Madrid, March 25, 2011 -- Moody's Investors Service has today taken the following rating actions
on Spanish covered bonds, following Moody's downgrade of the
various issuers' senior unsecured ratings:
(i) Downgraded the ratings of thirteen mortgage covered bond programmes
(C?dulas Hipotecarias or CHs); of these, four ratings
will also remain under review for possible downgrade.
(ii) Maintained the review for possible downgrade on the ratings of two
CHs.
(iii) Downgraded the ratings of five public-sector covered bond
programmes (C?dulas Territoriales or CTs); of these,
three ratings will also remain under review for possible downgrade.
(iv) Maintained the review for possible downgrade on the rating of one
CT.
(v) Confirmed the ratings of one CH.
Today's rating actions conclude the review for possible downgrade,
which Moody's initiated on 21 December 2010. A full list
of the affected ratings can be found at the end of this press release.
RATINGS RATIONALE
Today's rating actions on the covered bonds were prompted by the downgrade
of the banks supporting the covered bond programmes. The rating
downgrades of the senior unsecured ratings of the covered bond issuers
follow the downgrade on 10 March 2011 of the debt rating of the Kingdom
of Spain to Aa2 (negative outlook) and also reflects Moody's reassessment
of the extraordinary level of systemic support -- of up to five notches
-- that had been embedded in many Spanish banks' ratings,
limiting support to more normalised levels.
For further information on the rating actions taken by Moody's Financial
Institutions Group and Sovereign Group, please refer to "Moody's
takes rating actions on Spanish banks after Spain's downgrade to
Aa2" published on 24 March and "Moody's downgrades Spain's rating
to Aa2 with a negative outlook", published on 10 March 2011.
A number of covered bond programmes remain on review for possible downgrade.
In all these cases, the review is due to the ongoing review of the
senior unsecured ratings of the banks backing the affected covered bond
programmes.
The downgrade of the bank ratings negatively affected the covered bonds
through their impact on both the TPI analysis and the expected loss analysis.
TIMELY PAYMENT INDICATORS
The primary driver of the covered bond rating actions has been the impact
that the senior unsecured issuer downgrades have had under Moody's
TPI framework. The TPI framework limits how much a covered bond
rating can exceed the issuer's senior unsecured rating. Following
the downgrade of the issuers -- and based on their current
TPIs -- the covered bond ratings have been lowered to the
highest achievable level under the TPI framework. The published
TPIs currently assigned to the affected CH and CT programmes are "Probable"
and "Probable-High", respectively.
EXPECTED LOSS ANALYSIS
Under Moody's rating methodology, an issuer's credit
strength is incorporated into Moody's expected loss analysis. Therefore,
any downgrade of the issuer's ratings increases the expected loss on the
covered
bonds. However, given the level of collateral already in
the current programmes, none of the current rating actions have
been driven by Moody's expected loss analysis.
RATING METHODOLOGY
The principal methodologies used in rating these transactions were Moody's
Rating Approach to Covered Bonds, published in March 2010,
and Assessing Swaps as Hedges in the Covered Bond Market, published
in September 2008.
The rating assigned by Moody's addresses the expected loss posed to investors.
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 and to investors.
The following ratings have been placed on review for possible downgrade
(excel link: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF240764):
LIST OF AFFECTED CHs AND CTs
-1) Bilbao Bizkaia Kutxa , mortgage covered bonds:
Downgraded to A1; previously on January 05, 2011 downgraded
to Aa1 on review for possible downgrade.
-2) Banco de Castilla-la Mancha (CCM) , public sector
covered bonds: Aa3 maintained on review for possible downgrade;
previously on December 21, 2010 Aa3 placed on review for possible
downgrade.
-3) CajaSur , mortgage covered bonds: A1 maintained
on review for possible downgrade; previously on December 21,
2010 A1 placed on review for possible downgrade.
-4) Caja Madrid , mortgage covered bonds: Downgraded
to Aa1 on review for further possible downgrade; previously on December
21, 2010 Aaa placed on review for possible downgrade.
-5) Caja Madrid , public sector covered bonds: Downgraded
to Aa1 on review for further possible downgrade; previously on December
21, 2010 Aaa placed on review for possible downgrade.
-6) Banca March, S.A. , mortgage covered
bonds: Downgraded to Aa1; previously on December 21,
2010 Aaa placed on review for possible downgrade.
-7) Banco Sabadell , mortgage covered bonds: Confirmed
to Aaa; previously on December 21, 2010 Aaa placed on review
for possible downgrade.
-8) Ibercaja , mortgage covered bonds: Downgraded to
Aa1; previously on December 21, 2010 Aaa placed on review for
possible downgrade.
-9) Santander Consumer Finance , mortgage covered bonds:
Downgraded to Aa1; previously on December 21, 2010 Aaa placed
on review for possible downgrade.
-10) Bancaja , mortgage covered bonds: Downgraded to
Aa1 on review for further possible downgrade; previously on December
21, 2010 Aaa placed on review for possible downgrade.
-11) Banco Pastor, S.A. , mortgage covered
bonds: Downgraded to Baa1; previously on December 21,
2010 Aaa placed on review for possible downgrade.
-12) CatalunyaCaixa , mortgage covered bonds: Downgraded
to Baa1; previously on December 21, 2010 Aaa placed on review
for possible downgrade.
-13) CatalunyaCaixa , public sector covered bonds:
Downgraded to A3; previously on December 21, 2010 Aaa placed
on review for possible downgrade.
-14) Caja de Ahorros del Mediterraneo (CAM) , mortgage covered
bonds: Downgraded to Aa2 on review for further possible downgrade;
previously on December 21, 2010 Aaa placed on review for possible
downgrade.
-15) Caja de Ahorros del Mediterr?neo (CAM) , public
sector covered bonds: Downgraded to Aa2 on review for further possible
downgrade; previously on December 21, 2010 Aaa placed on review
for possible downgrade.
-16) Cajamar , mortgage covered bonds: Downgraded to
A1; previously on December 21, 2010 Aaa placed on review for
possible downgrade.
-17) Caja de Ahorros de Galicia, Vigo, O. y
P. , mortgage covered bonds: Downgraded to A1;
previously on December 21, 2010 Aa1 placed on review for possible
downgrade.
-18) Caja de Ahorros de Galicia, Vigo, O. y
P. , public sector covered bonds: Downgraded to Aa3;
previously on December 21, 2010 Aa1 placed on review for possible
downgrade.
-19) Caja Espa?a De Inversiones, Salamanca y Soria
, mortgage covered bonds: Downgraded to A1; previously
on December 21, 2010 Aa1 placed on review for possible downgrade.
-20) Caja Insular de Ahorros de Canarias , mortgage covered
bonds: Aa1 maintained on review for possible downgrade; previously
on December 21, 2010 Aa1 placed on review for possible downgrade.
-21) Caja General de Ahorros de Canarias , public sector
covered bonds: Downgraded to Aa3 on review for further possible
downgrade; previously on May 20, 2009 Aaa placed on review
for possible downgrade.
-22) Caja Municipal de Burgos , mortgage covered bonds:
Downgraded to A1 on review for further possible downgrade; previously
on June 16, 2009 Aa1 placed on review for possible downgrade.
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not 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
Jose de Leon
Senior Vice President
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Madrid
Juan Pablo Soriano
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Espana, S.A.
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 downgrades multiple Spanish covered bonds
