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22 Mar 2011
Madrid, March 22, 2011 -- Removal of 11th Paragraph, "In addition, Moody's publishes
a weekly summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck"
and Substitute analyst contact information with the following: primary
contact is "Alberto Barbachano" and secondary contact is "Michelangelo
Margaria."
Moody's Investors Service has today upgraded the ratings of Hipocat 17
FTA's class A notes, confirmed the ratings of class B and downgraded
the ratings of the class C notes. These rating actions follow Moody's
review of the recent structural changes to Hipocat 17 and concluded that
these amendments have both positive and negative impact on the ratings,
depending on the ranking of the notes:
....EUR1070.8 million Class A,
upgraded to Aa1 (sf); previously on 21 December 2010, rated
A1 (sf)
....EUR4.4 million Class B, Affirmed
Baa2 (sf); previously on 21 December 2010, rated Baa2 (sf)
....EUR24.8 million Class C,
downgraded to B3 (sf); previously on 21 December 2010, rated
B2 (sf)
RATINGS RATIONALE
The structural amendments relates to an increase in credit enhancement
for the class A notes. The increase was implemented in the current
capital structure by decreasing the size of the class A and increasing
the size of tranche B. To decrease the size of class A, an
amount of bonds will be fully amortised on a extraordinary payment date,
as described in the amendment. The reduction of class A will be
funded by a Loan B from Catalunya Caixa. As a result of these changes,
Class A benefits from more credit enhancement, Class B remains equal
and it is not affected by the changes and Class C is negatively impacted
because it will receive less spread. In the new structure,
tranche B absorbs more spread because is the outstanding principal will
be higher than in the past. Loan B is not rated and ranks pari
passu with class B. Loan B and the Class B notes will amortise
pro rata.
The ratings of the notes also take into account the credit quality of
the underlying mortgage loan pools, from which Moody's determined
the MILAN Aaa Credit Enhancement (MILAN Aaa CE) and the lifetime losses
(expected loss), as well as the transaction structure and any legal
considerations as assessed in Moody's cash flow analysis. The expected
loss and the Milan Aaa CE are the two key parameters used by Moody's to
calibrate its loss-distribution curve, used in the cash-flow
model to rate European RMBS transactions.
Portfolio Expected Loss:
Hipocat 17 is still performing in line with the revised assumptions as
of December. Cumulative write-offs rose to 1.52%
of original pool balance in October 2010, up from 1.13%
a year earlier. The share of 90+ day arrears was 0.56%
at the end of October 2010. The reserve fund in Hipocat 17 is currently
at its target level.
Moody's expects the portfolio's credit performance to continue to be under
stress, as Spanish unemployment remains elevated. Moody's
believes that the anticipated tightening of Spanish fiscal policies is
likely to weigh on the recovery in the Spanish labour market and further
constraint Spanish households finances. Moody's also has concerns
over the timing and degree of future recoveries in a weaker Spanish housing
market. On the basis of the rapid increase in defaults in the transaction
and Moody's negative sector outlook for Spanish RMBS, we have updated
the portfolio expected loss assumption to 2.6% from 1.2%.
MILAN Aaa CE:
Moody's assessed the loan-by-loan information Hipocat 17
in December 2010 to determine the MILAN Aaa CE. Milan Aaa CE for
Hipocat 17 was increased to 9.00%, up from 3.75%.
The increase in the MILAN Aaa CE reflects the high geographical concentration
in Catalonia and the concentration of loans originated to new residents.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
notes by the legal final maturity. Moody's ratings only address
the credit risk associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
TRANSACTION FEATURES
Hipocat 17 closed in December 2008. The transaction is backed by
a portfolio of first-ranking mortgage loans originated by Caixa
Catalunya, now part of Caixa d'Estalvis de Catalunya, Manresa
I Tarragona (A3/P-2 on review for possible downgrade) and secured
on residential properties located in Spain. The new entity,
Caixa d'Estalvis de Catalunya, Manresa I Tarragona, has been
operative since 1 July 2010. Moody's was informed that the servicing
of Caixa Catalunya's mortgage portfolio will remain on Caixa Catalunya's
servicing platform.
The principal methodologies used in this rating were Moody's MILAN Methodology
for Rating Spanish RMBS published in July 2008 and Revising Default/Loss
Assumptions Over the Life of an ABS/RMBS Transaction published in December
2008.
Please also refer to the "Spanish RMBS September 2010 Indices",
which is available on www.moodys.com in the Industry / Sector
Research sub-directory under the Research & Ratings tab.
Moody's Investors Service did not receive or take into account a third-party
due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past six months.
REGULATORY DISCLOSURES
The ratings have been disclosed to the rated entity or its designated
agents and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service 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 the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Madrid
Alberto Barbachano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Milan
Michelangelo Margaria
VP - Senior Credit Officer
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100
Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Correction to Analyst Name and Text, Feb. 23, 2011 Release: Moody's upgrades Hipocat 17's class A RMBS notes; C notes downgraded
No Related Data.
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