London, 27 May 2011 -- Substitute ninth paragraph with the following "The principal methodology
used in this rating was Moody's Approach to Rating RMBS in Europe,
Middle East, and Africa, published in October 2008.
The secondary methodology used in rating Spanish RMBS was Moody's Updated
Methodology for Rating Spanish RMBS, published in July 2008."
Revised release follows.
Moody's Investors Service has today downgraded to Aa1(sf) from Aaa(sf)
the ratings of senior notes in TDA Ibercaja 2, 3, 4 and 5.
A detailed list of the rating actions appears at the end of this press
release.
RATINGS RATIONALE
Moody's downgraded the senior notes in TDA Ibercaja 2, 3,
4 and 5 because of lack of back-up servicing arrangement and insufficient
liquidity to support payments on the rated tranches in the event of servicer
disruption. Today's ratings actions conclude the rating review
of the transactions, following the implementation on 2 March 2011
of Moody's rating guidance entitled "Global Structured Finance Operational
Risk Guidelines: Moody's Approach to Analyzing Performance Disruption
Risk."
Lack of back-up servicing arrangement
Moody's actions reflect the fact that there is no back-up servicer
in place and no trigger to appoint a back-up servicer if the credit
quality of the servicer, Ibercaja (Baa1/P-2), deteriorates.
Although the lack of a back up servicer means that the transactions are
not consistent with our new operational risks guidance, we note
that Titulizacion de Activos (TdA), the management company,
will coordinate the appointment of replacement servicer if the primary
servicer is not able to perform its duties. TdA also acts as an
independent cash manager and will be able to use available funds,
including reserve funds, to support timely payments on the notes
in case of a temporary servicer disruption. In taking its ratings
actions, Moody's has considered the benefit of an independent cash
manager and back-up servicer facilitator to help support continuity
of payment in case of servicer default.
Insufficient liquidity in in TDA Ibercaja 2, 3, 4 and 5
Moody's downgrades reflect the low level of liquidity in the transactions.
All four of the transactions have no liquidity facility, so the
sole source of external liquidity to ensure continuity of payment on the
notes in case of servicer disruption is the reserve funds. The
reserve funds represent currently 0.94%, 1.21%,
1.21% and 0.85% of pool balance for TDA Ibercaja
2, 3, 4 & 5 respectively.
Moody's downgrade of the ratings of the senior notes in TDA Ibercaja 2,3,4
& 5 reflects Moody's view that current liquidity levels in these transactions
are insufficient to support interest payments on the notes in the event
of a servicer disruption. Under the revised operational guidance,
6-9 months of senior interest and costs, approximately equal
to 2% of pool balance, is sufficient for payment continuity
on highly rated securities.
SENIOR RATINGS REMAINING EXPOSED TO IBERCAJA'S RATING
Under the revised operational risks guidance, a downgrade of the
servicer into the Baa3/Ba range will impact the ratings of the senior
notes in the TDA Ibercaja RMBS as there is no trigger in place to appoint
a back-up servicer.
EXPOSURE TO IBERCAJA ACTING AS SWAP COUNTERPARTY
Ibercaja acts as a swap counterparty in TDA Ibercaja 2, 4 &
5. Following Ibercaja's downgrade to Baa1 on 25 March, the
swap agreement requires Ibercaja to seek a replacement or guarantor and
continue posting collateral until a replacement or guarantor is found.
Ibercaja has informed Moody's that Banco Santander (Aa2/P1) will replace
Ibercaja as swap counterparty in the deals, in compliance with the
current Moody's framework (see "Framework for De-Linking Hedge
Counterparty Risks from Global Structured Finance Cash Flow Transactions
Moody's Methodology", published 18 October 2010).
The Operational Risk Guidelines described in this press release complement
the applicable principal methodologies for each asset class. To
identify the primary methodology for each of the asset classes of the
affected transactions, please refer to the index of methodologies
under the research and ratings tab on Moodys.com.
METHODOLOGIES
The principal methodology used in this rating was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa, published
in October 2008. The secondary methodology used in rating Spanish
RMBS was Moody's Updated Methodology for Rating Spanish RMBS, published
in July 2008.
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. The rating agency's ratings address
only the credit risks associated with the transaction. Moody's
has not addressed non-credit risks, which may have a significant
effect on yield to investors.
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.
LIST OF RATING ACTIONS
Issuer: TDA IBERCAJA 2, Fondo de Titulizacion de Activos
....EUR870.3M A Notes, Downgraded
to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TdA Ibercaja 3, Fondo de Titulizacion de Activos
....EUR960M A Notes, Downgraded to Aa1
(sf); previously on Mar 2, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
Issuer: TdA Ibercaja 4, Fondo de Titulizacion de Activos
....EUR250M A1 Certificate, Downgraded
to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR819.4M A2 Certificate,
Downgraded to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
....EUR270.4M A3PAC Certificate,
Downgraded to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: TdA Ibercaja 5, Fondo de Titulizacion de Activos
....EUR150M A1 Certificate, Downgraded
to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR1002M A2 Certificate, Downgraded
to Aa1 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
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.
London
Carole Bernard
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Correction to Text, May 27, 2011 Release: Moody's downgrades ratings on Spanish RMBS senior notes issued by TDA Ibercaja 2, 3, 4 & 5