EUR 175 million of debt securities rated
Madrid, December 14, 2010 -- Moody's Investors Service has assigned definitive ratings to four series
of Notes issued by Serie AyT Colaterales Global Empresas Caja Granada
I under the program AyT Colaterales Global Empresas, FTA:
....EUR 135.6M Series A Note,
Assigned Aaa (sf)
....EUR 18.4M Series B Note,
Assigned B3 (sf)
....EUR 10.5M Series C Note,
Assigned Caa3 (sf)
....EUR 10.5M Series D Note,
Assigned Ca (sf)
RATINGS RATIONALE
Serie AyT Colaterales Global Empresas Caja Granada I is a securitization
of loans mainly granted to self-employed and small- and
medium-sized enterprise (SME) by Caja Granada (NR). Caja
Granada is acting as Servicer of the loans while Ahorro y Titulización
S.G.F.T., S.A. is the
Management Company ("Gestora").
The transaction closed in February 2009 and was initially not rated by
Moody's. The initial notes balance issued at closing (shown above
next to the assigned rating) amounted to EUR 175.0 million.
The outstanding notes balance as of the last payment date in September
2010 amounts to EUR 126.1 million.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in September 2010. The next payment
date will take place in March 2011.
The pool of underlying assets was, as of September 2010, composed
of a portfolio of 1,127 contracts granted to obligors located in
Spain. The loans were originated between 1995 and 2009, with
a weighted average seasoning of 5.3 years and a weighted average
remaining term of 10.1 years. Around 77% 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 Andalusia (89%) and specially in Granada
(58%).
According to Moody's, this deal benefits from several credit strengths,
such as a relatively low concentration in the Building and Real Estate
sector for the Spanish market (around 11% in the pool according
to Moody's industry classification), a good seasoning (5.3
years) and a high percentage of first-lien mortgage loans (77%)
that Moody's took into consideration in its portfolio analysis.
However, Moody's notes that the transaction features a number of
credit weaknesses, including regional concentration in Granada,
a low portfolio granularity (Effective Number of Obligors = 206)
and a long weighted average life (5.6 years). These characteristics
were reflected in Moody's analysis and ratings, where several simulations
tested the available credit enhancement and reserve fund (as of September
2010) to cover potential shortfalls in interest or principal 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 swap 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 27.7% with a coefficient of variation
of 28.2% and a stochastic mean recovery rate of 65%.
As mentioned in the methodology, Moody's used in combination 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 ratings address the expected loss posed to investors by the legal
final maturity of the notes (September 2037). In Moody's opinion,
the structure allows for timely payment of interest and ultimate payment
of principal on Series A, B, C and D 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, 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 27.7%
used in determining the initial rating was changed to 31.7%
and the recovery rate of 65% was changed to 55%, the
model-indicated rating for the Series A Notes would change from
Aaa to Aa1.
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.
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
Luis Mozos
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
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 ratings to granular SME CDO Notes issued by Serie AyT Colaterales Global Empresas Caja Granada I
