Approximately €364 Million of Debt Securities Affected.
Madrid, March 31, 2011 -- Moody's Investors Service announced today that it has downgraded the rating
of Class A and C notes and has confirmed the rating of the B notes issued
by TdA 23 FTA. A detailed list of the rating actions is provided
at the end of this press release.
The ratings of all rated notes were placed on review for possible downgrade
in November 2009 due to the worse than expected performance of the collateral.
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 Banco Guipuzcoano (Not Rated) Caixa d'Estalvis de
Catalunya, Tarragona i Manresa ("CatalunyaCaixa") (Ba1/NP)
and Banca March (Baa1/P-2) 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 1.99% of the original pool balance. The share
of 90+ day arrears stood at 1.43% of current pool balance.
The reserve funds has been drawn and currently stands at 90% of
the target level. 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 1.10% of original
pool balance up from 0.45%.
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
for 7.50%, up from 4.00% at closing.
The increase in the MILAN Aaa CE reflects the exposure to broker origination,
non Spanish nationals and the concentration in coastal areas. In
addition 13% of the portfolio correspond to second homes.
Moody's believes that loans backed by vacation homes or not owner
occupied are riskier than loans taken for the acquisition of primary residence.
In addition, 13% of the portfolio correspond to self employed.
Credit enhancement under the Class A (including subordination and reserve
fund) is 8.85%.
Operational Risk:
Caixa Tarragona is now part of Caixa d'Estalvis de Catalunya, Tarragona
i Manresa ("CatalunyaCaixa") (Ba1/NP). The new entity,
CatalunyaCaixa, has been operative since 1 July 2010. Moody's
was informed that the servicing of Caixa Tarragona's mortgage portfolio
is to be transferred to Caixa Catalunya's servicing platform. Banco
Guipuzcoano (Not Rated) was acquired by Banco Sabadell (A3/P-2).
Banca March is Baa1/P-2. Moody's takes into consideration
the credit quality of the entities in today's rating action. Moody's
notes that this transaction is exposed to operational risk as a portion
of the portfolio is serviced by a lowly rated servicer and there is no
back-up servicer in place. As a result, the operational
risk is the driver of the rating action on Class A notes. Moody's
notes that 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 timely payment of interest under the notes (single waterfall).
For this reason, today's rating action on the senior notes is limited
to one notch.
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
TdA 23 closed in March 2005. The transactions is backed by portfolios
of first-ranking mortgage loans originated by Banca March,
Banco Guipuzcoano and Caixa Tarragona and secured on residential properties
located in Spain, for an overall balance at closing of EUR 860 million.
The securitized mortgage portfolio benefit from a relatively low weighted
average LTV, currently about 55%. The pool is fairly
exposed to the Mediterranean coast. 13% of the portfolio
correspond to second homes and 14% are non owner occupied.
Reserve fund: The rapidly increasing levels of defaulted loans ultimately
resulted in draws to the reserve fund. The reserve fund is currently
at 90% of its target. The reserve fund is currently equal
to 2.57 % of the note balance.
Swap: Another source of liquidity in the transaction is the interest
rate swap. According to the swap agreement entered into between
the Fondo and HSBC Bank Plc and Credit Agricole ("swap counterparties"),
on each payment date:
• The fondo will pay the interest actually received from the loans
• Swap counterparties will pay 3 months Euribor plus the weighted
average coupon plus 55 bps over a notional of equal to the outstanding
amount of the notes
Commingling: All of the payments under the loans in Banco Guipuzcoano
(N.R) pool are collected by the servicer under a direct debit scheme
and transferred to the reinvestments account held at Banco Guipuzcoano
(Guaranteed by Banco Sabadell A3/P-2) on a weekly basis.
Collections are then transferred to the treasury account held at Banco
Santander (Aa2/P-1) every three months. All of the payments
under the loans in Banca March (Baa1/P-2) pool are collected by
the servicer under a direct debit scheme and transferred to the reinvestments
accounts held at Banca March on a weekly basis. Collections are
then transferred to the treasury account held at Banco Santander (Aa2/P-1)
every three months. The trigger to find a suitable rated guarantor
or substitute on the reinvestment accounts has been hit in both servicers.
Moody's have been informed that both entities are currently looking
for a suitable rated guarantor or substitute. The commingling risk
has been taken into account in the review of the transaction.
For details on the deal structure, please refer to the TdA 23 FTA
new issue reports. Reports is 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: TdA 23 FONDO DE TITULIZACIÓN DE ACTIVOS
....EUR837.2M A Notes, Downgraded
to Aa1 (sf); previously on Nov 30, 2009 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR16.3 M B Notes, Confirmed
A2 (sf); previously on Nov 30, 2009 A2 (sf) Placed Under Review
for Possible Downgrade
....EUR6.5M C Notes, Downgraded
to Ba1 (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 takes action on Spanish RMBS notes issued by TdA 23 FTA
