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Moody's: First-Time Published Spanish SME ABS Default and Loss Performance Indicators consistent with current rating assumptions

17 Dec 2010

Spanish SME Indices -- October 2010

Frankfurt am Main, December 17, 2010 -- The performance of Spanish securitisation transactions backed by loans to small and medium-sized enterprises (SME ABS) continued its stable trend during October 2010, according to the latest indices published by Moody's Investors Service. In October 2010, the weighted-average 90-360 day delinquency trend was stable at 1.85%, well below its 2.61% level on year earlier in October 2009 and its 2.93% peak of May 2009. Cumulative defaults increased gradually to 1.57%, compared with 1.51% in September 2010. The annualised constant prepayment rate (CPR) remained close to its lowest historical levels at 6.23%.

For the first time, the new Index report displays the Loss Performance Indicator (LPI) and Default performance Indicator (DPI) values. These measures were first introduced and commented upon in a Credit Insight article published on 15 November 2010 (see link attached, below). The DPI is provided -- if cumulative 90 day delinquency values are available -- and compares actual cumulative 90 day arrears with our mean default hypothesis. The LPI makes the conservative assumption that all the amounts due and unpaid for more than 90 days (written-off or not) can be considered as lost.

Unlike the DPI, the LPI can be calculated for all Moody's-rated Spanish ABS SME transactions (our loss assumptions are derived from our mean default and recovery assumptions) and it takes into account recovery, as well as default data. For 78 outstanding transactions with available LPI data, two thirds (55 transactions) show a value below 100%. This indicates that performance is in line with our expectations for these transactions. The transactions showing a LPI exceeding 150% have been reviewed in the course of the past year. For these transactions, LPI values are kept high by the stocks of delinquencies and outstanding defaults on which recoveries are still expected to materialise.

We note that the linear default timing implied in the LPI and DPI differs from the front-loaded default timing assumption actually used for recent transaction reviews (assuming that most defaults will occur in the short term, during the crisis). While LPI below 100% generally indicates performance in line with expectations (or better than expected), LPIs between 100% and 150% are therefore not necessarily a sign of worse-than-expected performance in the current context.

On 2 December, Moody's upgraded senior notes issued by FTPYME TDA BANCA MARCH. On 16 November, Moody's had already upgraded notes issued by GC FTGENCAT II.

Despite the stabilisation in delinquency performance for Spanish SME transactions, the reserve funds in 61 transactions are currently below their target levels. Of these, seven transactions (BBVA 5 FTPYME, FTA; BBVA 6 FTPYME, FTA; FTPYME BANCAJA 3, FTA; GAT FTGENCAT 2007, FTA; GC FTPYME PASTOR 4, FTA; PYME VALENCIA 1, FTA and SANTANDER EMPRESAS 4, FTA) have fully drawn down their reserve fund and recorded principal deficiencies.

As of October 2010, a total of 88 Spanish SME ABS transactions rated by Moody's were outstanding, with an outstanding portfolio balance of EUR41.3 billion, compared with EUR48.9 billion as of October 2009. There have been two new issuances since November 2010: FONCAIXA EMPRESAS 2, FTA serviced by la Caixa and TDA FTPYME PASTOR 9, FTA by Banco Pastor.

Moody's indices are published mid-month and can be found on www.moodys.com in the Structured Finance sub-directory under the Research & Ratings tab, under the Structured Indices sub-category of Industry/Sector Research.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of its website, at www.moodys.com/SFQuickCheck.

CreditInsight article published 15 November 2010:

http://v3.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF225570

Spanish SME Indices - October 2010:

http://v3.moodys.com/viewresearchdoc.aspx?docid=PBS_SF229481

* * * * *

NOTE TO JOURNALISTS ONLY: For more information please contact EMEA Press Information in London +44-20-7772-5456; New York Press Information +1-212-553-0376; Juan Pablo Soriano in Madrid +34-91-310-1454; Alex Cataldo in Milan +39-02-914-81-100; Eric de Bodard in Paris +33-1-5330-1020; Detlef Scholz in Frankfurt +49-69-707-30-700; Mardig Haladjian in Limassol +357-25-586-586; Alex Sazhin in Moscow +7-495-228-60-60; Petr Vins in Prague +4202 2422 2929; Tokyo Press Information +813-5408-4110; Hilary Parkes in Toronto +1-416-214-1635; Hong Kong Press Information +852 3758 1350; Hector Lim in Sydney +612 9270 8102; Luiz Tess in São Paulo +5511-3043-7300; Alberto Jones Tamayo in Mexico City +5255-1253-5700; Daniel Rúas in Buenos Aires +54 11-4816-2332 ext. 105; Leon Claassen in Johannesburg +27-11-217-5470; Jehad el-Nakla in Dubai +971 4 237 9536; or visit our web site at www.moodys.com

Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt am Main
Ludovic Thebault
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
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SUBSCRIBERS: 44 20 7772 5454

Moody's Deutschland GmbH
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SUBSCRIBERS: 44 20 7772 5454

Moody's: First-Time Published Spanish SME ABS Default and Loss Performance Indicators consistent with current rating assumptions
No Related Data.
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