as a result of 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 the credit quality of the assets in the cover pool. Collateral risk is derived from the collateral score, which for this programme is currently 24%.
The OC in the cover pool is 44.1%, of which 25% is provided on a "committed" basis. The minimum OC level that is consistent with the A3 rating target is 0%. Therefore, 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 modelling (based on data, as per June 2012)
TPI FRAMEWORK: Moody's assigns a "timely payment indicator" (TPI), which indicates the likelihood that timely payment will be made to covered bondholders following issuer default. The effect of the TPI framework is to limit the covered bond rating to a certain number of notches above the issuer's rating.
The robustness of a covered bond rating largely depends on the issuer's credit strength. The TPI Leeway measures the number of notches by which the issuer's rating may be downgraded before the covered bonds are downgraded under the
Based on the current TPI of Probable, the TPI Leeway for Yapi Kredi's SME covered bonds can be up to three notches, meaning the covered bonds might be downgraded as a result of a TPI cap if Yapi Kredi's rating is downgraded below Ba3, all other variables being equal.
A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances, such as (1) a sovereign downgrade negatively affecting both the issuer's senior unsecured rating and the TPI; (2) a multiple-notch downgrade of the issuer; or (3) a material reduction of the value of the cover pool.
The principal methodology used in this rating was "Moody's Approach to Rating Covered Bonds" published in July 2012. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.
For ratings issued on a program, series or category/class of debt, this announcement provides relevant 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 relevant 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 relevant 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.
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Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.
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Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.
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Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.
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.
Jose de Leon Senior Vice President Structured Finance Group Moody's Investors Service Espana, S.A. Calle Principe de Vergara, 131, 6 Planta Madrid 28002 Spain 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 Espana, S.A. Calle Principe de Vergara, 131, 6 Planta Madrid 28002 Spain JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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