EUR 520 million of debt securities rated
Madrid, December 13, 2010 -- Moody's Investors Service has assigned provisional ratings to two classes
of Notes to be issued by FTPYME TDA CAM 9, FTA ("Fondo"):
....EUR 104 M Series A1 Note, Assigned
(P) Aaa (sf)
....EUR 416 M Series A2(G) Note, Assigned
(P) Aaa (sf)
....EUR 230 M Loan B, NR
RATINGS RATIONALE
FTPYME TDA CAM 9, FTA is a securitization of loans mainly granted
to self-employed and small- and medium-sized enterprise
(SME) by Caja de Ahorros del Mediterráneo ("CAM") (A3/P-2).
The securitization is done under the FTPYME program following the Spanish
Ministry of Economy's allocation of a new guarantee budget for such transactions
for the current year.
At closing, the Fondo -- a newly formed limited liability entity
incorporated under the laws of Spain -- will issue two classes of
rated notes and will also enter into a loan agreement to finance the purchase
of the loans (at par) from the CAM. CAM will act as Servicer of
the loans for the Fondo, while Titulización de Activos S.G.F.T.,
S.A. will be the Management Company ("Gestora")
of the Fondo.
The provisional pool of underlying assets was, as of November 2010,
composed of a portfolio of 8,529 contracts granted to obligors located
in Spain. The loans were originated between 1994 and 2010,
with a weighted average seasoning of 2.6 years and a weighted average
remaining term of 10.6 years. Around 52% of the outstanding
of the portfolio is secured by first-lien mortgage guarantees over
different types of properties. Geographically, the pool is
concentrated mostly in Valencia (31.4%), Murcia (16.3%)
and in Catalonia (11.18%).
According to Moody's, this deal benefits from several credit strengths.
(i) Series A2(G) benefits from the guarantee of the Kingdom of Spain for
interest and principal payments. Nevertheless, the expected
loss associated with Series A2(G) notes is consistent with a Aaa (sf)
rating regardless of the Spanish Treasury guarantees A2(G); (ii)
a total credit enhancement, including the reserve fund, over
series A1 and A2(G) of 37.34%; (iii) an upfront-funded
reserve fund of €50 million, (iii) low exposure to real estate
compared to other deals in the Spanish market (less than 17%);
(iv) around of 52% of the portfolio is secured over first lien
real estate properties. However, Moody's notes that the transaction
features a number of credit weaknesses, including: (a) exposure
to commingling risk, despite the fact that CAM transfers the collections
every 2 days to the reinvestment account in Banesto, there is no
trigger in the deal to establish and fund a commingling reserve equal
to one month of stressed collections in case of loss of Baa3 as established
in other transactions; (b) exposure to basis and interest rate risk
given the absence of an interest rate hedging agreement. These
characteristics were reflected in Moody's analysis and provisional ratings,
where several simulations tested the available credit enhancement and
6.67% reserve fund to cover potential shortfalls in interest
or principal (only on the last payment date) envisioned in the transaction
structure.
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 received and took into account a third party
due diligence report on the underlying assets or financial instruments
in this transaction and the due diligence report had a neutral impact
on the rating.
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 by
the pool spread, the cash reserve and the subordination of the notes.
Moody's assumed a mean default rate of 23.50% with a coefficient
of variation of 29.83% and a stochastic mean recovery rate
of 57.50% as the main input parameters for Moody's cash-flow
model ABSROM.
The ratings address the expected loss posed to investors by the legal
final maturity of the notes (May 2058). In Moody's opinion,
the structure allows for timely payment of interest and ultimate payment
of principal on Series A1, A2(G) and B at par on or before the rated
final legal maturity date. Moody's ratings address only the credit
risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
The V Score for this transaction is Medium/High same as the Medium/High
score assigned for the Spanish ABS sector. The breakdown for this
transaction indicates a lower score in "Transaction Complexitey" as the
absence of a swap in the structure increases the analytical complexity
of the transaction where both basis and interest rate risks need to be
taken into account.
Moody's also ran sensitivities around key parameters for the rated notes.
For instance, if the assumed default probability of 23.5%
used in determining the initial rating was changed to 34.1%
and the recovery rate of 57.5% was changed to 37.5%,
the model-indicated rating for the Series A1 Notes would remain
Aaa, while the Series A2(G) and model indicated rating would change
from Aaa to Baa1. The sensitivity analysis for Series A2(G) does
not take into consideration the benefit from the Spanish government guarantee.
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.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Further information on Moody's analysis of this transaction is available
on www.moodys.com. 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.
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
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
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Moody's assigns provisional ratings to granular SME CDO Notes to be issued by FTPYME TDA CAM 9
