Approximately €406.0 Million of Debt Securities Affected.
Madrid, May 13, 2011 -- Moody's Investors Service announced today that it has downgraded the rating
of all notes issued by AyT Hipotecario Mixto V FTA. A detailed
list of the rating actions is provided at the end of this press release.
Moody's placed on review class C note in February 2011 due to worse
than expected collateral performance. Class A notes was placed
on review on the 2nd of March 2011 following the assessment of the transaction
under the Moody's "Global Structured Finance Operational Risk Guidelines:
Moody's Approach to Analyzing Performance Disruption Risk" rating implementation
guidance published on March 2nd.
RATINGS RATIONALE
Today's rating action is driven mostly by the worse-than-expected
performance of the collateral. It also reflects Moody's negative
sector outlook for Spanish RMBS and the weakening of the macro-economic
environment in Spain, including high unemployment rates.
The ratings of the notes take into account the credit quality of the underlying
mortgage loan pools, from which Moody's determined the MILAN Aaa
Credit Enhancement (MILAN Aaa CE) and the lifetime losses (expected loss),
as well as the transaction structure and any legal considerations as assessed
in Moody's cash flow analysis. The expected loss and the Milan
Aaa CE are the two key parameters used by Moody's to calibrate its loss
distribution curve, used in the cash flow model to rate European
RMBS transactions.
Also Moody's reviewed the ratings in light of the new rating implementation
guidance "Global Structured Finance Operational Risk Guidelines:
Moody's Approach to Analyzing Performance Disruption Risk" published on
March 2nd 2011.
Portfolio Expected Loss:
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance to date, as well as the current macroeconomic
environment in Spain. In March 2011, cumulative write-offs
rose to 0.56% of the original pool balance. The share
of 90+ day arrears stood at 1.58% of current pool balance.
The reserve fund is fully funded. Moody's expects the portfolio
credit performance to be under stress, as Spanish unemployment remains
elevated. The rating agency believes that the anticipated tightening
of Spanish fiscal policies is likely to weigh on the recovery in the Spanish
labour market and constrain future Spanish households finances.
Moody's also has concerns over the timing and degree of future recoveries
in a weaker Spanish housing market. On the basis of Moody's negative
sector outlook for Spanish RMBS, the rating agency has updated the
portfolio expected loss assumption to 1.4% of original pool
balance up from 0.66%.
MILAN Aaa CE:
Moody's has assessed the loan-by-loan information to determine
the MILAN Aaa CE. Moody's has increased its MILAN Aaa CE assumptions
to 11%, up from 5.27% at closing. The
increase in the MILAN Aaa CE reflects the exposure to broker origination
and non Spanish nationals.
Operational Risk:
Caixa d'Estalvis Comarcal de Manlleu (now part of Unimm),
Caja de Ahorros de Grananda (now part of Mare Nostrum), and Caja
de Ahorros y Monte de Piedad de Navarra (now part of Banca Civica) are
unrated servicers. Moody's notes there is no back up servicer in
place. This is a multi-servicer transaction, which
partly mitigates servicer disruption risk. If a servicer were to
default, the fondo could use the principal received from any of
the other two servicers to make payment of interest under the notes as
the transaction as single cash flow waterfall to allocate collections
from all servicers. Under the "Global Structured Finance Operational
Risk Guidelines: Moody's Approach to Analyzing Performance Disruption
Risk" rating implementation guidance published on March 2nd, the
structure of the transaction is compatible with the A3 rating on the senior
notes.
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
notes 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.
TRANSACTION FEATURES
AyT Hipotecario Mixto V closed in July 2006. The transactions is
backed by portfolios of first-ranking mortgage loans originated
by Caixa d'Estalvis Comarcal de Malleu, Caja de Ahorros de
Grananda, and Caja de Ahorros y Monte de Piedad de Navarra secured
on residential properties located in Spain, for an overall balance
at closing of EUR 6750.0 million. The securitized mortgage
portfolio benefit from a relatively low weighted average LTV, currently
about 67%.
Reserve fund: The reserve fund is fully funded. Represents
1.41% of the current outstanding amount of the notes
Commingling: All of the payments under the loans in this pool are
collected by the servicers under a direct debit scheme and are paid directly
into collection account, which are accounts at each servicer.
Cash in the collections accounts is transferred by the servicers into
the treasury account held at Confederación Española de Cajas
de Ahorro (CECA A1/P-1) on a weekly basis. The commingling
risk has been taken into account in the review of the transaction .
For details on the deal structure, please refer to the AyT Hipotecario
Mixto V FTA, new issue reports. Reports are available on
www.moodys.com.
The principal methodology used in this rating was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa published in
October 2008.
Other methodologies used in this rating were Moody's Updated Methodology
for 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, Moody's
Approach to Automated Valuation Models in Rating UK RMBS published in
August 2008, A Framework for Stressing House Prices in RMBS Transactions
in EMEA published in July 2008 and Global Structured Finance Operational
Risk Guidelines: Moody's Approach to Analyzing Performance
Disruption Risk published in March 2011.
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments related to the monitoring of this transaction in the past
six months.
LIST OF RATINGS ACTIONS
Issuer: AyT HIPOTECARIO MIXTO V
....EUR649.4M A Certificate,
Downgraded to A3 (sf); previously on Mar 2, 2011 Aaa (sf) Placed
Under Review for Possible Downgrade
....EUR12.2M B Certificate, Downgraded
to Ba2 (sf); previously on Jul 18, 2006 Definitive Rating Assigned
A1 (sf)
....EUR13.4M C Certificate, Downgraded
to B3 (sf); previously on Feb 8, 2011 Baa3 (sf) Placed Under
Review for Possible Downgrade
REGULATORY DISCLOSURES
The ratings have 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 ratings 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 maintaining
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
Paris
Annick Poulain
MD - Structured Finance
Structured Finance Group
Moody's France SAS
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SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara
131
6 Planta
Madrid 28002
Spain
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Moody's Investors Service downgrades Spanish RMBS issued by AyT Hipotecario Mixto V FTA
