Madrid, October 07, 2011 -- Moody's Investors Service has today placed on review for possible downgrade
certain classes of notes issued by seven Spanish residential mortgage-backed
securities (RMBS) transactions following performance concerns.
The transactions affected are:
- Bankinter 12 FTH, Bankinter 13 FTA and Bankinter 16 FTA.
- Foncaixa Hipotecario 9 FTA and Foncaixa Hipotecario 10 FTA.
- FTA Santander Hipotecario 2 and
- Hipotebansa XI FTA.
A detailed list of the affected tranches is provided at the end of the
press release.
RATINGS RATIONALE
Moody's considered the following four indicators when evaluating the performance
of the deals: (i) the amount and evolution of cumulative defaults
that have already occurred; (ii) delinquency levels; (iii) the
evolution of credit enhancement since closing; and (iv) the comparison
between projected defaults or losses and the credit enhancement level.
As part of the analysis Moody's stress-tested its current
assumption for these transactions, considering collateral performance
to date and the future outlook for the Spanish RMBS sector.
In addition to the transaction-specific analysis, Moody's
also considered the macroeconomic factors that influence borrowers'
ability to repay their debt, such as GDP growth and the evolution
of the real-estate market. Spanish GDP contracted by 3.7%
in 2009 and 0.1% in 2010. Moody's expects only 0.7%
growth in GDP in 2011 and believes that Spain will not have the same level
of GDP that it had in 2008, until at least 2013.
The Spanish government is under significant pressure to tighten its budgetary
position. Higher taxes on companies will place negative pressure
on SME profitability, which will be negative for unemployment.
Higher taxes on consumers will reduce household disposable income.
House prices fell 5.2% year on year in Q2 2011 and are currently
16.6% below their Q2 2008 peak. Moody's expects that
house prices will continue to fall in 2011 and 2012, which will
reduce the recovery value of defaulted mortgages. In light of the
economic environment, Moody's outlook for Spanish RMBS collateral
performance remains negative.
The seven transactions placed on review for possible downgrade are showing
weaker-than-expected performance and current credit enhancement
under the flagged tranches may not be sufficient to withstand performance
deterioration. As a result, Moody's has placed some
notes of these transactions on review for possible downgrade.
In order to complete the review, Moody's will reassess the
portfolios lifetime loss expectations, taking into account the collateral
performance to date and the future macro-economic environment.
Moody's will also request updated loan-by-loan information
to revise its Milan Aaa credit enhancement. Loan-by-loan
information will also be used to validate its assumptions with regards
to which loans have a higher propensity to default. The lifetime
loss and the Milan Aaa credit enhancement are the key parameters that
Moody's uses to calibrate its loss distribution curve, which
is one of the core inputs into our cash-flow model.
TRANSACTION PERFORMANCE
Bankinter 12 FTH, Bankinter 13 FTA and Bankinter 16
Moody's has placed the relevant notes in these transactions on review
for possible downgrade because of the low levels of credit enhancement
in the face of deteriorating performance. The three deals correspond
to securitization of Spanish RMBS loans originated by Bankinter S.A.
(A2/P-1).
Performance in these deals is weaker compared to other RMBS deals within
the series. 90+ delinquency levels stood at 0.76%,
0.58% and 0.87% as of June in the case of
Bankinter 12 and 16 and July 2011 in the case of Bankinter 13, when
cumulative default rate as reported by the gestora plus outstanding repossessions
had reached 0.44%, 0.73% and 0.66%,
respectively (please note that some of the loans corresponding to repossessions
may be included in cumulative default figure reported by the gestora).
Pool factors stood at 57.73%, 63.67%
and 78.25% as of the same date.
Foncaixa Hipotecario 9 FTA and Foncaixa Hipotecario 10 FTA
Moody's has placed the relevant notes in these transactions on review
for possible downgrade because of the low levels of credit enhancement
in the face of deteriorating performance. The two deals correspond
to securitization of Spanish RMBS loans originated by La Caixa (now Caixabank
Aa2/P-1 on review for downgrade).
Performance in these deals is weaker compared to other RMBS deals within
the series. 90+ delinquency levels stood at 1.13%
and 0.60% as of June 2011, when cumulative default
rate had reached 0.58% and 0.40% respectively.
Pool factors stood at 50.38% and 63.46% as
of the same date.
FTA Santander Hipotecario 2
Moody's has placed the relevant notes in this transaction on review
for possible downgrade because of the decreasing levels of credit enhancement,
insufficient to absorb potential increase of loss assumption. The
reserve fund is fully drawn and there was an unpaid PDL of EUR 11.83
million as of August 2011. This deal corresponds to securitization
of Spanish RMBS loans originated by Banco Santander S.A.
(Aa2/P-1).
90+ delinquency levels stood at 1.72% as of July 2011,
when cumulative default rate (inclusive of repossessions) had reached
3.19%. Pool factor stood at 54.39%
as of the same date.
Hipotebansa XI FTA
Moody's has placed tranche B on review for downgrade because of the very
low level of credit enhancement to absorb potential increase of loss assumption.
This deal corresponds to securitization of Spanish RMBS loans originated
by Banco Santander S.A. (Aa2/P-1).
90+ delinquency levels stood at 0.70% as of August
2011, when the cumulative default rate (taking cumulative delinquencies
over 6 months as a proxy, as the deal does not include a default
definition) had reached 0.63%. Pool factor stood
at 25.73% as of the same date. In spite of a relative
stable performance observed in this transaction so far Moody's believes
that the current expected loss assumption is low in consideration of the
current macroeconomic environment.
RATING METHODOLOGIES
The principal methodology used in this rating was Moody's Approach to
Rating RMBS in Europe, Middle East, and Africa published in
October 2009. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Other methodologies used include "Revising Default/Loss Assumptions
Over the Life of an ABS/RMBS Transaction" published in December
2008.
AFFECTED TRANCHES
Issuer: BANKINTER 12 FONDO DE TITULIZACIÓN HIPOTECARIA
....EUR655.1M A2 Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Mar 7,
2006 Definitive Rating Assigned Aaa (sf)
....EUR13.1M B Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 7,
2006 Definitive Rating Assigned Aa3 (sf)
....EUR11.9M C Notes, A3 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 7,
2006 Definitive Rating Assigned A3 (sf)
....EUR11.3M D Notes, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 7,
2006 Definitive Rating Assigned Ba1 (sf)
Issuer: BANKINTER 13 FONDO DE TITULIZACIÓN DE ACTIVOS
....EUR24.1M C Notes, A3 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 22,
2006 Definitive Rating Assigned A3 (sf)
....EUR20.5M D Notes, Ba1 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 22,
2006 Definitive Rating Assigned Ba1 (sf)
Issuer: Bankinter 16 Fondo de Titulización de Activos
....EUR46M B Notes, Aa2 (sf) Placed
Under Review for Possible Downgrade; previously on Mar 11,
2008 Definitive Rating Assigned Aa2 (sf)
....EUR38M C Notes, A3 (sf) Placed Under
Review for Possible Downgrade; previously on Mar 11, 2008 Definitive
Rating Assigned A3 (sf)
....EUR34M D Notes, Ba2 (sf) Placed
Under Review for Possible Downgrade; previously on Mar 11,
2008 Definitive Rating Assigned Ba2 (sf)
Issuer: FONCAIXA HIPOTECARIO 9 Fondo de Titulización de Activos
....EUR29.2M B Notes, A1 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 30,
2006 Definitive Rating Assigned A1 (sf)
....EUR7.6M C Notes, Baa2 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 30,
2006 Definitive Rating Assigned Baa2 (sf)
Issuer: Foncaixa Hipotecario 10 Fondo de Titulizacion de Activos
....EUR30M B Notes, Aa3 (sf) Placed
Under Review for Possible Downgrade; previously on May 25,
2007 Definitive Rating Assigned Aa3 (sf)
....EUR12M C Notes, Baa2 (sf) Placed
Under Review for Possible Downgrade; previously on May 25,
2007 Definitive Rating Assigned Baa2 (sf)
Issuer: Fondo de Titulización de Activos SANTANDER HIPOTECARIO
2
....EUR51.8M B Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 12,
2009 Confirmed at Aa3 (sf)
....EUR32.3M C Notes, A3 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 12,
2009 Confirmed at A3 (sf)
....EUR49.8M D Notes, Ba2 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 12,
2009 Downgraded to Ba2 (sf)
....EUR19.6M E Notes, Caa2 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 12,
2009 Downgraded to Caa2 (sf)
Issuer: HIPOTEBANSA 11 FONDO DE TITULIZACION DE ACTIVOS
....EUR15.5M B Notes, A2 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 9,
2002 Definitive Rating Assigned A2 (sf)
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.
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.
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.
Maria Turbica Manrique
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
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 Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's places on review for possible downgrade notes issued by seven Spanish RMBS
