Moody's takes action on 13 Spanish RMBS transactions
Madrid, July 23, 2008 -- In a new Rating Methodology report, published 22 July 2008,
Moody's Investors Service explains recent updates to its modelling
approach to rating Spanish residential mortgage-backed securities
(RMBS). The amendments outlined in the new report relate to updates
of certain parameters within the Spanish MILAN model implemented by Moody's
during 2007 and 2008 to date. In particular, Moody's
has updated its analysis of Spanish borrowers' stressed default
frequency and Spanish house price stress rates. Moody's has
also refined the adjustments it makes in relation to loan products,
borrower characteristics and origination channels.
Overall, the refinements to Moody's MILAN tool for Spain result
in higher credit enhancement levels for Spanish RMBS pools, especially
those with riskier features, such as higher loan-to-value
ratios and higher-risk products. Within the universe of
transactions rated by Moody's that are backed by pools with such riskier
features, Moody's has flagged 13 deals, most of which
are currently performing outside of our initial expectations. For
these deals we expect the methodology update to typically have a one notch
impact, although some tranches may be affected by up to two notches,
on the current ratings, in addition to any further rating impact
that may be driven by the performance review. Moody's will in the
coming days put under review for downgrade all affected tranches.
Moody's does not expect that at this stage any other ratings to be affected
only as a result of these updates.
Moody's has today put under review for downgrade the following tranches:
Issuer: Bancaja 11 Fondo de Titulización de Activos
- Class B, EUR 63.0 Million, Current Rating
A1, on review for possible downgrade
- Class C EUR 24.0 Million, Current Rating Baa3,
on review for possible downgrade
- Class D EUR 20.0 Million, Current Rating Ba3,
on review for possible downgrade
Issuer: BBVA RMBS 1 Fondo de Titulización de Activos
- Class B, EUR 120.0 Million, Current Rating
Aa3, on review for possible downgrade
- Class C, EUR 85.0 Million, Current Rating
Baa2, on review for possible downgrade
Issuer: Fondo de Titulización de Activos SANTANDER HIPOTECARIO
2
- Class A, EUR 1,368.8 Million, Current
Rating Aaa, on review for possible downgrade
- Class B, EUR 51.8 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 32.3 Million, Current Rating
A2, on review for possible downgrade
- Class D, EUR 49.8 Million, Current Rating
Baa2, on review for possible downgrade
- Class E, EUR 19.6 Million, Current Rating
Ba3, on review for possible downgrade
- Class F, EUR 17.6 Million, Current Rating
Caa2, on review for possible downgrade
Issuer: Fondo de Titulización de Activos SANTANDER HIPOTECARIO
3
- Series A1, EUR 413.2 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 1,540.0 Million, Current
Rating Aaa, on review for possible downgrade
- Series A3, EUR 411.4 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 79.2 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 47.5 Million, Current Rating
A1, on review for possible downgrade
- Class F, EUR 22.4 Million, Current Rating
Ca, on review for possible downgrade
Issuer: Fondo de Titulización de Activos SANTANDER HIPOTECARIO
4
- Series A1, EUR 149.5 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 661.9 Million, Current Rating
Aaa, on review for possible downgrade
- Series A3, EUR 278.0 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 20.9 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 30.7 Million, Current Rating
A1, on review for possible downgrade
- Class D, EUR 27.1 Million, Current Rating
Baa1, on review for possible downgrade
- Class E, EUR 27.1 Million, Current Rating
Ba2, on review for possible downgrade
- Class F, EUR 14.8 Million, Current Rating
Ca, on review for possible downgrade
Issuer: HIPOCAT 10 Fondo de Titulización de Activos
- Class B, EUR 54.8 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 51.8 Million, Current Rating
Baa2, on review for possible downgrade
- Class D, EUR 25.5 Million, Current Rating
Caa3, on review for possible downgrade
Issuer: HIPOCAT 11 Fondo de Titulización de Activos
- Series A1, EUR 82.8 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 1,083.2 Million, Current
Rating Aaa, on review for possible downgrade
- Series A3, EUR 200.0 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 52.8 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 64.0 Million, Current Rating
Baa2, on review for possible downgrade
- Class D, EUR 28.0 Million, Current Rating
Caa3, on review for possible downgrade
Issuer: HIPOCAT 12 Fondo de Titulización de Activos
- Class A, EUR 1,425.1 Million, Current
Rating Aaa, on review for possible downgrade
- Class B, EUR 70.4 Million, Current Rating
Aa3, on review for possible downgrade
- Class C, EUR 83.2 Million, Current Rating
Baa3, on review for possible downgrade
- Class D, EUR 28.0 Million, Current Rating
Ca, on review for possible downgrade
Issuer: MADRID RMBS I Fondo de Titulización de Activos
- Series A1, EUR 185.4 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 1,340.0 Million, Current
Rating Aaa, on review for possible downgrade
- Class B, EUR 70.0 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 75.0 Million, Current Rating
A2, on review for possible downgrade
- Class D, EUR 34.0 Million, Current Rating
Baa2, on review for possible downgrade
- Class E, EUR 21.0 Million, Current Rating
Ba2, on review for possible downgrade
Issuer: MADRID RMBS II Fondo de Titulización de Activos
- Series A1, EUR 167.9 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 936.0 Million, Current Rating
Aaa, on review for possible downgrade
- Series A3, EUR 270.0 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 63.0 Million, Current Rating
Aa1, on review for possible downgrade
- Class C, EUR 67.5 Million, Current Rating
A2, on review for possible downgrade
- Class D, EUR 30.6 Million, Current Rating
Baa3, on review for possible downgrade
- Class E, EUR 18.9 Million, Current Rating
Ba3, on review for possible downgrade
Issuer: MADRID RMBS III Fondo de Titulización de Activos
- Series A1, EUR 510.1 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 1,575.0 Million, Current
Rating Aaa, on review for possible downgrade
- Series A3, EUR 497.0 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 55.5 Million, Current Rating
Aa2, on review for possible downgrade
- Class C, EUR 90.0 Million, Current Rating
A2, on review for possible downgrade
- Class D, EUR 72.0 Million, Current Rating
Baa2, on review for possible downgrade
- Class E, EUR 52.5 Million, Current Rating
Ba3, on review for possible downgrade
Issuer: Serie AyT Colaterales Global Hipotecario Caja España
I
- Class A, EUR 423.4 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 45.0 Million, Current Rating
A2, on review for possible downgrade
- Class C, EUR 11.0 Million, Current Rating
Baa3, on review for possible downgrade
- Class D, EUR 6.5 Million, Current Rating Ba2,
on review for possible downgrade
Issuer: TDA CAM 10 Fondo de Titulización de Activos
- Series A1, EUR 148.9 Million, Current Rating
Aaa, on review for possible downgrade
- Series A2, EUR 802.2 Million, Current Rating
Aaa, on review for possible downgrade
- Series A3, EUR 147.8 Million, Current Rating
Aaa, on review for possible downgrade
- Series A4, EUR 175.0 Million, Current Rating
Aaa, on review for possible downgrade
- Class B, EUR 46.4 Million, Current Rating
A3, on review for possible downgrade
- Class C, EUR 42.0 Million, Current Rating
Baa3, on review for possible downgrade
The rating reviews will be concluded over course of the next three to
six months following a detailed review and remodeling with updated performance
data of each transaction. In the meantime, Moody's
will continue to closely monitor the performance of the portfolios in
the next quarterly periods.
London
Barbara Rismondo
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Madrid
Juan Pablo Soriano
Managing Director
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454