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Global Credit Research - 11 Aug 2010
Approximately EUR 1.9 billion of debt securities affected
London, 11 August 2010 -- Moody's notes that the share of written-off loans has been
understated in recent investor reports for most of the transactions managed
by Gestión de Activos Titulizados (GaT). Loans subject to
(1) "compra-venta" (sale of mortgage properties to
real estate companies with funds flowing back to the SPV) or (2) "cesión
de remate" (third party assignment in an auction) were not reported
within the cumulative write-off figures. Loans subject to
"compra-venta" and "cesión de remate"
were however correctly accounted for in terms of notes amortization and
trigger computation. Moody's understands that the error was
limited to the write-off amount in the reporting module of GaT's
application, with the accounting module correctly reporting all
written-off loans. GaT intends to rectify the investor reports
by the next payment date of each of the transactions currently reporting
understated cumulative write-offs.
In some of the transactions the preliminary restated amounts of defaulted
loans are significantly higher than previously reported figures indicating
a deterioration in asset performance not reflected in the current loss
assumptions for these portfolios. As a result Moody's has
placed on review for possible downgrade the ratings of the following classes
- Class D issued by Hipocat 8,
- Classes A2 and B issued by Hipocat 10 and
- Classes A, B and C issued by Hipocat 17.
Moody's notes that all classes of notes in Hipocat 9 and class A3
and A4 notes in Hipocat 10 are already on review for possible downgrade
because of worse than expected performance. In all other transactions
managed by GaT and not affected by today's action the underlying
assumptions are still well positioned in relation to preliminary restated
numbers. Moody's is pending of receiving final figures for
all the deals, which may result in additional revisions should these
be higher than the preliminary numbers provided by GaT.
Hipocat 8, 10 and 17 closed in May 2005, July 2006 and December
2008 respectively. The transactions are backed by portfolios of
first-ranking mortgage loans originated by Caixa Catalunya (currently
Caixa Catalunya, Tarragona i Manresa, A3/P-2) and secured
on residential properties located in Spain, for an overall balance
at closing of EUR 1.5 billion, EUR 1.53 billion and
EUR 1.1 billion, respectively. Hipocat 8 and 10 consist
of the securitisatisation of the first drawdown of Caixa Catalunya's flexible
mortgage loan. The product, named "Crédito Total"
offers the possibility of withdrawing additional funds up to the minimum
of the original loan-to-value (LTV) or 80% LTV and
enjoying grace periods of interest and principal. Hipocat 17 is
backed by standard mortgage loans.
Hipocat 8 and 10 pools include a large share of loans with LTV over 80%
and have a current weighted average LTV of 63.3%,
and 72.0% respectively as at June 2010. Loans with
LTV over 80% were not securitized in the case of Hipocat 17,
which has a current weighted average LTV of 58.4%.
The pools are fairly concentrated in the region of Catalonia (82.2%,
70.4% and 59.7% as of May 2010) where Caixa
Catalunya has its highest expertise.
The ratio of loans more than 90 days in arrears as a percentage of current
pool balance, stood at 1.08%, 3.55%
and 0.71% of current pool balance for Hipocat 8, 10
and 17 respectively, as of June 2010. According to the restated
figures the cumulative write-offs (including loans subject to "compra-venta"
and "cesión de remate") are equal to 1.56%,
8.62% and 1.39% of original pool balance in
Hipocat 8, 10 and 17 respectively as of June 2010.
The rapidly increasing levels of defaulted loans ultimately resulted in
draws to the reserve fund Hipocat 10 which stands at 8.9%
of its target balance. Available funds will ultimately increase
as recoveries from written-off loans are collected. However,
Moody's remains concerned about the uncertainty relating to the timing
and the amount of recoveries. In this same transaction, Class
D interests were deferred on the interest payment date falling on 26th
July 2010, following the interest deferral trigger breach for this
Moody's will reassess its lifetime loss expectation for Hipocat 8,
10 and 17, currently standing at 0.8%, 4%
and 1.2% respectively, to account for the collateral
performance to date as well as our expectations for these transactions
in the context of a current macroeconomic environment in Spain.
As part of its analysis, Moody's will also assessed loan-by-loan
information for the outstanding portfolios to determine the credit support
consistent with target rating levels and the volatility of the distribution
of future losses.
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 risks have not been
addressed, but may have a significant effect on yield to investors.
Moody's monitors the transactions referred to in this press release using
the rating methodology for Spanish RMBS transactions as described in the
report "Moody's Updated Methodology for Rating Spanish RMBS," July
2008, and "Revising Default/Loss Assumptions Over the Life of an
ABS/RMBS Transaction," December 2008. These reports can be
found at 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. 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.
LIST OF DETAILED RATING ACTIONS
Issuer: HIPOCAT 10 FONDO DE TITULIZACIÓN DE ACTIVOS
EUR733.4M A2 Notes, Aa2 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 18, 2009 Downgraded to Aa2 (sf)
EUR54.8M B Notes, Ba1 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 18, 2009 Downgraded to Ba1 (sf)
Issuer: HIPOCAT 8 Fondo de Titulizacion de Activos
EUR32.7M D Certificate, Baa2 (sf) Placed Under Review for
Possible Downgrade; previously on May 10, 2005 Definitive Rating
Assigned Baa2 (sf)
Issuer: Hipocat 17 Fondo de Titulizacion de Activos
EUR1070.8M A Certificate, Aaa (sf) Placed Under Review for
Possible Downgrade; previously on Dec 16, 2008 Definitive Rating
Assigned Aaa (sf)
EUR4.4M B Certificate, Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on Dec 16, 2008 Definitive Rating Assigned
EUR24.8M C Certificate, Baa3 (sf) Placed Under Review for
Possible Downgrade; previously on Dec 16, 2008 Definitive Rating
Assigned Baa3 (sf)
Maria Turbica Manrique
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
MD - Structured Finance
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Ltd.
Moody's placed on review notes in 3 Hipocat Spanish RMBS and updates on deals managed by GaT
One Canada Square
London E14 5FA
No Related Data.
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