EUR 399.9 million of rated debt securities affected
Madrid, December 10, 2010 -- Moody's Investors Service has today assigned provisional credit ratings
to the following classes of notes issued by AyT Colaterales Global Hipotecario
Caja Granada I, FTA
(P) Aa2 (sf) to the Euro 369,100,000 Class A Mortgage Backed
Floating Rate Notes due 2047
(P) Ba1 (sf) to the Euro 18,000,000 Class B Mortgage Backed
Floating Rate Notes due 2047
(P) Caa3 (sf) to the Euro 8,000,000 Class C Mortgage Backed
Floating Rate Notes due 2047
(P) C (sf) to the Euro 4,800,000 Class D Mortgage Backed Floating
Rate Notes due 2047
RATINGS RATIONALE
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
2000.
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 68.74%, with 24.19% of
loans above 80% LTV, (ii) the high geographical concentration
(Andalusia represents 86%) and (iii) the weighted average seasoning
of 5.01 years.
The key drivers for the expected loss are (i) the already available performance
for this very same transaction, which is worse 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 1.50% of the initial notes balance (it currently
represents 1.60% 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 (0.60%) 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 and B by the legal final maturity, and payment
of interest and principal with respect of the classes of notes C and 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
to investors.
The transaction closed in December 2007 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 399.9 million.
The outstanding notes balance as of the last payment date in November
2010 amounts to EUR 294.3 million.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in November 2010. The next payment
date will take place in May 2011.
The V Score for this transaction is Medium, which is in line with
the V score assigned for the Spanish RMBS sector. No sub components
underlying the V Score deviate from the average for the Spanish RMBS sector.
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 Aa2 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 <B3 for this same scenario.
The model output further indicated that the Class A would not have achieved
Aa2 with Milan Aaa CE of 15.4% (1.4x base case),
and expected loss of 3.0% (base case). Classes B,
C and D would have achieved Ba1, <B3 and <B3 respectively
for this same scenario.
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.
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 report had a neutral impact
on the rating.
REGULATORY DISCLOSURES
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
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. 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 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
Mario Tarin
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Annabel Schaafsma
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.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service assigns provisional ratings to Spanish RMBS notes issued by AyT Colaterales Global Hipotecario Caja Granada I, FTA
