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16 Mar 2011
EUR 1,850 million of debt securities affected
Frankfurt am Main, March 16, 2011 -- Moody's Investors Service has placed on review for possible downgrade
the following classes of Notes issued by Fondo de Titulizacion de Activos
Santander Publico 1 (FTA Santander Publico 1):
....EUR1,813 million Series A Notes,
Aaa (sf) placed under review for possible downgrade; previously on
Dec 17, 2004 definitive rating assigned Aaa (sf)
....EUR37 million Series B Notes, A2
(sf) placed under review for possible downgrade; previously on Dec
17, 2004 definitive rating assigned A2 (sf)
Moody's places the Series A and B notes of FTA Santander Publico
1 on review for possible downgrade. The rating action is the result
of the weakened financial position of Spanish regional governments and
the significant increase in borrower concentration relative to the outstanding
portfolio. In Moody's view, the build-up in
credit enhancement since closing to 7.3% vs 3.5%
as of January 2011 is very unlikely to be sufficient to compensate for
the deterioration of the portfolio quality.
The performance of FTA Santander Publico 1 expressed as 90+ days
delinquencies and cumulative artificial write-offs (loans more
than 12 months in arrears) has been good and very stable. Since
closing at the end of December 2004 until the last reporting date in January
2011, 90+ days delinquencies never exceeded 0.3%
of current balance and no loan was written-off.
The weaker financial position of Spanish regional governments is reflected
in Moody's recent downgrade of four Spanish regions on 11 March
2011, namely the Junta de Comunidades de Castilla-La Mancha
(A2), Generalitat de Catalunya (A3), Comunidad Autonoma de
Murcia (A1) and Generalitat de Valencia (A2) by one notch and with negative
outlook. The main drivers for these rating actions were a fall
in tax revenues and the risk of higher future refinancing costs.
The borrower concentration of the portfolio increased as a consequence
of the portfolio's amortisation. As of January 2011,
the top borrower represented 6.6% of the outstanding portfolio
compared with 3.1% at closing. The top ten borrowers
contributed 30.6% to the outstanding portfolio compared
with 20% at closing.
The current credit enhancement of Series A notes provided by the subordination
of the Series B notes and the reserve fund stands at 7.3%.
The credit enhancement for Series B notes provided by the reserve fund
stands at 3.3%. Given the current pro-rata
amortisation on the notes and the amortisation of the reserve fund,
Series A noteholders do not benefit from deleveraging. The current
credit enhancement levels below the Aaa(sf) rated Series A notes would
barely cover for the default of the top two borrowers. Overall,
Moody's placed the ratings of the outstanding Series A and B notes
on review for possible downgrade given the combination of (i) lower than
expected borrower credit quality; (ii) higher borrower concentration;
and (iii) limited build-up of credit enhancement.
During the review process, Moody's will reassess the expected
default probability of the borrower and the recovery rate expectation
and will measure the impact of the reviewed assumptions on the notes rating.
FTA Santander Publico 1 is a static transaction, which closed in
December 2004. The portfolio securitised was originated by Banco
Santander (Aa2/P-1/both under review for possible downgrade) and
consists of loans granted to Spanish public sector entities. Currently,
the outstanding Series of A and B notes amortise on a pro-rata
basis after a certain level of credit enhancement provided by subordination
below Series A notes was built up. The priority of payments would
revert to a sequential amortisation if certain criteria were met,
such as the 90+ days delinquency level exceeding 1%,
the reserve fund not being fully funded or the Series B notes amount reaching
EUR9.25 million. The EUR15.79 million reserve fund
is also currently amortising until it will reach its target level of EUR13.875
Frankfurt am Main
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Deutschland GmbH
Moody's places FTA Santander Publico 1's notes on review for downgrade, Spanish public sector loans ABS
An der Welle 5
Frankfurt am Main 60322
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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