Madrid, March 18, 2011 -- Moody's Investors Service announced today that it has downgraded the rating
of all notes issued by AyT Hipotecario Mixto III FTA. A detailed
list of the rating actions is provided at the end of this press release.
Moody's placed on review class B note in November 2009 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" methodology
published on March 2nd.
RATINGS RATIONALE
Today's rating action concludes the review and takes into consideration
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 rating action also considers
the credit quality of Caja de Ahorros de Granada and Credifimo that are
acting as servicers in the transaction.
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.
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 January 2011, cumulative write-offs
rose to 2.66% of the original pool balance. The share
of 90+ day arrears stood at 2.17% of current pool balance.
The reserve funds is almost fully depleted. 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 2.80% of original
pool balance up from 0.78%.
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 15%, up from 6.20% at closing. The
increase in the MILAN Aaa CE reflects the exposure to broker origination
and non Spanish nationals.
Operational Risk:
Caja de Ahorros de Granada and Credifimo are unrated servicers.
Moody's takes into consideration the low credit quality of both
entities in today's rating action. Moody's notes that this transaction
is exposed to operational risk as there is no back-up servicer
and there is not sufficient liquidity in case of a servicer disruption.
The reserve fund is not fully funded (35% of the target).
As a result the operational risk is the main driver of the rating action
on class A 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 III closed in April 2005. The transactions
is backed by portfolios of first-ranking mortgage loans originated
by Caja de Ahorros de Grananda y Credifimo secured on residential properties
located in Spain, for an overall balance at closing of EUR 370.0
million. The securitized mortgage portfolio benefit from a relatively
low weighted average LTV, currently about 62%. Credifimo
is a specialized lender focused on low credit quality debtors.
The origination process in Credifimo is mainly carried out via real estate
agents.
Reserve fund: The reserve fund is not fully funded. The rapidly
increasing levels of write-offs ultimately resulted in draws to
the reserve fund.
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 de Cajas de Ahorro (CECA
Aa3 under review for possible downgrade /P1) 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 III FTA, new issue reports. Both reports are available
on www.moodys.com.
The principal 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 III Fondo de Titulizacion de Activos
....EUR342.2M A Certificate,
Downgraded to A3 (sf); previously on Mar 2, 2011 Aaa (sf) Placed
Under Review for Possible Downgrade
....EUR27.8M B Certificate, Downgraded
to Caa1 (sf); previously on Nov 30, 2009 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 purpose 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
London
Barbara Rismondo
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.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service downgrades Spanish RMBS notes issued by AyT Hipotecario Mixto III FTA.