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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

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Related Issuers
Rating Action:

Moody's assigns provisional ratings to Spanish RMBS notes to be issued by IM Bankoa MBS 1

01 Mar 2011

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
No Related Data.
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CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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