EUR965 million of rated securities affected
Frankfurt am Main, June 05, 2012 -- Moody's Investors Service has today downgraded the rating of 11 notes
in three Spanish SME ABS transactions originated by CaixaBank (A3/P-2
on watch for downgrade) following worse-than-expected performance
and lower-than-average credit enhancement levels.
A detailed list of affected ratings is available at the end of this PR
before the "Regulatory disclosures" section.
RATINGS RATIONALE
Today's rating action concludes the review that Moody's initiated between
September 2011 and February 2012 for the various tranches. Low
levels of credit enhancement and deteriorating performance led to the
downgrade of 11 tranches and the confirmation of one tranche rating.
-- PERFORMANCE
Historically, all three transactions have generally performed better
than Moody's Spanish SME delinquency index. As of March 2012,
Moody's Spanish SME 90- to 360-day delinquencies index
stood at 3.6% ("Spanish SME ABS Indices --
March 2012 ", May 2012). This compares to 90- to 360-day
delinquency levels of 3.2% in FONCAIXA FTGENCAT 3,
1.8% in FONCAIXA FTGENCAT 4, 2.2% in
FONCAIXA FTGENCAT 5. A year ago, 90- to 360-day
delinquencies stood at 1.4%, 0.69% and
1.2%, respectively in the three pools and has therefore
increased in all cases, following the sector trend.
-- KEY REVISED ASSUMPTIONS: CUMULATIVE DEFAULT,
VOLATILITY AND RECOVERY
Moody's has reassessed its lifetime default expectation for the collateral
pools. This reassessment factored in the collateral performance
to date and any likely further deterioration of the pools' performance
in the current down cycle. In doing so, the rating agency
took into account the pools' composition, including the transaction's
exposure to the real-estate market.
For FONCAIXA FTGENCAT 3, Moody's now assumes a mean default
of 13.5% of the current portfolio (equivalent to a lifetime
7.4% default assumption), which, with a 5.3
year WAL translates into a Ba3 pool quality. Moody's revised
its volatility assumption to 60%, from 54% previously
due to increased concentration. The pool features an effective
number of 986 borrowers and 47% exposure to the real estate sector,
while 99% of the loans benefit from a mortgage guarantee with a
weighted average LTV of 34%. The recovery rate assumption
was left unchanged at 65% (stochastic recovery rate).
For FONCAIXA FTGENCAT 4, Moody's now assumes a mean default
of 11% of the current portfolio (equivalent to a lifetime 7.4%
default assumption), which, with a 6.3 years WAL translate
into a Ba2 pool quality. Moody's revised its volatility assumption
to 46%, from 50%. The pool features an effective
number of 1,098 borrowers and a 22% exposure to the real
estate sector, while 99% of the loans benefit from a mortgage
guarantee with a weighted average LTV of 47%. Moody's
increased its recovery rate assumption to 65% (stochastic recovery
rate) from 48%, taking into account the value of the collateral.
For FONCAIXA FTGENCAT 5, Moody's now assumes a mean default
of 13.4% of the current portfolio (equivalent to a lifetime
12.9% default assumption), which, with a 6.4
years WAL translate into a Ba3 pool quality. Moody's revised
its volatility assumption to 46%, from 50%.
The pool features an effective number of 1,169 borrowers and 19%
exposure to the real estate sector, and 91% of the loans
benefit from a mortgage guarantee with a weighted average LTV of 43%.
The recovery rate assumption was left unchanged at 65% (stochastic
recovery rate).
To account for the uncertainties in the current macroeconomic environment,
we also tested the effect of increased volatility levels up to 70%
to 85% range.
Moody's analysed various sensitivities of recovery rates to test the robustness
of its revised ratings. For instance, Moody's observed that
the quantitative/model-indicated rating outcome of the Class A
notes of all the transactions would remain consistent with the revised
rating if the recovery rate was lowered to a 55% fixed recovery
rate.
As such, Moody's analysis encompasses the assessment of stressed
scenarios.
As a result of the revised assumptions and sensitivity runs as explained
above, Moody's downgraded all but one tranche in these three
transactions. Moody's confirmed the Aa2(sf) rating of Class
AS of Foncaixa FTGENCAT 5 which is currently representing 12.9%
of the total pool balance and is amortising senior to the other tranches.
Moody's believes that it is extremely unlikely that the Class AS
notes will amortise pro rata with the Class AG notes given today's
distance to the pro rata trigger and the amortisation speed of the Class
AS notes.
-- OPERATIONAL AND COUNTERPARTY RISK
CaixaBank is servicer, account bank and swap counterparty in all
three transactions. The swaps provide significant support to the
senior bonds in this transaction by guaranteeing excess spread on the
notes amount. Following the downgrade of CaixaBank on 17 May 2012
to A3/P-2, the transaction documents contemplate that some
remedies are put in place in order to mitigate the increased risk to the
swap counterparty. Moody's will monitor the implementation
of such remedies.
As the Euro area crisis continues, the rating of the 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 negatively impact the ratings of the notes.
For more information please refer to the Rating Implementation Guidance
published on 13 February 2012 "How Sovereign Credit Quality May Affect
Other Ratings". Please also refer to the recent rating actions
on banks published on 15 February 2012, (please see "Moody's Reviews
Ratings for European Banks" and "Moody's Reviews Ratings for Banks and
Securities Firms with Global Capital Markets Operations" for more information).
PREVIOUS RATING ACTIONS AND PRINCIPAL METHODOLOGIES
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The principal methodology used in these ratings is Moody's Approach to
Rating CDOs of SMEs in Europe published in February 2007. Other
methodologies such as 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 have also been used in assigning and
monitoring these ratings. Please see the Credit Policy page on
www.moodys.com for a copy of these methodologies.
Moody's used its excel-based cash flow model, Moody's ABSROM™,
as part of its quantitative analysis of the transaction. Moody's
ABSROM™ model enables users to model various features of a standard
European ABS transaction including: (i) the specifics of the default
distribution of the assets, their portfolio amortisation profile,
yield or recoveries; and (ii) the specific priority of payments,
triggers, swaps and reserve funds on the liability side of the ABS
structure. Moody's ABSROM™ User Guide is available on Moody's
website and covers the model's functionality as well as providing a comprehensive
index of the user inputs and outputs. MOODY'S CDOROMv2.8™
was used to estimate the default distribution.
RATINGS LIST
Issuer: FONCAIXA FTGENCAT 3 Fondo de Titulización de Activos
....EUR449.3M A(G) Notes, Downgraded
to Aa3 (sf); previously on Feb 21, 2012 Downgraded to Aa2 (sf)
and Remained On Review for Possible Downgrade
....EUR10.7M B Notes, Downgraded
to A3 (sf); previously on Nov 4, 2011 Aa3 (sf) Placed Under
Review for Possible Downgrade
....EUR7.8M C Notes, Downgraded
to Ba2 (sf); previously on Feb 1, 2010 Confirmed at Baa2 (sf)
....EUR6.5M D Notes, Downgraded
to B3 (sf); previously on Feb 1, 2010 Confirmed at Ba2 (sf)
Issuer: FONCAIXA FTGENCAT 4 Fondo de Titulización de Activos
....EUR326M A (G) Notes, Downgraded
to A1 (sf); previously on Feb 21, 2012 Downgraded to Aa2 (sf)
and Remained On Review for Possible Downgrade
....EUR9.6M B Notes, Downgraded
to Baa1 (sf); previously on Sep 22, 2011 A2 (sf) Placed Under
Review for Possible Downgrade
....EUR7.2M C Notes, Downgraded
to Ba2 (sf); previously on Sep 22, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
....EUR6M D Notes, Downgraded to Caa1
(sf); previously on Sep 22, 2011 B3 (sf) Placed Under Review
for Possible Downgrade
Issuer: FONCAIXA FTGENCAT 5 Fondo de Titulizacion de Activos
....EUR513.1M A (S) Notes, Confirmed
at Aa2 (sf); previously on Feb 21, 2012 Downgraded to Aa2 (sf)
and Remained On Review for Possible Downgrade
....EUR449.4M A (G) Notes, Downgraded
to A2 (sf); previously on Feb 21, 2012 Downgraded to Aa2 (sf)
and Remained On Review for Possible Downgrade
....EUR21M B Notes, Downgraded to Ba1
(sf); previously on Sep 22, 2011 A3 (sf) Placed Under Review
for Possible Downgrade
....EUR16.5M C Notes, Downgraded
to B3 (sf); previously on Sep 22, 2011 Ba1 (sf) Placed Under
Review for Possible Downgrade
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant 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 relevant 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 relevant 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.
The ratings have been disclosed to the rated entities or their designated
agent(s) and issued with no amendment resulting from that disclosure.
Information sources used to prepare each of the ratings are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
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.
Moody's considers the quality of information available on the rated
entities, obligations or credits satisfactory for the purposes of
issuing these ratings.
Moody's adopts all necessary measures so that the information it
uses in assigning the ratings 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.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entities or their related third parties within
the two years preceding the credit rating action. Please see the
special report "Ancillary or other permissible services provided
to entities rated by MIS's EU credit rating agencies" on the
ratings disclosure page on our website www.moodys.com for
further information.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's 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 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.
Ludovic Thebault
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades notes in Spanish SME ABS transactions FONCAIXA FTGENCAT 3, FTA, FONCAIXA FTGENCAT 4, FTA, FONCAIXA FTGENCAT 5, FTA
