London, 26 August 2011 -- Moody's Investors Service has today downgraded the ratings of senior
notes issued by TDA 9, TDA CAM 1, 2, 3, 4,
5, 6, 7, 8, 11 and 12 and confirmed the ratings
of senior notes issued by TDA CAM 9. Banco CAM (Ba1/NP) acts as
servicer in all 12 RMBS transactions. The rating action reflects
the lack of back-up servicing (BUS) arrangements in the transactions
and takes into consideration the intervention of the Bank of Spain on
Banco CAM (rated Ba1). This rating action concludes the rating
review of the transactions. A detailed list of the rating actions
appears at the end of this press release.
Moody's placed the ratings of the senior notes in TDA CAM 5 &
6 on review for downgrade following the implementation on 2 March 2011
of Moody's rating guidance entitled "Global Structured Finance Operational
Risk Guidelines: Moody's Approach to Analyzing Performance Disruption
Risk." The rating agency placed the rating of the senior notes
in TDA 9, TDA CAM 1, 2, 3, 4, 7, 8
& 9 on review for downgrade following the downgrade to Ba1 of Caja
de Ahorros del Mediterraneo (CAM, WR) on 19 April 2011. Moody's
placed the ratings of the senior notes in TDA CAM 11 & 12 on review
for downgrade on 30 June 2011 because of increased operational risks associated
with delays to appoint a back-up-servicer in the transactions.
RATINGS RATIONALE
Today's rating action reflects the lack of back-up servicing
(BUS) arrangements to support payments on the rated tranches in the event
of servicer disruption. In its rating analysis, Moody's
considered the intervention by Bank of Spain on Banco CAM which helps
mitigating servicer disruption in the short term.
On 22 July 2011, the Bank of Spain took control of Caja de Ahorros
del Mediterraneo (CAM, WR). Banco CAM, a wholly owned
subsidiary of CAM, has been created as part of the CAM's recapitalisation
plan. Please refer to the press release "Moody's assigns
Ba1/NP/D to Banco CAM", published on 27 July 2011.
All servicing obligations of CAM (WR), former servicer in all transactions,
have been transferred to Banco CAM (Ba1/NP).
--LACK OF BUS ARRANGEMENT
Moody's notes that the transactions are exposed to operational risk as
there is no BUS arrangement to deal with a potential servicer disruption.
While TDA CAM 11 & 12 include a trigger to appoint a BUS upon the
loss of the servicer's Baa3 rating, no BUS has yet been appointed.
Moody's has been informed by Banco CAM that they are considering the appointment
of a third party as BUS. However, Moody's expects that the
BUS arrangements will not be concluded within the next few months.
Once Banco CAM enters into formal BUS arrangements, Moody's
will reassess the operational risks in the transactions. Moody's
analysis will focus on the strength of the BUS arrangements, the
experience of the BUS in terms of servicing loan portfolios, the
time required for the BUS to replace the initial servicer and the liquidity
available in the transaction to cover the transition period. In
particular, Moody's will assess (i) the time needed for the BUS
to become fully operational; (ii) the compatibility between the BUS
IT system and the servicer's IT system; and (iii) the plan of the
transfer process.
Moody's notes that Titulización de Activos (TdA), the
management company, will coordinate the appointment of the BUS if
Banco CAM is not able to perform its duties. The management company
also acts as an independent cash manager and will be able to use available
funds, including the reserve fund, to support timely payments
on the notes in case of a temporary servicer disruption.
-- INTERVENTION OF THE BANK OF SPAIN TO MITIGATE SERVICER
DISRUPTION IN THE SHORT TERM
On 22 July 2011, the Bank of Spain announced that it had agreed
to initiate a process aimed at capitalising Banco CAM to facilitate its
subsequent disposal to another institution by means of a competitive sale.
Moody's considers that, in the short term, the risk
of servicer disruption on securitisation transactions is mitigated by
the intervention of the Bank of Spain, but uncertainties remain
in the longer term.
Moody's downgrades reflect the lack of BUS arrangement in the transactions
while incorporating the intervention by the Bank of Spain, leading
us to downgrade senior notes of Banco CAM's Spanish RMBS to Aa-range.
In taking today's rating action, Moody's has also considered
the benefit of (i) the liquidity available in the transactions; (ii)
the independent cash manager; and (iii) the BUS facilitator to help
support continuity of payment in case of servicer default.
- HIGH LIQUIDITY LEVELS IN TDA 9, A MULTI-SERVICER
TRANSACTION, AND IN TDA CAM 1, 2, 3, 4,
5, 11 & 12 CONSISTENT WITH Aa2(SF) RATING
TDA 9: Banco CAM and Caja Laboral (Baa2/P2) are servicing about
75% and 25% of the TDA 9 portfolio respectively.
The transaction benefits from a good level of liquidity. The reserve
fund, the sole source of liquidity in the transaction, currently
represents 8.7% of the current balance of the notes.
This is a multi-servicers transaction, which partly mitigates
servicer disruption risk. If a servicer were to default,
the fondo could use the principal received from any of the other two servicers
to make payment of interest under the notes.
TDA CAM 1, 2, 3, 4, 5, 11 & 12:
The reserve funds currently represent between 2% and 5.7%
of current pool balance, which is sufficient to support more than
eight months of interest payments on the senior notes in the event of
a servicer disruption.
The performance of the pools is in line with expectations and Moody's
does not anticipate that the reserve fund will be drawn. Given
the extent of liquidity in the deals, any payment disruption upon
servicer default is consistent with a Aa2(sf) rating.
- LIMITED LEVEL OF LIQUIDITY IN TDA CAM 6, 7, 8 AND
9 CONSISTENT WITH Aa3(SF) RATING
The reserve funds in all four transactions have been drawn and currently
stand at between 60% and 79% of target. The reserve
funds currently represent 0.8%, 1.0%,
1.3% and 1.6% of current pool balance in TDA
CAM 8, 9, 7 and 6, respectively. Given current
performance, Moody's anticipates that the reserve fund will be drawn
further. As a result, Moody's has downgraded the senior notes
in TDA CAM 6, 7 and 8 to Aa3(sf) and confirmed the Aa3(sf) rating
of the senior notes in TDA CAM 9.
PREVIOUS RATING ACTIONS & PRINCIPAL 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. The
other methodology used in this rating was "Moody's Updated Methodology
for Rating Spanish RMBS", published in October 2009.
The Operational Risk Guidelines described in this press release complement
the applicable principal methodologies for each asset class. To
identify the primary methodology for each of the asset classes of the
affected transactions, please refer to the index of methodologies
under the research and ratings tab on Moodys.com.
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. The rating agency's ratings address
only the credit risks associated with the transaction. Moody's
has not addressed non-credit risks, which may have a significant
effect on yield to investors.
LIST OF ACTIONS
Issuer: TDA 9
....EUR167.5M A3 Notes, Downgraded
to Aa2 (sf); previously on Apr 28, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TdA CAM 1
....EUR973.5M A Notes, Downgraded
to Aa2 (sf); previously on Apr 28, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 2 Fondo de Titulizacion de Activos
....EUR1072.8M A Notes, Downgraded
to Aa2 (sf); previously on Apr 28, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 3 FONDO DE TITULIZACION DE ACTIVOS
....EUR1171.2M A Notes, Downgraded
to Aa2 (sf); previously on Apr 28, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 4 Fondo de Titulización de Activos
....EUR1952M A Notes, Downgraded to
Aa2 (sf); previously on Apr 28, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TdA CAM 5 Fondo de Titulización de Activos
....EUR1944M A Notes, Downgraded to
Aa2 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
Issuer: TdA CAM 6 Fondo de Titulización de Activos
....EUR343M A1 Notes, Downgraded to
Aa3 (sf); previously on Mar 2, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
....EUR155M A2 Notes, Downgraded to
Aa3 (sf); previously on Apr 28, 2011 Aa2 (sf) Placed Under
Review for Possible Downgrade
....EUR752M A3 Notes, Downgraded to
Aa3 (sf); previously on Apr 28, 2011 Aa2 (sf) Placed Under
Review for Possible Downgrade
Issuer: TdA CAM 7 FONDO DE TITULIZACION DE ACTIVOS
....EUR1207.3M A2 Notes, Downgraded
to Aa3 (sf); previously on Apr 28, 2011 Aa2 (sf) Placed Under
Review for Possible Downgrade
....EUR200M A3 Notes, Downgraded to
Aa3 (sf); previously on Apr 28, 2011 Aa2 (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 8
....EUR1635.4M A Notes, Downgraded
to Aa3 (sf); previously on Apr 28, 2011 Aa1 (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 9 Fondo de Titulización de Activos
....EUR250M A1 Notes, Confirmed at Aa3
(sf); previously on Apr 28, 2011 Aa3 (sf) Placed Under Review
for Possible Downgrade
....EUR943.5M A2 Notes, Confirmed
at Aa3 (sf); previously on Apr 28, 2011 Aa3 (sf) Placed Under
Review for Possible Downgrade
....EUR230M A3 Notes, Confirmed at Aa3
(sf); previously on Apr 28, 2011 Aa3 (sf) Placed Under Review
for Possible Downgrade
Issuer: TDA CAM 11 Fondo de Titulizacion de Activos
....EUR334.8M A1 Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR517.9M A2 Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR403.2M A3 Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR229.1M A4 Notes, Downgraded
to Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA CAM 12, FTA
....EUR380M A1 Notes, Downgraded to
Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR665M A2 Notes, Downgraded to
Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR418M A3 Notes, Downgraded to
Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
....EUR228M A4 Notes, Downgraded to
Aa2 (sf); previously on Jun 30, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
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.
The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the ratings are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of this transaction
in the past six months.
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.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the credit rating action. Please see the
ratings disclosure page on our website www.moodys.com for
further information.
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.
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
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 Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes action on senior notes in 12 Spanish RMBS by Banco CAM
