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20 Dec 2010
EUR 900 million of rated debt securities affected
Madrid, December 20, 2010 -- Moody's Investors Service has today assigned definitive credit ratings
to the following classes of notes issued by AyT Colaterales Global Hipotecario
Caixa Galicia I, FTA:
....EUR826.2M Class A Mortgage Backed
Floating Rate Notes due 2047 Assigned Aaa (sf)
....EUR36.9M Class B Mortgage Backed
Floating Rate Notes due 2047, Assigned Baa2 (sf)
....EUR21.6M Class C Mortgage Backed
Floating Rate Notes due 2047, Assigned Ba3 (sf)
....EUR15.3M Class D Mortgage Backed
Floating Rate Notes due 2047, Assigned Ca (sf)
The ratings of the notes takes into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Aaa Credit Enhancement and the portfolio expected loss, as
well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis. The expected portfolio loss of 3.00%
and the MILAN Aaa required Credit Enhancement of 11.00%
served as input parameters for Moody's cash flow model, which is
based on a probabilistic lognormal distribution as described in the report
"The Lognormal Method Applied to ABS Analysis", published in September
The key drivers for the MILAN Aaa Credit Enhancement number, which
is in line with other prime Spanish RMBS deals, are (i) the weighted-average
current LTV of 70.83%, with 33.29% of
loans above 80% LTV, (ii) the high geographical concentration
(Galicia represents 42%) and (iii) the weighted average seasoning
of 4.97 years.
The key drivers for the expected loss are (i) the performance for this
transaction since closing in March 2008, which is better than the
average reported in the Spain index, (ii) the static historical
information on delinquencies and recoveries received from the originator
for its global mortgage book and (iii) the weak economic conditions in
Spain. Given the historical performance of the transaction and
the originator's mortgage book, Moody's believes the assumed expected
loss is appropriate for this transaction.
The strengths of the structure are (i) a reserve fund fully funded upfront
equal to 2.45% of the initial notes balance (it currently
represents 3.18% of the outstanding balance of the notes)
to cover potential shortfall in interest and principal, and (ii)
a strong interest rate swap in place which provides a guaranteed excess
spread (0.50%) above Euribor to the transaction.
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
classes of notes A, B and C by the legal final maturity, and
payment of interest and principal with respect of the class of notes D
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
The transaction closed in March 2008 and was initially not rated by Moody's.
The initial notes balance issued at closing (shown above next to the assigned
rating) amounted to EUR 900 million. The outstanding notes balance
as of the last payment date in July 2010 amounts to EUR 693 million.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in July 2010. The next payment date
will take place in January 2011.
The V Score for this transaction is Medium, which is in line with
the V score assigned for the Spanish RMBS sector. Only two sub
components underlying the V Score deviate from the average for the Spanish
RMBS sector. The Sector's Historical Downgrade Rate and Transaction
Complexity are assessed as Medium, which are higher than the Low/Medium
V score assigned for the Spanish RMBS sector for those sub components.
This is due to the exposure of the transaction to HLTV's which have suffered
more downgrades than traditional mortgages pools in recent years and because
HLTV loans are more exposed to house price declines. V-Scores
are a relative assessment of the quality of available credit information
and of the degree of dependence on various assumptions used in determining
the rating. High variability in key assumptions could expose a
rating to more likelihood of rating changes. The V-Score
has been assigned accordingly to the report "V-Scores and Parameter
Sensitivities in the Major EMEA RMBS Sectors" published in April 2009.
Moody's Parameter Sensitivities: the model output indicated that
Class A would have achieved Aaa even if expected loss was as high as 9.0%
(3.0x base case) assuming Milan Aaa CE at 11.0% (base
case) and all other factors remained the same. Classes B,
C and D would have achieved
The model output further indicated that the Class A would not have achieved
Aaa with Milan Aaa CE of 13.2% (1.2x base case),
and expected loss of 3.0% (base case). Classes B,
C and D would have achieved Baa3, Ba3 and
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in this rating were Moody's updated methodology
for rating Spanish RMBS published in October 2009 and Cash Flow Analysis
in EMEA RMBS: Testing Structural Features with the MARCO Model (Moody's
Analyser of Residential Cash Flows) published in January 2006.
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.
Moody's Investors Service received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence reports had a neutral impact
on the rating.
The rating has 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 rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
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.
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Moody's Investors Service assigns definitive credit ratings to Spanish RMBS notes issued by AyT Colaterales Global Hipotecario Caixa Galicia I, FTA:
Barbara de Braganza, 2
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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