NOTE: On October 2, 2014, the press release was corrected as follows: At the end of the press release, changed the first contact from Carole Gintz to Caroline Pichon. Revised release follows:
London, 30 November 2011 -- Moody's Investors Service has today downgraded the ratings of 12 senior
tranches across six Spanish asset-backed securities (ABS) transactions
serviced by Catalunya Banc (Ba1/NP/D). These rating actions reflect
the lack of a back-up servicer, which has not yet been appointed
in any of these deals since the downgrade of Catalunya Banc to Ba1 in
March 2011. The rating actions also conclude the rating reviews
of the relevant transactions.
As part of the review, Moody's also assessed the effect of
the increased commingling risk in these transactions (since the downgrade
of Catalunya Banc to Ba1) and the effect of the absence of a replacement
for Catalunya Banc as swap counterparty in two of these six transactions
(i.e. Catalunya Banc remains as swap counterparty).
Moody's has confirmed the ratings of the subordinated notes of Pymecat
2 FTPYME, a Spanish SME ABS, after BBVA replaced Catalunya
Banc as swap counterparty.
A detailed list of the rating actions appears at the end of this press
release.
RATINGS RATIONALE
Today's rating actions reflect the lack of back-up servicer
in the transactions serviced by Catalunya Banc, in order to support
payments on the rated tranches in the event of servicer disruption.
Moody's has been informed that the transactions will be restructured
in order to address the payment disruption risk related to Catalunya Banc.
However, Moody's has not yet been provided with all final documentation
and information related to the potential back-up servicing arrangement.
Based on the information provided to Moody's so far on the back-up
servicing arrangement, Moody's concludes that for these transactions,
the maximum achievable rating is Aa2(sf), if sufficient liquidity
is available in the structures.
However, Moody's downgraded the senior notes of GAT FTGENCAT
2008 to Aa3(sf) despite sufficient liquidity (provided via a 6.5%
reserve fund), because UNNIM (unrated) also acts as a servicer in
the transaction (together with Catalunya Banc). Moody's is
not aware of any back-up servicing arrangement being discussed
for UNNIM.
Moody's downgraded the senior notes of Financat I to A1(sf) because
they do not benefit from any liquidity source; the reserve fund in
this deal is almost fully depleted.
In addition, Moody's concludes that the increased commingling
risk following the downgrade of Catalunya Banc on these six transactions
did not affect the ratings of the notes, given the current credit
enhancement levels.
For Financat I and GAT FTGENCAT 2008, Catalunya Banc remains as
swap counterparty, providing some excess spread to the transaction
structure. Moody's has taken into account the potential reduction
of support provided by the swap when downgrading the notes by stressing
the swap protection in its cash flow model. However, this
risk had a marginal effect compared with the operational risks discussed
above.
Apart from the stress runs mentioned above on the Financat and GAT FTGENCAT
2008 transactions, key modelling assumptions, sensitivities,
cash-flow analysis and stress scenarios have not been updated for
any of the affected transactions, as the rating actions have been
primarily driven by increased operational risk. Uncertainty mainly
stems from the lack of a back-up servicer in these transactions.
If the rating of the servicer, Catalunya Banc, is downgraded
further while no back-up agreement is in place, the ratings
would be negatively affected.
The principal methodology used in rating SME ABS transactions was "Moody's
Approach to Rating CDOs of SMEs in Europe", published in February
2007. The principal methodology used in rating consumer loan ABS
transactions was "Moody's Approach to Rating Consumer Loan
ABS Transactions", published in July 2011. Please see
the Credit Policy page on www.moodys.com for a copy of these
methodologies.
LIST OF AFFECTED TRANSACTIONS BY RELEASING OFFICE
Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
75008 Paris
France
Issuer: FINANCAT I, FTA
....EUR927M A Notes, Downgraded to A1
(sf); previously on Mar 25, 2011 Aa3 (sf) Placed Under Review
for Possible Downgrade
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
Issuer: GAT FTGENCAT 2008, Fondo de Titulizacion de Activos
....EUR349.7M A1 Notes, Downgraded
to Aa3 (sf); previously on Jun 30, 2011 Aa1 (sf) Placed Under
Review for Possible Downgrade
....EUR314.5M A2(G) Notes, Downgraded
to Aa3 (sf); previously on Jun 30, 2011 Aa1 (sf) Placed Under
Review for Possible Downgrade
Issuer: GAT FTGENCAT 2009, FTA
....EUR284.8M Serie A1 (G) Notes,
Downgraded to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
....EUR71.2M Serie A2 Notes,
Downgraded to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf)
Placed Under Review for Possible Downgrade
Issuer: GC FTGENCAT Caixa Tarragona 1, FTA
....EUR104.3M AS Notes, Downgraded
to Aa2 (sf); previously on Nov 10, 2010 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR93.2M AG Notes, Downgraded
to Aa2 (sf); previously on Nov 10, 2010 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: PYMECAT 2 FTPYME Fondo de Titulización de Activos
....EUR237.7M A1 Notes, Downgraded
to Aa2 (sf); previously on May 31, 2011 Downgraded to Aa1 (sf)
and Remained On Review for Possible Downgrade
....EUR189.8M A2(G) Notes, Downgraded
to Aa2 (sf); previously on May 31, 2011 Downgraded to Aa1 (sf)
and Remained On Review for Possible Downgrade
....EUR17.5M B Notes, Confirmed
at Aa3 (sf); previously on May 31, 2011 Downgraded to Aa3 (sf)
and Remained On Review for Possible Downgrade
....EUR20M C Notes, Confirmed at Baa2
(sf); previously on May 31, 2011 Downgraded to Baa2 (sf) and
Remained On Review for Possible Downgrade
....EUR35M D Notes, Confirmed at B3
(sf); previously on May 31, 2011 Downgraded to B3 (sf) and
Remained On Review for Possible Downgrade
Issuer: PYMECAT 3 FTPYME, FTA
....EUR240M A1(G) Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR50M A2 Notes, Downgraded to Aa2
(sf); previously on Jun 30, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
....EUR109.7M A3 Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (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
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a 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.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its 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.
Caroline Pichon
Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades six Spanish ABS from Catalunya Banc due to increased operational risk
