EUR526.9 million of securities affected
Milan, March 16, 2010 -- Moody's Investors Service has today downgraded the ratings of the Series
A1, A2, B, and C notes issued by Empresas TDA CAM 6,
FTA (Empresas TDA CAM 6), to Aa1, Aa2, Baa3, Caa3,
from Aaa, Aaa, A3, and Ba3, respectively.
A detailed list of the rating actions can be found at the end of this
Today's rating action concludes the review for possible downgrade,
which was initiated on 29 June 2009. All the affected classes were
initially assigned definitive ratings by Moody's in March 2008.
Moody's initially placed the notes on review following the downgrade
of Caja de Ahorros del Mediterraneo (CAM) from A2/P-1 to A3/P-2,
and due to concerns on commingling risk and swap counterparty risk.
The following actions have been taken to mitigate these risks (i) portfolio
collections are now being transferred weekly to the issuer's account
compared to monthly until November 2009; and (ii) in September 2009
an annex III to the Spanish Private Banking Association Master Agreement
(CMOF) documentation was signed, in line with Moody's swap
framework. However, during the review process, the
transaction's performance has deteriorated and today's downgrades
also take into account the weaker-than-expected collateral
performance of the pool of loans backing the notes, which led to
reserve fund draws over the past four quarters.
As part of its review, Moody's considered the potential for
further performance deterioration in the current economic cycle,
and the exposure of the transaction to the real estate sector (either
through security in the form of a mortgage or debtors operating in these
markets). The deterioration of the Spanish economy is reflected
in Moody's negative sector outlook for Spanish SME securitisation
transactions ("EMEA ABS & RMBS: 2009 Review and 2010 Outlook",
published in January 2010.).
Outstanding 90+ days delinquencies (i.e. the balance
of loans with arrears for more than 90 days) were at 3.2%
of the portfolio current balance, as of January 2010. While
this has fallen from a peak of 4.2% reported in November
2009, Moody's notes that the cumulative balance of defaulted
loans has now increased to 2.3% from 1.7%
since November 2009 (a loan is considered in default if it has been in
arrears for more than 12 months).This would indicate that a significant
portion of 90+ days delinquencies roll over into default.
In addition, the reserve fund has been drawn on several payment
dates, decreasing to 68% of its target balance in December
2009 (last payment date). To date, this transaction has been
performing worse than the Spanish SME index published by Moody's
("Spanish SME Q4 2009 Indices," March 2010).
Revised Default Probability Assumptions
Moody's first revised its assumption for the default probability
(DP) of the Spanish SME debtors to an equivalent rating in the single
B-range for debtors operating in the building and real estate sector,
and in the low Ba-range for non-real-estate debtors.
As of December 2009, the concentration in the building and real
estate sector was approximately 36% of the pool balance based on
In addition, Moody's made DP adjustments to reflect the size
of the debtors' companies, notching down its rating proxy
on a portion of the debtors to reflect additional default risk associated
with micro-sized SMEs.
Moody's equivalent rating for loans in arrears for more than 30
days was also notched down depending on the length of time the loans had
been in arrears, and it was notched up for those performing loans
not in the building and real estate sector originated prior to 2006,
depending on their actual seasoning.
Following these adjustments, the portfolio's overall DP equivalent
rating was assumed at B2. As a result, considering an estimated
weighted-average remaining life of 4.6 years, this
translates into an increased cumulative mean default assumption of 19.5%
of the current outstanding portfolio amount. Expressed as a percentage
of the original portfolio balance, Moody's revised cumulative
mean default rate is 15.2%, compared to an initial
assumption of 8.7% at closing. Moody's also
revised the coefficient of variation assumption to 37% from 60%,
assuming an implied asset correlation of around 7% vs. a
10% at closing.
Recovery And Other Rating Assumptions
Moody's has reviewed its initial mean recovery expectation to 45%
from 50%, which takes into account the line-by-line
analysis of the collateral characteristics backing the first-lien
mortgage loans (33% of the current portfolio) as well as the lack
of recovery data available. Moody's also tested the sensitivity
of results to recovery assumptions in a 40%-50% range.
Stochastic recoveries were modelled assuming a 20% standard deviation.
The constant prepayment rate (CPR) assumption used in Moody's cash
flow model has decreased to 5% from 6.5%.
In the base case scenario, Moody's has assumed that Series
A1 and A2 would amortise sequentially in most default scenarios.
However, Moody's has also tested results assuming that the
pro-rata amortisation trigger between these series is hit.
As regards, commingling risk, Moody's has checked the
resilience of the ratings assuming that 1.5 months of collections
were lost upon default of the originator/servicer.
Securitised Portfolio Characteristics
Empresas TDA CAM 6 is a securitisation fund, which purchased a pool
of loans granted to Spanish SMEs by CAM. At closing, in March
2008, the portfolio consisted of 5,690 loans to 4,895
debtors. The loans were originated between 1994 and 2007,
with a weighted-average seasoning of 1.4 years and a weighted-average
remaining term of 7.3 years. Geographically, the pool
was concentrated in Valencia (44%), Murcia (13%),
and Cataluña (11%). At closing, the concentration
in the real estate sector was around 42% of the original pool balance.
As of December 2009, there were 4,259 loans in the portfolio
and the weighted-average remaining term was 8.4 years.
The concentration levels per industry and region are similar to the levels
at closing with a slightly lower exposure in the building and real estate
sector equal to 36% of current portfolio, which is slightly
above the sector-average concentration in the SME ABS portfolios.
The pool factor was 54%.
Moody's Rating And Methodologies
Moody's ratings address the expected loss posed to investors by
the legal final maturity of the notes. 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.
Moody's initially analysed and currently monitors this transaction
using the rating methodology for granular SME transactions in EMEA as
described in the following Rating Methodology reports: "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", March 2009; "Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa", June 2007; These reports are available on
www.moodys.com in the Rating Methodologies sub-directory
under the Research & Ratings tab. Other methodologies and factors
that may have been considered in the process of rating this issuer can
also be found in the Rating Methodologies sub-directory on Moody's
website. 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 is closely monitoring the transaction. To obtain
a copy of Moody's New Issue Report or periodic Performance Overviews,
please visit Moody's website at www.moodys.com or
contact our Client Service Desk in London (+44-20-7772
Detailed rating actions
- EUR161.9 million series A1 notes due 2050, downgraded
to Aa1 from Aaa; previously on 29 June 2009 placed under review for
- EUR240.0 million series A2 notes due 2045, downgraded
to Aa2 from Aaa; previously on 29 June 2009 placed under review for
- EUR65.0 million series B notes due 2050, downgraded
to Baa3 from A3; previously on 29 June 2009 placed under review for
- EUR60.0 million series C notes due 2050, downgraded
to Caa3 from Ba3; previously on 29 June 2009 placed under review
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades Empresas TDA CAM 6, FTA Spanish SME ABS notes
Structured Finance Group
Moody's Investors Service