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I AGREE
25 Mar 2011
EUR 1.4 billion of securities rated
Madrid, March 25, 2011 -- Moody's Investors Service has assigned the following definitive ratings
to the debt issued by FONCAIXA EMPRESAS 3, Fondo de Titulización
de Activos:
....EUR300M Serie A1 Note, Assigned
Aaa (sf)
....EUR820M Serie A2 Note, Assigned
Aaa (sf)
....EUR280M Serie B Note, Assigned B2
(sf)
RATINGS RATIONALE
FONCAIXA EMPRESAS 3, FTA is a securitization of draw-down
under lines of credit and loans granted to micro, small-
and medium-sized enterprises (SME) and corporate entities by "la
Caixa" (Aa2/P-1 Negative Outlook). "la Caixa" is acting
as Servicer of the loans while GestiCaixa S.G.F.T.,
S.A. is the Management Company ("Gestora").
The pool of underlying assets was, as of January 2011, composed
of a portfolio of 13,630 contracts (25% of the total amount
being draw-downs from lines of credit) granted to obligors located
in Spain. The assets were originated between 1997 and 2011,
with a weighted average seasoning of 1.9 years and a weighted average
remaining term of 10.5 years. Around 54% of the portfolio
is secured by mortgage guarantees over different types of properties.
Geographically, the pool is located mostly in Madrid (25.9%)
and Catalonia (22.6%). At closing, certain
loans may be in arrears for up to 30 days, and these are capped
at a maximum of 10% of the total pool notional.
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) well diversified pool allover Spain; and
(iii) an up-front funded reserve fund of €147,700,000
representing 10.55% of the notes.
Moody's notes that the transaction features a number of credit weaknesses,
including: (a) according to Moody's industry classification there
is 33% exposure to the Construction and Building sector; (b)
high concentration with the top 10 single debtors representing around
15% of the portfolio; (c) 25% of the total portfolio
are draw-downs under lines of credit, which are flexible
products that creates uncertainty in the LtV.
These characteristics were reflected in Moody's analysis and ratings,
where several simulations tested the available 30.55% total
credit enhancement (i.e. notes subordination and reserve
fund) for Series 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 14.31%, and a stochastic
mean recovery rate of 57%.
The principal methodologies used in this rating were Refining the ABS
SME Approach: Moody's Probability of Default assumptions in the
rating analysis of granular Small and Mid-sized Enterprise 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.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
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 14.31%
used in determining the initial rating was changed to 21.53%
and the recovery rate of 57% was changed to 37%, the
model-indicated rating for Series A2 and Series B of Aaa(sf) and
B2(sf) would have changed to A3(sf) and Caa2(sf). Series A1 Aaa(sf)
rating would have remain unchanged.
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, public information, and confidential
and proprietary Moody's Investors Service information.
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on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
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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
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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
Javier Hevia Portocarrero
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt am Main
Thorsten Klotz
MD - Structured Finance
Structured Finance Group
Moody's Deutschland GmbH
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 assigns definitive ratings to the notes issued by FONCAIXA EMPRESAS 3, Fondo de Titulización de Activos
No Related Data.
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