EUR 524.4 million of rated debt securities affected
Frankfurt am Main, February 28, 2011 -- Moody's Investors Service has today assigned provisional credit ratings
to the following class of notes issued by IM CAJA LABORAL 2, FTA:
....EUR524.4M Class A (P) Aaa (sf)
RATINGS RATIONALE
The rating of the notes takes into account the credit quality of the underlying
mortgage loan pool, from which Moody's determined the MILAN Aaa
Credit Enhancement and the portfolio expected loss. The expected
portfolio loss of 4% and the MILAN Aaa required Credit Enhancement
of 16.5% served as input parameters for Moody's cash flow
model, which is based on a probabilistic lognormal distribution
as described in the report "The Lognormal Method Applied to ABS Analysis",
published in September 2000.
The key drivers for the MILAN Aaa Credit Enhancement , which is
in line with other prime Spanish RMBS transactions, are the high
weighted-average current LTV of 86%, with 80%
of loans above 80% LTV and the high geographical concentration
of the portfolio (44%) in the Basque Country, which is however
mitigated by the high weighted average seasoning of the pool of 4.6
years.
The key drivers for the expected loss, which is below other High
LTV Spanish transactions, are the stable performance of this transaction
since closing in June 2008 and the historical information on delinquencies,
defaults and recoveries received from the originator, which is however
counterbalanced by the expected higher volatility for High LTV loans and
the overall weak economic conditions in Spain.
The strengths of the structure are (i) a reserve fund that currently represents
4.05% of the outstanding balance of the notes to cover potential
shortfalls in interest and principal, and (ii) a swap in place which
hedges the interest rate risk.
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 to the
class A 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.
The outstanding note balance as of the last payment date in January 2011
amounts to EUR 450.1 million. Moody's rating analysis of
the notes is based on the transaction structure after the last payment
date in January 2011. The next payment date will take place in
April 2011.
The V Score for this transaction is Medium which is in line with the V
score assigned for the Spanish RMBS sector. Only three sub components
underlying the V Score deviate from the average of the Spanish RMBS sector.
The Sector's Historical Downgrade Rate, Transaction Complexity and
Experience of Parties are assessed a Medium which is higher than the Low/Medium
V score assigned for the Spanish RMBS sector for those sub components.
This is due to the exposure of the transaction to High LTV's which have
suffered more downgrades than traditional mortgages pools in the recent
past and because High LTV loans are more exposed to house price declines.
In addition, Caja Laboral, which is the originator and servicer,
has limited previous securitisation experience.
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. High variability in key assumptions
could expose a rating to more likelihood of rating changes. The
V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: The model output indicated that
Class A would have achieved Aaa even if the expected loss was as high
as 12.0% (3.0x base case) assuming Milan Aaa CE at
16.5% (base case) and all other factors remained the same.
The model output further indicated that the Class A would not have achieved
Aaa with Milan Aaa CE of 19.8% (1.2x base case) and
an expected loss of 4.0% (base case).
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the transaction
has not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in rating the notes were Moody's updated
methodology for rating Spanish RMBS published in October 2009 and Cash
Flow Analysis in EMEA RMBS: Testing Structural Features with the
MARCO Model (Moody's Analyser of Residential Cash Flows) published in
January 2006. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found on Moody's
website.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
The reports mentioned above are available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website. Additional
research, including the new issue report for this transaction is
also available at www.moodys.com.
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.
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, parties not involved in the ratings,
public information, 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 assigning
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 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.
Frankfurt am Main
Olimpia da Silva
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns provisional ratings to Spanish RMBS notes issued by IM CAJA LABORAL 2, FTA
