Madrid, January 27, 2011 -- Moody's Investors Service has today assigned provisional ratings to the
following notes to be issued by MBSCAT 3 FTA:
(P)Aaa (sf) to the EUR 1,535,000,000 notes due 2054
RATINGS RATIONALE
The ratings of the notes take 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 6.5% of original balance
of the portfolio at closing and the MILAN Aaa required Credit Enhancement
of 19.5% 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 higher than MILAN Aaa Credit Enhancement in other Spanish RMBS transactions,
are (i) 32.5% of the pool are flexible mortgages,
(ii) 18.6% of the pool are self employed, (iii) 14.6%
of the pool are second homes, (iv) non residential properties represent
5.2% of the portfolio and (v) the high concentration in
Catalonia region (67.1%).
The key drivers for the portfolio expected loss are (i) the performance
of flexible loans, (ii) performance of previous Catalunya Caixa
deals with similar pool composition, and (iii) the higher volatility
on non residential property prices. The assumed expected loss corresponds
to an assumption of approximately 17% cumulative default rate in
the portfolio (assuming recovery is realised with a lag after the default).
Moody's believes the assumed expected loss is appropriate for this transaction.
The ratings address 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 ultimate payment of
principal at par on or before the rated final legal maturity date.
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 notes are backed by a pool of prime Spanish mortgages granted to individuals
(by Catalunya Caixa (A3, Prime-2 on review for possible downgrade).
The properties are mainly residential (94.73%), with
the remaining part being commercial and garages properties. At
closing the mortgage pool balance will consist of approximately EUR 2
billion mortgage loans. The reserve fund will be funded at 4.25%
of the total outstanding pool. The reserve fund will not amortise
during the life of the deal. The reserve fund will only be used
to pay senior fees and interest shortfalls on the notes during the life
of the deal, and principal and interest at legal final maturity.
The V Score for this transaction is Medium, which is in line with
the V score assigned for the Spanish RMBS sector. Only three sub-components
underlying the V Score have been assessed higher than the average for
the Spanish RMBS sector. Issuer/Sponsor/Originator's historical
performance variability is Medium/High, which is higher than the
Medium V score assigned for the Spanish RMBS sector for this sub-component
because Catalunya Caixa's default rates have recently significantly deteriorated,
which can be attributed to the proportion of flexible loans. The
disclosure of securitisation performance and transaction complexity are
also assessed as Medium, which are higher than the Low/Medium V
score assigned for the Spanish RMBS sector for those sub-components.
Investor reports do not include information on cumulative 90 days delinquencies
and recoveries. Transaction complexity is higher than the market
because the product being securitised are flexible mortgages with high
LTV (HLTV). HLTV loans are more exposed to house price declines
and there is no hedging for the interest rate risk.
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: At the time the rating was assigned,
the model output indicated that Class A notes would have achieved a Aaa
even if the expected loss was as high as 10.40% assuming
MILAN Aaa CE as high at 19.5% and all other factors were
constant.
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 Approach
to Rating Spanish RMBS published in July 2008, Cash Flow Analysis
in EMEA RMBS: Testing Features with the MARCO Model (Moody's Analyser
of Residential Cash Flows) published in January 2006, A Framework
for Stressing House Prices in RMBS Transactions in EMEA published in July
2008, V Scores and Parameter Sensitivities in the Major EMEA RMBS
Subsectors published in April 2009, and Moody's Enhanced Approach
to Originator Assessments in EMEA RMBS Transactions published in October
2009. 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 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.
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
Alberto Barbachano
Vice President - Senior 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 to be issued by MBSCAT 3 FTA:
