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Rating Action:

Moody's assigns ratings to granular SME CDO Notes issued by Serie AyT Colaterales Global Empresas Caja Granada I

14 Dec 2010

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
No Related Data.
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