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Rating Action:

Moody's Confirms Four Notes in Two Spanish SME ABS Transactions from UNNIM and Caja Laboral

26 Apr 2013

London, 26 April 2013 -- Moody's Investors Service has today confirmed the ratings of three notes issued by GC FTGENCAT CAIXA SABADELL 2, FTA and the senior notes issued by IM CAJA LABORAL EMPRESAS 1, FTA. Sufficient credit enhancement, which protects against sovereign and counterparty risk, primarily drove today's confirmations.

Today's rating action concludes the review for downgrade initiated by Moody's on 02 July 2012. Both affected transactions are Spanish asset-backed securities (ABS) transactions backed by loans to small and medium-sized enterprises (SME). GC FTGENCAT CAIXA SABADELL 2 was originated by Caixa D'Estalvis Manlleu, Sabadell i Terrassa (Unnim, not rated), which was acquired by Banco Bilbao Vizcaya Argentaria, S.A. (BBVA, Baa3/P-3, not on watch) in 2012. IM CAJA LABORAL EMPRESAS 1 is the first SME transaction originated by Caja Laboral Popular Coop. de Credito (Caja Laboral Popular, Ba1 /NP, not on watch) and rated by Moody's in 2011.

See towards the end of the ratings rationale section of this press release for a detailed list of affected ratings.

RATINGS RATIONALE

Today's rating action primarily reflects the availability of sufficient credit enhancement to address sovereign risk and increased counterparty risk. The introduction of new adjustments to Moody's modelling assumptions to account for the effect of deterioration in sovereign creditworthiness, the revision of key collateral assumptions and increased exposure to weakened counterparties have had no effect on the ratings of all classes of notes in both transactions.

The current level of available credit enhancement (100.3% under the Class AG notes, 55.7% under the Class B notes and 33.4% under the Class C notes in GC FTGENCAT CAIXA SABADELL 2; and 52.9% under the Class A notes in IM CAJA LABORAL EMPRESAS 1 as of March 2013) is sufficient to support a rating confirmation at A3 (sf) or Baa3 (sf) for the respective notes.

-- Additional Factors Better Reflect Increased Sovereign Risk

Moody's has supplemented its analysis to determine the loss distribution of securitised portfolios with two additional factors, the maximum achievable rating in a given country (the local currency country risk ceiling) and the applicable portfolio credit enhancement for this rating. With the introduction of these additional factors, Moody's intends to better reflect increased sovereign risk in its quantitative analysis, in particular for mezzanine and junior tranches.

See "Structured Finance Transactions: Assessing the Impact of Sovereign Risk" for a more detailed explanation of the additional parameters. This report is available on www.moodys.com and can be accessed via the following link: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF319988.

The Spanish country ceiling is A3, which is the maximum rating that Moody's will assign to a domestic Spanish issuer including structured finance transactions backed by Spanish receivables. The portfolio credit enhancement represents the required credit enhancement under the senior tranche for it to achieve the country ceiling. By lowering the maximum achievable rating, the revised methodology alters the loss distribution curve and implies an increased probability of high loss scenarios.

Under the updated methodology incorporating sovereign risk on ABS transactions, loss distribution volatility increases to capture increased sovereign-related risks. Given the expected loss of a portfolio and the shape of the loss distribution, the combination of the highest achievable rating in a country for structured finance transactions and the applicable credit enhancement for this rating uniquely determine the volatility of the portfolio distribution, which the coefficient of variation (CoV) typically measures for ABS transactions. A higher applicable credit enhancement for a given rating ceiling or a lower rating ceiling with the same applicable credit enhancement both translate into a higher CoV.

-- Moody's Revises Key Collateral Assumptions

Moody's maintained its default and recovery rate assumptions for both transactions, which it updated on 18 December 2012 (see "Moody's updates key collateral assumptions in Spanish ABS transactions backed by loans to SMEs and leases", http://www.moodys.com/research/Moodys-updates-key-collateral-assumptions-in-Spanish-ABS-transactions-backed--PR_262512). According to the updated methodology, Moody's increased the CoV, which is a measure of volatility.

For GC FTGENCAT CAIXA SABADELL 2, the current default assumption is 26.0% of the current portfolio and the assumption for the fixed recovery rate is 45.0%. Moody's has increased the CoV to 75.0% from 55.0%, which, combined with the mean default probability (DP) and recovery assumptions, corresponds to a portfolio credit enhancement of 37.7%.

For IM CAJA LABORAL EMPRESAS 1, the current default assumption is 14.8% of the current portfolio and the assumption for the fixed recovery rate is 53.0%. Moody's has increased the CoV to 88.0% from 41.5%, which, combined with the mean DP and recovery assumptions, corresponds to a portfolio credit enhancement of 21.5%.

-- Moody's Has Considered Exposure to Counterparty Risk

The conclusion of Moody's rating review also takes into consideration the exposure to weakened counterparties acting either as originator, collection agent, issuer account bank or swap counterparty. The inability of key transaction parties to perform their roles and the difficulty in replacing them increase the risk of payment disruption and performance deterioration in structured finance transactions.

In GC FTGENCAT CAIXA SABADELL 2, Unnim acts as servicer and collection account bank, and transfers collections daily to the treasury account in the name of funds at BBVA. The reserve fund (33.4% of current notes balance as of March 2013) also resides at BBVA and is therefore exposed to the same default risk as BBVA. Moody's concluded that this risk did not have a negative impact on the outstanding ratings.

In IM CAJA LABORAL EMPRESAS 1, Caja Laboral Popular acts as servicer and collection account bank, and transfers collections daily to the treasury account in the name of funds at Banco Popular Espanol, S.A. (Ba1 review for downgrade/NP). The reserve fund (10.3% of current notes balance as of March 2013) is deposited with Banco Popular Espanol. Moody's has incorporated into its analysis the potential default of both counterparties, which could expose the transaction to a commingling loss on the collections and a loss on the reserve fund. The confirmed rating of the notes is consistent with this exposure. In addition, Moody's has been informed that the issuer is in the process of transferring the treasury account to another eligible entity.

Caixabank (Baa3/P-3, not on watch) acts as swap counterparty in GC FTGENCAT CAIXA SABADELL 2. As part of its analysis, Moody's assessed the exposure to the swap counterparty, which in this transaction does not have a negative effect on the rating levels at this time. There is no swap in IM CAJA LABORAL EMPRESAS 1.

-- Other Developments May Negatively Affect the Notes

In consideration of Moody's new adjustments, any further sovereign downgrade would negatively affect structured finance ratings through the application of the country ceiling or maximum achievable rating, as well as potentially increased portfolio credit enhancement requirements for a given rating.

As the euro area crisis continues, the ratings of structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could further negatively affect the ratings of the notes.

Moody's describes additional factors that may affect the ratings in the Request for Comment, "Approach to Assessing Linkage to Swap Counterparties in Structured Finance Cashflow Transactions: Request for Comment", published on 02 July 2012.

In reviewing these transactions, Moody's used ABSROM to model the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the inverse normal distribution assumed for the portfolio default rate. In each default scenario, Moody's calculates the corresponding loss for each class of notes given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss for each tranche is the sum product of the probability of occurrence of each default scenario; and the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios. In the context of the rating review, Moody's has remodeled the transactions and adjusted a number of inputs to reflect the new approach described above.

The methodologies used in these ratings were "Moody's Approach to Rating CDOs of SMEs in Europe", published in February 2007 and "The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines", published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

The revised approach to incorporating country risk changes into structured finance ratings forms part of the relevant asset class methodologies, which Moody's updated and republished or supplemented on 11 March 2013 ("Incorporating Sovereign risk to Moody's Approach to Rating CDOs of SMEs in Europe"), along with the publication of its Special Comment "Structured Finance Transactions: Assessing the Impact of Sovereign Risk".

LIST OF AFFECTED RATINGS

Issuer: GC FTGENCAT CAIXA SABADELL 2

....EUR77.6M AG Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR48M B Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 A3 (sf) Placed Under Review for Possible Downgrade

....EUR24M C Notes, Confirmed at Baa3 (sf); previously on Jul 2, 2012 Baa3 (sf) Placed Under Review for Possible Downgrade

Issuer: IM CAJA LABORAL EMPRESAS 1, FTA

....EUR294.5M A Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

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 these transactions in the past six months.

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.

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.

Frederic?Lautard
Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Carole Gintz
VP - Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Yuezhen Wang
Associate Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
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SUBSCRIBERS: 44 20 7772 5454

Moody's Confirms Four Notes in Two Spanish SME ABS Transactions from UNNIM and Caja Laboral
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