London, 25 March 2011 -- Moody's has placed on review for possible downgrade the ratings of 35
tranches in 21 Spanish RMBS and 3 Spanish ABS following the downgrades
of Spanish financial institutions.
On 24 March 2011, Moody's downgraded the senior debt ratings of
30 Spanish financial institutions by one or more notches. Please
refer to the press release from 24 March 2011 for a detailed list of the
rating actions taken by Moody's Financial Institution Group.
Moody's decision to review the rating of Spanish ABS/RMBS follows its
assessment of the transactions under the Moody's "Global Structured Finance
Operational Risk Guidelines: Moody's Approach to Analyzing Performance
Disruption Risk" taking into consideration the latest rating actions on
Spanish banks. The deposit and/or senior debt ratings of 5 Spanish
banks have been downgraded by 3 or 4 notches. This rating migration
exceeds our assumed two-notch-downgrade for servicers whose
ratings were on review at the time of our earlier assessment of operational
risk on 2 March 2011.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
Spanish RMBS and ABS Ratings on Review Because of Operational Risks Concerns
Moody's has placed on review ratings in transactions with Ba-rated
servicers which do not benefit from a rating trigger to appoint a back-up
servicer. The placement of ratings on review also reflects the
insufficiency of liquidity arrangements to support payments on the rated
tranches in the event of servicer disruption. Moody's considers
that the management company in Spanish ABS/RMBS will always act as a back-up
servicer facilitator and take the responsibility of finding a replacement
servicer . For this reason, today's rating review only
affects Spanish RMBS/ABS serviced by non-investment grade entity.
The tranches placed under review include ratings on Aaa and Aa tranches
from transactions serviced by Caixa Catalunya, Tarragona i Manresa,
Banco Pastor, Banco de Valencia and Caja de Ahorros Ontinyent,
which are all now rated non-investment grade. A detailed
list of the rating actions is provided at the end of this press release
and under the the link:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF240889
Moody's will consider in its rating review restructuring proposals
that may be proposed by sponsor to address the increased operational risks.
Moody's to Monitor Spanish ABS/RMBS with Exposure to Affected Financial
Institutions
Moody's notes that Spanish financial institutions affected by the recent
FIG may also act as swap counterparty, account bank providers or
paying agent in Spanish RMBS/ABS transactions.
The affected financial institutions acting as swap counterparty may be
required to either post collateral, seek a replacement or guarantor
and continue posting collateral until such replacement or guarantor is
found. Moody's will monitor the compliance of the transactions
with the current Moody's framework for de-linking hedge counterparty
risks.
Moody's will also monitor the compliance of remedies following any other
rating trigger breach such as the replacement of, or need to find
a guarantor for account bank providers or paying agent which are no longer
rated appropriately (often at loss of P-1). Moody's
will also monitor the appointment of back-up servicer following
breach of trigger (at loss of Baa3). Furthermore, some affected
financial institutions may have to extend liquidity lines or fully draw
down on the credit of line if a given rating trigger is breached (often
at loss of P-1). For most of these structural implications
and replacement obligations, the transaction parties have certain
grace periods (between 10 and 30 days) in which to implement the changes.
If remedies that are described in the current documentation are not implemented,
some ratings may be affected.
The lead analyst and rating office for each of the transactions affected
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
List of ABS ratings placed on review for possible downgrade:
Issuer: FINANCAT I, FTA
....EUR927M A Notes, Aa3 (sf) Placed
Under Review for Possible Downgrade; previously on Jan 22,
2010 Downgraded to Aa3 (sf)
Issuer: GAT FTGENCAT 2007, FTA
....EUR280.8M A2(G) Notes, Aa3
(sf) Placed Under Review for Possible Downgrade; previously on Jan
27, 2011 Downgraded to Aa3 (sf)
Issuer: PYME VALENCIA 1, FTA
....EUR574.8M A2 Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Apr 23,
2010 Downgraded to Aa3 (sf)
List of RMBS ratings placed on review for possible downgrade:
Issuer: GC Pastor Hipotecario 5, Fondo de Titulización
Hipotecaria
....EUR492.8M A2 Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Nov 17,
2010 Downgraded to Aa2 (sf)
Issuer: HIPOCAT 3, Fondo de Titulización Hipotecaria
....EUR426.5M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Sep 27,
1999 Assigned Aaa (sf)
Issuer: HIPOCAT 4 Fondo de Titulización de Activos
....EUR278.2M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Jul 17,
2001 Definitive Rating Assigned Aaa (sf)
....EUR8.9M B Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Jul 17,
2001 Definitive Rating Assigned Aa2 (sf)
Issuer: HIPOCAT 5 Fondo de Titulización de Activos
....EUR648.6M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Oct 29,
2002 Definitive Rating Assigned Aaa (sf)
....EUR26.8M B Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Oct 29,
2002 Definitive Rating Assigned Aa2 (sf)
Issuer: HIPOCAT 6 Fondo de Titulización de Activos
....EUR787.6M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Sep 25,
2003 Definitive Rating Assigned Aaa (sf)
....EUR15.7M B Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Sep 25,
2003 Definitive Rating Assigned Aa2 (sf)
Issuer: HIPOCAT 7, Fondo de Titulización de Activos
....EUR1148.3M A2 Notes, Aaa
(sf) Placed Under Review for Possible Downgrade; previously on Jun
9, 2004 Definitive Rating Assigned Aaa (sf)
....EUR21.7M B Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Jun 9,
2004 Definitive Rating Assigned Aa3 (sf)
Issuer: HIPOCAT 8 Fondo de Titulizacion de Activos
....EUR1155.5M A2 Notes, Aaa
(sf) Placed Under Review for Possible Downgrade; previously on May
10, 2005 Definitive Rating Assigned Aaa (sf)
....EUR26.2M B Notes, Aa1 (sf)
Placed Under Review for Possible Downgrade; previously on May 10,
2005 Definitive Rating Assigned Aa1 (sf)
Issuer: HIPOCAT 9 Fondo de Titulización de Activos
....EUR500M A2a Notes, Aa1 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 15,
2010 Downgraded to Aa1 (sf)
....EUR236.2M A2b Notes, Aa1
(sf) Placed Under Review for Possible Downgrade; previously on Dec
15, 2010 Downgraded to Aa1 (sf)
....EUR22M B Notes, Aa3 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 15,
2010 Downgraded to Aa3 (sf)
Issuer: HIPOCAT 10 Fondo de Titulización de Activos
....EUR733.4M A2 Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Dec 15,
2010 Confirmed at Aa2 (sf)
....EUR300M A3 Notes, Aa1 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 15,
2010 Downgraded to Aa1 (sf)
....EUR200M A4 Notes, Aa1 (sf) Placed
Under Review for Possible Downgrade; previously on Dec 15,
2010 Downgraded to Aa1 (sf)
Issuer: HIPOCAT 14 Fondo de Titulización de Activos
....EUR868.5M A Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 4,
2011 Downgraded to Aa3 (sf)
Issuer: HIPOCAT 16 Fondo de Titulización de Activos
....EUR956.5M A Notes, Aa2 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 4,
2011 Downgraded to Aa2 (sf)
Issuer: IM PASTOR 3 Fondo de Titulización Hipotecaria
....EUR961M A Notes, Aa1 (sf) Placed
Under Review for Possible Downgrade; previously on Jan 29,
2010 Downgraded to Aa1 (sf)
....EUR17M B Notes, Aa3 (sf) Placed
Under Review for Possible Downgrade; previously on Jan 29,
2010 Confirmed at Aa3 (sf)
Issuer: IM PASTOR 4 Fondo de Titulización de Activos
....EUR886M A Notes, Aa2 (sf) Placed
Under Review for Possible Downgrade; previously on Jan 29,
2010 Downgraded to Aa2 (sf)
Issuer: TDA 11 Fondo de Titulización Hipotecaria
....EUR436M A3 Notes, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Feb 11,
2000 Assigned Aaa (sf)
Issuer: TDA 13-MIXTO, Fondo de Titulización
de Activos
....EUR287M A1 Notes, Aaa (sf) Placed
Under Review for Possible Downgrade; previously on Dec 15,
2000 Assigned Aaa (sf)
Issuer: TDA 19 MIXTO, Fondo de Titulización de Activos
....EUR567.3M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Mar 2,
2004 Definitive Rating Assigned Aaa (sf)
Issuer: TDA PASTOR 1 Fondo de Titulización de Activos
....EUR429.8M A1 Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Jul 29,
2010 Confirmed at Aaa (sf)
....EUR47.5M A2 Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Jul 29,
2010 Confirmed at Aaa (sf)
Issuer: TDA TARRAGONA 1 Fondo de Titulización de Activos
....EUR359.7M A Notes, Aa3 (sf)
Placed Under Review for Possible Downgrade; previously on Oct 14,
2010 Downgraded to Aa3 (sf)
Issuer: VALENCIA HIPOTECARIO 1 Fondo de Titulización de Activos
....EUR454.3M A Notes, Aaa (sf)
Placed Under Review for Possible Downgrade; previously on Apr 26,
2004 Definitive Rating Assigned Aaa (sf)
Issuer: VALENCIA HIPOTECARIO 2 Fondo de Titulización Hipotecario
....EUR909.5M A Notes, Aa1 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 11,
2011 Downgraded to Aa1 (sf)
Issuer: VALENCIA HIPOTECARIO 3 Fondo de Titulización de Activos
....EUR780.7M A2 Notes, Aa1 (sf)
Placed Under Review for Possible Downgrade; previously on Mar 11,
2011 Downgraded to Aa1 (sf)
London
Carole Bernard
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt am Main
Sebastian Hoepfner
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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 reviews ratings in Spanish ABS and RMBS transactions following the rating actions on Spanish banks
