Approximately EUR 11.82 billion of debt securities affected
Madrid, February 08, 2011 -- Moody's Investors Service has today placed under review for possible downgrade
the ratings of 39 classes of notes issued by 12 Spanish RMBS transactions.
The review was prompted by the worse-than-expected performance
of the collateral backing the notes and follows a portfolio review of
the performance of all 217 Moody's rated Spanish RMBS transactions
currently outstanding. A complete list of all 39 classes of notes
placed today on review for possible downgrade can be found at the end
of this press release. Moody's expects to conclude its rating
reviews within six months.
TRANSACTION REVIEWS
Moody's has conducted a portfolio review of the performance of all
the 217 Moody's rated Spanish RMBS transactions outstanding. During
the analysis, the rating agency flagged tranches corresponding to
12 deals for which collateral performance to date deviates from Moody's
expectations. In these transactions the level of available credit
enhancement is not sufficient to absorb the future projected losses on
the respective portfolios.
Moody's has also factored into its review the negative outlook for Spanish
RMBS. The sector outlook reflects the following expectations of
key macro-economic indicators for 2011: GDP growth below
1%; house prices to continue to fall with an eventual peak-to-trough
drop in prices of around 20%; unemployment likely to remain
above 19% and an increasing number of unemployment benefits expiration.
For detailed information please see Moody's-Economy.com
or for transaction specific performance, please refer to Moody's
Performance Overviews available on www.moodys.com.
The full review of the ratings of the affected notes will take into account
the current capital structures in their respective transactions.
As part of its analysis Moody's will reassess its lifetime loss expectation
for each of the 12 transactions. Moody's will also request updated
loan-by-loan information to revise its MILAN Aaa credit
enhancement. Loan-by-loan information will also allow
Moody's to validate its assumptions with regards to which loans have a
higher default propensity. 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 in
our cash-flow model.
TRANSACTION OVERVIEWS
- AyT Caixanova Hipotecario I closed in December 2007. The
assets supporting the loans include loans to SMEs and loans backed by
second homes (27% and 20% respectively at closing).
Loans more than 90 days in arrears represented 3.41% of
the current portfolio balance as of October 2010, while cumulative
defaults amounted to 2.83% of the original portfolio balance.
The pool factor was 72.22% as of the same date. The
reserve fund is at 0.65% of its target level. Current
expected loss assumption for this transaction is 1.48% of
original pool balance.
- AyT Hipotecario Mixto V closed in July 2006. The assets
supporting the notes are first-lien mortgage loans secured by residential
properties located in Spain. Loans more than 90 days in arrears
represented 1.75% of the current portfolio balance as of
December 2010, while cumulative defaults amounted to 0.56%
of the original portfolio balance. The pool factor was 61.84%
as of the same date. The reserve fund is at 74% of its target
level. Current expected loss assumption for this transaction is
0.66% of original pool balance.
- BBVA RMBS 1 closed in February 2007. All the loans supporting
the notes had a loan to value (LTV) over 80% at closing.
Loans more than 90 days in arrears represented 0.54% of
the current portfolio balance as of December 2010, while cumulative
defaults amounted to 2.31% of the original portfolio balance.
The last figure does not include loans repossessed before being 12 months
in arrears. Outstanding repossessions represented 0.80%
of original pool balance as of December 2010. The pool factor was
70.20% as of the same date. The reserve fund is at
10.62% of its target level. Current expected loss
assumption for this transaction is 1.90% of original pool
balance.
- BBVA RMBS 3 closed in July 2007. 54% of loans supporting
the notes have a loan to value (LTV) over 80% at closing.
Loans more than 90 days in arrears represented 1.23% of
the current portfolio balance as of November 2010, while cumulative
defaults amounted to 5.44% of the original portfolio balance.
The last figure does not include loans repossessed before being 12 months
in arrears. Outstanding repossessions represented 1.42%
of original pool balance as of November 2010. The pool factor was
76.11% as of the same date. The reserve fund is fully
drawn and there is an unpaid PDL of EUR 97.31 million, larger
than class C balance. Current expected loss assumption for this
transaction is 2.40% of original pool balance.
- BBVA RMBS 6 closed in November 2008. 11.5%
of the loans supporting the notes had an LTV over 80% at closing,
7.6% corresponded to second homes and 6.16%
were granted to multiple borrowers. Loans more than 90 days in
arrears represented 0.68% of the current portfolio balance
as of October 2010, while cumulative defaults amounted to 0.24%
of the original portfolio balance. The last figure does not include
loans repossessed before being 12 months in arrears. Outstanding
repossessions represented 0.19% of original pool balance
as of October 2010. The pool factor was 83.42% as
of the same date. The reserve fund has been drawn for 3 periods
and is currently at 88.49% of its target level. Current
expected loss assumption for this transaction is 1% of original
pool balance.
- Hipocat 11 closed in March 2007. All the loans supporting
the notes correspond to flexible products .A large share of loans
have a loan to value (LTV) over 80% and approximately 30%
of the pool was granted to non-Spanish nationals. Loans
more than 90 days in arrears represented 3.5% of the current
portfolio balance as of October 2010, while cumulative defaults
amounted to 14.15% of the original portfolio balance.
The pool factor was 50% as of the same date. The reserve
fund is fully drawn and there is an unpaid PDL of EUR 58.73 million,
which represents 91.77% of class C balance. Classes
B and C are not receiving any interest since October 2010 and January
2010 respectively, following trigger breach and insufficient available
funds to meet these payments. Current expected loss assumption
for this transaction is 8% of original pool balance.
- IM Sabadell RMBS 3 closed in December 2008. The assets
supporting the notes are first-lien mortgage loans secured by residential
properties located in Spain. Loan purpose for 9.46%
of the loans at closing was the acquisition of a second home. Loans
more than 90 days in arrears represented 0.80% of the current
portfolio balance as of December 2010, while cumulative defaults
amounted to 0.59% of the original portfolio balance.
The pool factor was 79.12% as of the same date. The
reserve fund is at 92.72% of its target level. Current
expected loss assumption for this transaction is 1.16% of
original pool balance.
- MBS Bancaja 3 closed in June 2006. The assets supporting
the notes are first-lien mortgage loans secured by properties located
in Spain. 13% of the initial portfolio comprised commercial
properties. Loans more than 90 days in arrears were equal to 1.91%
of the current pool balance as of December 2010, while cumulative
defaults amounted to 1.12% of the original portfolio balance.
The pool factor was 50.36% as of the same date. The
reserve fund is at target but was drawn slightly in some payment dates.
Current expected loss assumption for this transaction is 0.55%
of original pool balance.
- Rural Hipotecario X closed in June 2008. The assets supporting
the notes are first-lien mortgage loans secured by properties located
in Spain. The pool includes a small percentage of high LTV loans,
loans to non-Spanish residents and second homes. Loans more
than 90 days in arrears represented 2.28% of the current
portfolio balance as of November 2010, while cumulative defaults
amounted to 0.85% of the original portfolio balance.
The last figure does not include loans repossessed before being 12 months
in arrears. Outstanding repossessions represented 0.08%
of original pool balance as of November 2010. The pool factor was
80.48% as of the same date. The reserve fund is at
83.66% of its target level. Current expected loss
assumption for this transaction is 1% of original pool balance.
- TDA 22 Mixto closed in December 2004. The assets supporting
the notes are first-lien mortgage loans secured by properties located
in Spain. Each subpool backs a different set of notes. Subpool
1, which does not include any high LTV loan, has a strong
concentration in the region of Andalusia. Subpool 2 included high
LTV loans and has a strong concentration in the region of Catalonia.
Loans more than 90 days in arrears represented 2.47% of
the current portfolio balance as of September 2010 in the case of subpool
1 and 1.87% for subpool 2, while cumulative defaults
amounted to 2.08% and 1.34% of the original
portfolio balance respectively. The pool factors were 34.71%
and 43.81% respectively as of the same date. The
reserve funds are at 55.36% and 87.45% of
their target level respectively. Current expected loss assumptions
for this transaction are 0.26% and 0.42% of
original pool balance respectively.
- TDA 30 closed in March 2008. The assets supporting the
notes are first-lien mortgage loans secured by properties located
in Spain. The pool includes high LTV loans (20.84%
at closing), second homes (15.65%), loans to
non residents (10.85%) and loans originated via broker (6.67%).
Loans more than 90 days in arrears represented 0.72% of
the current portfolio balance as of September 2010, while cumulative
defaults amounted to 1.61% of the original portfolio balance.
The pool factor was 79.25% as of the same date. The
reserve fund is at 97.98% of its target level. Current
expected loss assumption for this transaction is 0.95% of
original pool balance.
- Valencia Hipotecario 5 closed in December 2008. The assets
supporting the notes are first-lien mortgage loans secured by properties
located in Spain. The pool includes high LTV loans (13.84%
as of November 2010), second homes (10.05%) and loans
to non residents (15.3%). Loans more than 90 days
in arrears represented 2.60% of the current portfolio balance
as of November 2010, while cumulative defaults amounted to 1.23%
of the original portfolio balance. The last figure does not include
loans repossessed before being 12 months in arrears. Outstanding
repossessions represented 0.19% of original pool balance
as of November 2010. The pool factor was 88.29% as
of the same date. The reserve fund is at 76.1% of
its target level. Current expected loss assumption for this transaction
is 2.75% of original pool balance.
LIST OF AFFECTED NOTES
The classes of notes affected by today's rating review are detailed
below.
Issuer: AYT CAIXANOVA HIPOTECARIO I FTA
....EUR281.1M A Certificate,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Dec 11, 2007 Definitive Rating Assigned Aaa (sf)
....EUR8.4M B Certificate, A2
(sf) Placed Under Review for Possible Downgrade; previously on Dec
11, 2007 Definitive Rating Assigned A2 (sf)
....EUR6.3M C Certificate, Baa1
(sf) Placed Under Review for Possible Downgrade; previously on Dec
11, 2007 Definitive Rating Assigned Baa1 (sf)
....EUR4.2M D Certificate, Ba2
(sf) Placed Under Review for Possible Downgrade; previously on Dec
11, 2007 Definitive Rating Assigned Ba2 (sf)
....EUR6.6M E Certificate, Ca
(sf) Placed Under Review for Possible Downgrade; previously on Dec
11, 2007 Definitive Rating Assigned Ca (sf)
Issuer: AyT HIPOTECARIO MIXTO V FTA
....EUR13.4M C Certificate, Baa3
(sf) Placed Under Review for Possible Downgrade; previously on Jul
18, 2006 Definitive Rating Assigned Baa3 (sf)
Issuer: BBVA RMBS 1 FTA
....EUR1400M A2 Certificate, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Feb 20,
2007 Definitive Rating Assigned Aaa (sf)
....EUR495M A3 Certificate, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Feb 20,
2007 Definitive Rating Assigned Aaa (sf)
....EUR120M B Certificate, A1 (sf) Placed
Under Review for Possible Downgrade; previously on Apr 2, 2009
Downgraded to A1 (sf)
....EUR85M C Certificate, Ba3 (sf) Placed
Under Review for Possible Downgrade; previously on Apr 2, 2009
Downgraded to Ba3 (sf)
Issuer: BBVA RMBS 3 FTA
....EUR1200M A1 Certificate, Aa1 (sf)
Placed Under Review for Possible Downgrade; previously on May 4,
2009 Downgraded to Aa1 (sf)
....EUR595.5M A2 Certificate,
Aa1 (sf) Placed Under Review for Possible Downgrade; previously on
May 4, 2009 Downgraded to Aa1 (sf)
....EUR960M A3 Certificate, Aa1 (sf)
Placed Under Review for Possible Downgrade; previously on Apr 2,
2009 Downgraded to Aa1 (sf)
....EUR156M B Certificate, Baa3 (sf)
Placed Under Review for Possible Downgrade; previously on Apr 2,
2009 Downgraded to Baa3 (sf)
....EUR88.5M C Certificate, B3
(sf) Placed Under Review for Possible Downgrade; previously on Apr
2, 2009 Downgraded to B3 (sf)
Issuer: BBVA RMBS 6 FTA
....EUR4795.1M A Certificate,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Nov 11, 2008 Definitive Rating Assigned Aaa (sf)
....EUR82.5M B Certificate, A1
(sf) Placed Under Review for Possible Downgrade; previously on Nov
11, 2008 Definitive Rating Assigned A1 (sf)
....EUR117.4M C Certificate,
Baa3 (sf) Placed Under Review for Possible Downgrade; previously
on Nov 11, 2008 Definitive Rating Assigned Baa3 (sf)
Issuer: HIPOCAT 11 FTA
....EUR1083.2M A2 Notes, A2 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 18,
2009 Downgraded to A2 (sf)
....EUR200M A3 Notes, A2 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 18,
2009 Downgraded to A2 (sf)
....EUR52.8M B Notes, B1 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 18,
2009 Downgraded to B1 (sf)
....EUR64M C Notes, Ca (sf) Placed Under
Review for Possible Downgrade; previously on Dec 18, 2009 Downgraded
to Ca (sf)
Issuer: IM Sabadell RMBS 3 FTA
....EUR1411.2M A Certificate,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Dec 10, 2008 Definitive Rating Assigned Aaa (sf)
....EUR14.4M B Certificate, A1
(sf) Placed Under Review for Possible Downgrade; previously on Dec
10, 2008 Definitive Rating Assigned A1 (sf)
....EUR14.4M C Certificate, Baa3
(sf) Placed Under Review for Possible Downgrade; previously on Dec
10, 2008 Definitive Rating Assigned Baa3 (sf)
Issuer: MBS BANCAJA 3 FTA
....EUR668M A2 Certificate, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Apr 3,
2006 Definitive Rating Assigned Aaa (sf)
....EUR13.2M B Certificate, Aa2
(sf) Placed Under Review for Possible Downgrade; previously on Apr
3, 2006 Definitive Rating Assigned Aa2 (sf)
....EUR11.6M C Certificate, A2
(sf) Placed Under Review for Possible Downgrade; previously on Apr
3, 2006 Definitive Rating Assigned A2 (sf)
....EUR7.2M D Certificate, Baa3
(sf) Placed Under Review for Possible Downgrade; previously on Apr
3, 2006 Definitive Rating Assigned Baa3 (sf)
....EUR10M E Certificate, Ca (sf) Placed
Under Review for Possible Downgrade; previously on Apr 3, 2006
Definitive Rating Assigned Ca (sf)
Issuer: RURAL HIPOTECARIO X FTA
....EUR53.6M C Certificate, Baa3
(sf) Placed Under Review for Possible Downgrade; previously on Jul
2, 2008 Definitive Rating Assigned Baa3 (sf)
Issuer: TDA 22 - MIXTO FTA
....EUR3.7M C1 Bond, Baa2 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 10,
2004 Definitive Rating Assigned Baa2 (sf)
....EUR2.7M D1 Bond, Ba2 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 10,
2004 Definitive Rating Assigned Ba2 (sf)
Issuer: TDA 30 FTA
....EUR364.2M A Certificate,
Aaa (sf) Placed Under Review for Possible Downgrade; previously on
Mar 14, 2008 Definitive Rating Assigned Aaa (sf)
....EUR8.8M B Certificate, A1
(sf) Placed Under Review for Possible Downgrade; previously on Mar
14, 2008 Definitive Rating Assigned A1 (sf)
....EUR7M C Certificate, Baa2 (sf) Placed
Under Review for Possible Downgrade; previously on Mar 14,
2008 Definitive Rating Assigned Baa2 (sf)
Issuer: VALENCIA HIPOTECARIO 5 FTA
....EUR468M A Certificate, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Dec 18,
2008 Definitive Rating Assigned Aaa (sf)
....EUR5M B Certificate, Aa1 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 18,
2008 Definitive Rating Assigned Aa1 (sf)
....EUR27M C Certificate, Ba3 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 18,
2008 Definitive Rating Assigned Ba3 (sf)
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 transactions. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
The principal methodologies used in rating and/or monitoring these transaction
were Moody's MILAN Methodology for Rating Spanish RMBS published in July
2008, and Revising Default/Loss Assumptions Over the Life of an
ABS/RMBS Transaction published in December 2008. 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.
Please also refer to the "Spanish Prime RMBS Indices - November
2010", which is available on www.moodys.com in the
Industry / Sector Research sub-directory under the Research &
Ratings tab.
Additional research, including the pre-sale report for this
transaction and reports for prior transactions, are available at
www.moodys.com. 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
Madrid
Maria Turbica Manrique
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's reviews notes in 12 Spanish RMBS transactions for possible downgrade
