EUR 530 million of rated debt securities affected
Madrid, March 01, 2011 -- Moody's Investors Service has today assigned provisional ratings to the
notes issued by IM Bankoa MBS 1 FTA:
....EUR492.9M A Notes, Assigned
(P)Aaa (sf)
....EUR21.2M B Notes, Assigned
(P)A3 (sf)
....EUR15.9M C Notes, Assigned
(P)Ba2 (sf)
RATINGS RATIONALE
The ratings of the notes take 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.
Moody's analysed the portfolio based upon two sub-pools factoring
the debtor characteristics (individuals & SME). For the SME
subpool (9.8% of the outstanding pool), Moody's derived
its default distribution using its ABS SME approach, based on the
default probability contribution of each single borrower, and the
correlation among the different industries represented in the portfolio.
For the RMBS subpool, Moody's ran its MILAN analysis for RMBS.
Moody's combined the loss distributions for the subpools in its cashflow
analysis assuming 100% correlation between both pools.
The expected portfolio loss of 4.4% of the current portfolio
balance and the MILAN Aaa Credit Enhancement of 15.0% served
as input parameters for Moody's cash flow model, which was 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 number, which
is higher than MILAN Aaa Credit Enhancement in Spanish RMBS transactions,
are (i) 9.8% of the portfolio are loans granted to SMEs,
(ii) the relatively low pool granularity, with the top 20 borrowers
representing 6.0% of the portfolio, (iii) non residential
properties represent 11.1% of the portfolio and (iv) the
very high concentration in the Basque Country region (86.6%).
The key drivers for the portfolio expected loss which is in line with
similar transactions are (i) the performance of mortgage loans granted
to individuals and SMEs in the sellers' book, and (ii) the expected
higher volatility on non residential property prices. The assumed
expected loss corresponds to an assumption of approximately 12.5%
cumulative default rate in the portfolio.
The ratings address 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.
The transaction closed in June 2009 and was initially not rated by Moody's.
The initial amount of the Class A notes issued at closing was EUR492.9
million. The outstanding Class A balance as of the last payment
date in December 2010 is approximately EUR430.
The Reserve Fund was initially funded at 5.0% of the portfolio
amount as of closing. The Reserve Fund is currently funded at 5.7%
of the total notes outstanding (100% of its target level) and may
start to amortise three years after closing (18 months from now) to 10.0%
of the outstanding balance of the notes, subject to performance
conditions. The total credit enhancement, excluding excess
spread, for the Class A notes is currently 13.7%.
The notes are backed by a pool of prime Spanish mortgages granted to individuals
(90.2%) and SMEs (9.8%) by Bankoa (A1,
Prime-1). The properties are mainly residential (88.9%),
with the remaining part being commercial properties. As of 31 December
2010 the mortgage pool balance consists of approximately EUR 460.5
million.
The V Score for this transaction is Medium, which is in line with
the score assigned for the Spanish RMBS sector. The V Score was
negatively impacted by the exposure of this transaction to SMEs.
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: At the time the rating was assigned,
the model output indicated that Class A notes would have achieved a Aaa
even if the expected loss was as high as 6.6% and the MILAN
Aaa CE as high as 18.0% and all other factors were constant.
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 deal 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 this rating were Moody's Approach
to Rating Spanish RMBS published in July 2008, 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, Cash Flow Analysis in EMEA RMBS:
Testing Features with the MARCO Model (Moody's Analyser of Residential
Cash Flows) published in January 2006, A Framework for Stressing
House Prices in RMBS Transactions in EMEA published in July 2008,
V Scores and Parameter Sensitivities in the Major EMEA RMBS Subsectors
published in April 2009, and Moody's Enhanced Approach to Originator
Assessments in EMEA RMBS Transactions published in October 2009.
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
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
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
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 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 provisional ratings to Spanish RMBS notes to be issued by IM Bankoa MBS 1