Madrid, April 24, 2013 -- Moody's Investors Service has today downgraded the ratings of 14 junior
and five senior notes in five Spanish residential mortgage-backed
securities (RMBS) transactions: TDA Ibercaja 1, FTA;
TDA Ibercaja 2, FTA; TDA Ibercaja 5, FTA; TDA Ibercaja
6, FTA and TDA Ibercaja 7, FTA. At the same time,
Moody's confirmed the ratings of TDA Ibercaja 5 A1 tranche.
Insufficiency of credit enhancement to address sovereign risk and,
in the case of TDA Ibercaja 7, exposure to counterparty risk,
have prompted today's downgrade action.
Today's rating action concludes the review of four notes placed
on review on 16 December 2011, following increase of expected loss
assumption and expectations that credit enhancement could be insufficient
to offset this increase. This rating action also concludes the
review of five notes placed on review on 2 July 2012, following
Moody's downgrade of Spanish government bond ratings to Baa3 from A3 on
June 2012 and of 11 notes placed on review on 23 November 2012,
following Moody's revision of key collateral assumptions for the entire
Spanish RMBS market (http://www.moodys.com/research/Moodys-review-of-Spanish-RMBS-sector-triggers-rating-actions-on--PR_260528).
For a detailed list of affected ratings, see towards the end of
the press release, before regulatory disclosures.
RATINGS RATIONALE
Today's rating action primarily reflects the insufficiency of credit enhancement
to address sovereign risk. The rating action on senior note of
TDA Ibercaja 7 also reflects the exposure to Ibercaja Banco SA (Ba2 on
review for possible downgrade /NP) and Banco Santander S.A.
Spain (Baa2/P-2) acting as collection account bank and reinvestment
account bank respectively. Moody's confirmed the rating of
a security whose credit enhancement and structural features provided enough
protection against sovereign and counterparty risk.
The determination of the applicable credit enhancement driving today's
rating actions reflects the introduction of additional factors in Moody's
analysis to better measure the impact of sovereign risk on structured
finance transactions (see "Structured Finance Transactions:
Assessing the Impact of Sovereign Risk", 11 March 2013).
This report is available on www.moodys.com and can be accessed
via the following link http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF319988
.
-- Additional Factors Better Reflect Increased Sovereign
Risk
Moody's has supplemented its analysis to determine the loss distribution
of securitised portfolios with two additional factors, the maximum
achievable rating in a given country (the local currency country risk
ceiling) and the applicable portfolio credit enhancement for this rating.
With the introduction of these additional factors, Moody's
intends to better reflect increased sovereign risk in its quantitative
analysis, in particular for mezzanine and junior tranches.
The Spanish country ceiling, and therefore the maximum rating that
Moody's will assign to a domestic Spanish issuer including structured
finance transactions backed by Spanish receivables, is A3.
Moody's Individual Loan Analysis Credit Enhancement (MILAN CE) represents
the required credit enhancement under the senior tranche for it to achieve
the country ceiling. By lowering the maximum achievable rating
for a given MILAN, the revised methodology alters the loss distribution
curve and implies an increased probability of high loss scenarios.
-- Pro-rata vs. current amortization of Classes
A1 and A2 in TDA Ibercaja 5
Today's rating action takes into account the relative priority of principal
payments within the A notes of TDA Ibercaja 5. The performance
conditions for current amortization between the A sub-classes (18%
of Available Funds for class A for series A1 and the remaining 82%
for series A2) currently hold, and the notes are not anticipated
to amortize pro-rata in our expected scenario. This leads
to a one notch difference in the Class A1 rating compared to the Class
A2 rating in this transaction.
Moody's has not revised the key collateral assumptions for any of
the deals. Expected loss assumptions as a percentage of original
pool balance remain at 0.47% for TDA Ibercaja 1; 0.55%
for TDA Ibercaja 2; 1.50% for TDA Ibercaja 3;
2.40% for TDA Ibercaja 6 and 2.00% for TDA
Ibercaja 7 . The MILAN CE assumptions remain at 10% for
the TDA Ibercaja 1, 2 and 5 and 12.5% for TDA Ibercaja
6 and 7.
-- Exposure to Counterparty Risk
The conclusion of Moody's rating review takes into consideration
the exposure to Ibercaja Banco SA (Ba2 on review for possible downgrade
/NP), which acts as servicer and collection account bank in all
Ibercaja transactions. Treasury Accounts are held by Barclays Bank
PLC for all five deals. Reinvestment Accounts are held by Barclays
Bank PLC for TDA Ibercaja 1, 2 and 5. Reinvestment Accounts
in TDA Ibercaja 6 and 7 are held by Bank of Spain and Banco Santander
(Baa2/P-2), respectively. The exposure to collection
account bank and reinvestment account holder has a negative impact only
on the rating of Class A notes in TDA Ibercaja 7.
As part of its analysis Moody's also assessed the exposure to Banco
Santander (Baa2/P-2) as swap counterparty for TDA Ibercaja 1,
2 and 5 and Banesto (Baa3/P-3 on review for possible upgrade) for
TDA Ibercaja 6 and 7. The revised ratings of the notes, are
not negatively affected by this exposure.
-- Other Developments May Negatively Affect the Notes
In consideration of Moody's new adjustments, any further sovereign
downgrade would negatively affect structured finance ratings through the
application of the country ceiling or maximum achievable rating,
as well as potentially increased portfolio credit enhancement requirements
for a given rating.
As the euro area crisis continues, the ratings of structured finance
notes remain exposed to the uncertainties of credit conditions in the
general economy. The deteriorating creditworthiness of euro area
sovereigns as well as the weakening credit profile of the global banking
sector could further negatively affect the ratings of the notes.
Moody's describes additional factors that may affect the ratings
in "Approach to Assessing Linkage to Swap Counterparties in Structured
Finance Cashflow Transactions: Request for Comment" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF289772),
published on 2 July 2012.
The methodologies used in these ratings were Moody's Approach to Rating
RMBS Using the MILAN Framework, published in March 2013 and The
Temporary Use of Cash in Structured Finance Transactions: Eligible
Investment and Bank Guidelines published in March 2013. Please
see the Credit Policy page on www.moodys.com for a copy
of these methodologies
In reviewing these transactions, Moody's used its cash flow model,
ABSROM, to determine the loss for each tranche. The cash
flow model evaluates all default scenarios that are then weighted considering
the probabilities of the lognormal distribution assumed for the portfolio
default rate. In each default scenario, Moody's calculates
the corresponding loss for each class of notes given the incoming cash
flows from the assets and the outgoing payments to third parties and note
holders. Therefore, the expected loss for each tranche is
the sum product of (1) the probability of occurrence of each default scenario
and (2) the loss derived from the cash flow model in each default scenario
for each tranche.
In the context of the rating review, the transactions have been
remodeled and some inputs have been adjusted to reflect the new approach
described above. In addition, the following have been corrected
during the review: notes margins and PDL mechanism were corrected
in TDA Ibercaja 2; notes margins, one of the triggers switching
the priority of payments, one of the triggers for reserve fund amortization
and tranche C interest deferral trigger were corrected for TDA Ibercaja
5; Class E margin, one of the triggers switching the priority
of payments and one of the triggers for reserve fund amortization were
corrected for TDA Ibercaja 6.
As such, Moody's analysis encompasses the assessment of stressed
scenarios.
LIST OF AFFECTED RATINGS
Issuer: TdA Ibercaja 1, Fondo de Titulizacion de activos
....EUR577.2M A Notes, Downgraded
to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Remained On Review for Possible Downgrade
....EUR15.3M B Notes, Downgraded
to Ba2 (sf); previously on Nov 23, 2012 Downgraded to Baa2
(sf) and Remained On Review for Possible Downgrade
....EUR3.6M C Notes, Downgraded
to Ba3 (sf); previously on Jul 2, 2012 Baa2 (sf) Placed Under
Review for Possible Downgrade
....EUR3.9M D Notes, Downgraded
to B1 (sf); previously on Jul 2, 2012 Ba1 (sf) Placed Under
Review for Possible Downgrade
Issuer: TdA Ibercaja 2, Fondo de Titulizacion de activos
....EUR870.3M A Notes, Downgraded
to Baa2 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
....EUR19.3M B Notes, Downgraded
to Ba3 (sf); previously on Nov 23, 2012 Downgraded to Baa2
(sf) and Remained On Review for Possible Downgrade
....EUR6.3M C Notes, Downgraded
to B2 (sf); previously on Dec 16, 2011 Baa2 (sf) Placed Under
Review for Possible Downgrade
....EUR4.1M D Notes, Downgraded
to B3 (sf); previously on Dec 16, 2011 Ba2 (sf) Placed Under
Review for Possible Downgrade
....EUR4.5M E Notes, Downgraded
to Ca (sf); previously on Nov 23, 2012 Downgraded to Caa2 (sf)
and Remained On Review for Possible Downgrade
Issuer: TdA Ibercaja 5, Fondo de Titulizacion de Activos
....EUR150M A1 Notes, Confirmed at Baa1
(sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf) and
Remained On Review for Possible Downgrade
....EUR1002M A2 Notes, Downgraded to
Baa2 (sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf)
and Remained On Review for Possible Downgrade
....EUR32.4M B Notes, Downgraded
to B2 (sf); previously on Nov 23, 2012 Downgraded to Baa2 (sf)
and Remained On Review for Possible Downgrade
....EUR10.8M C Notes, Downgraded
to Caa1 (sf); previously on Nov 23, 2012 Downgraded to B2 (sf)
and Remained On Review for Possible Downgrade
....EUR4.8M D Notes, Downgraded
to Caa3 (sf); previously on Nov 23, 2012 Downgraded to Caa1
(sf) and Remained On Review for Possible Downgrade
Issuer: TdA Ibercaja 6,Fondo de Titulizacion de Activos
....EUR1440M A Notes, Downgraded to
Baa2 (sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf)
and Remained On Review for Possible Downgrade
....EUR30M B Notes, Downgraded to B1
(sf); previously on Nov 23, 2012 Downgraded to Baa2 (sf) and
Remained On Review for Possible Downgrade
....EUR15M C Notes, Downgraded to B3
(sf); previously on Dec 16, 2011 Baa2 (sf) Placed Under Review
for Possible Downgrade
....EUR15M D Notes, Downgraded to Caa2
(sf); previously on Dec 16, 2011 Ba3 (sf) Placed Under Review
for Possible Downgrade
Issuer: TdA Ibercaja 7, Fondo de Titulizacion de activos
....EUR1900M A Notes, Downgraded to
Baa2 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Placed Under Review for Possible Downgrade
....EUR100M B Notes, Downgraded to B1
(sf); previously on Jul 2, 2012 Ba3 (sf) Placed Under Review
for Possible Downgrade
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Maria Turbica Manrique
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Barbara Rismondo
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades 19 notes and confirms one note in five TDA Ibercaja transactions
