EUR 1.13 billion of securities rated
Madrid, July 20, 2011 -- Moody's Investors Service has assigned the following provisional ratings
to the debt to be issued by FONCAIXA AUTONOMOS 1, Fondo de Titulizaci?n
de Activos:
....EUR960.5M Serie A Note, Assigned
(P)Aaa (sf)
....EUR169.5M Serie B Note, Assigned
(P)Baa3 (sf)
RATINGS RATIONALE
FONCAIXA AUTONOMOS 1, FTA is a securitization of loans and draw-downs
under lines of credit granted by Caixabank (Aa2/P-1, negative
outlook) to self-employed individuals in Spain. Caixabank
is acting as Servicer of the loans while GestiCaixa S.G.F.T.,
S.A. is the Management Company ("Gestora").
The provisional pool analysed was, as of May 2011, composed
of a portfolio of 33,672 contracts (52.2% of the total
amount being draw-downs from lines of credit) granted to obligors
located in Spain. The assets were originated between 1991 and 2011,
with a weighted average seasoning of 3.2 years and a weighted average
remaining term of 13.8 years. Around 70.4%
of the portfolio is secured by mortgage guarantees over residential and
commercial properties. Geographically, the pool is located
mostly in Madrid (15.8%), Catalonia (14.8%),
Andalusia (12.6%) and the Balearic Islands (10.6%).
Delinquent assets (up to 30 days in arrears) represent around 5.7%
of the provisional portfolio, and this amount will be capped at
a maximum of 10% of the total pool notional at closing.
According to Moody's, this deal benefits from several credit strengths:
(i) there is a swap hedging interest rate risks and guaranteeing 75bps
excess spread; (ii) granular and well diversified pool both geographically
and across industry sectors; (iii) low exposure to the construction
and building industry sector, at 8.6% of the total
amount; and (iv) an up-front funded reserve fund of ?161.6
representing 14.3% of the notes.
Moody's notes that the transaction features a number of credit weaknesses,
including: (a) 52.2% of the total portfolio are draw-downs
under lines of credit, which are flexible products that create uncertainty
about the LTV in those cases when there is an underlying property securing
the credit; (b) 22.2% of the total portfolio is linked
to products that are either currently under grace period or can allow
future grace periods or payment holidays; (c) the portfolio has a
relatively long weighted average life (WAL) of around 8 years which implies
a higher degree of uncertainty regarding the quantitative assumptions.
These characteristics were reflected in Moody's analysis and ratings,
where several sensitivity runs tested the available 29.3%
total credit enhancement (i.e. notes subordination and reserve
fund) for Serie A notes to cover potential shortfalls in interest or principal
envisioned in the transaction structure.
Moody's analysis focused primarily on (i) an evaluation of the underlying
portfolio of loans; (ii) historical performance information and other
statistical information; (iii) the credit enhancement provided via
excess-spread, the cash reserve and the subordination of
the notes.
The resulting key assumptions of Moody's analysis for this transaction
are a mean default rate of 16.88%, and a stochastic
mean recovery rate of 60%.
The principal methodology used in this rating was Moody's Approach to
Rating CDOs of SMEs in Europe, published in February 2007.
Other methodologies used in this rating were Refining the ABS SME Approach:
Moody's Probability of Defaults Assumptions in the Rating Analysis of
Granular SME Portfolios in EMEA, published in March 2009 and Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa, published in June 2007. Please see the Credit
Policy page on http://www.moodys.com for a copy of
these methodologies.
As mentioned in the methodology papers, Moody's used a combination
of its CDOROM model (to generate the default distribution) and ABSROM
cash-flow model to determine the potential loss incurred by the
notes under each loss scenario. In parallel, Moody's also
considered non-modeled risks (such as counterparty risk).
The V Score for this transaction is Medium/High, which is in line
with the score assigned for the Spanish SME sector and representative
of the volatility and uncertainty in the Spanish SME 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. For more information, the V-Score has
been assigned accordingly to the report "V Scores and Parameter Sensitivities
in the EMEA Small-to-Medium Enterprise ABS Sector"
published in June 2009.
Moody's also ran sensitivities around key parameters for the rated notes.
For instance, if the assumed default probability of 16.88%
used in determining the initial rating was changed to 20.88%
and the recovery rate of 60% was changed to 50%, the
model-indicated rating for Series B of (P)Baa3(sf) would have changed
to (P)B1(sf). The model-indicated rating for Series A of
(P)Aaa(sf) would remain unchanged.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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 http://www.moodys.com.
The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
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 in this transaction.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a 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.
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 on our website www.moodys.com for
further information.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Madrid
Gaston Wieder
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Stefan Augustin
VP - Senior Credit Officer
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.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service assigns provisional ratings to the debt to be issued by FONCAIXA AUTONOMOS 1, Fondo de Titulizaci?n de Activos
