Moody's updates on impact of Bancaja's long-term rating downgrade on Spanish ABS and RMBS
Madrid, October 28, 2008 -- On 5 August 2008, Moody's Investors Service downgraded Caja
de Ahorros de Valencia, C y A. (Bancaja) to A2/P-1/C,
stable outlook from A1/P-1/C+, under review for possible
downgrade.
This update relates to the ratings assigned to notes issued by the following
Spanish ABS and RMBS issuers (the "Issuers"), each of
which is a party to a swap agreement (a "Swap Agreement")
with Bancaja as counterparty or counterparty guarantor:
RMBS Issuers with Bancaja as swap counterparty:
- Bancaja 3, FTA; Bancaja 4, FTH; Bancaja
5, FTA; Bancaja 6, FTA; Bancaja 7, FTA;
and MBS Bancaja 1, FTA;
RMBS Issuers with Bancaja as swap counterparty guarantor:
- Valencia Hipotecario 1 FTA; Valencia Hipotecario 2 FTH;
ABS Issuers with Bancaja as swap counterparty:
- FTPYME Bancaja 1, FTA; FTPYME Bancaja 2, FTA;
FTPYME Bancaja 3, FTA; and Consumo Bancaja 1, FTA;
Pursuant to the Swap Agreements, Bancaja (Banco de Valencia in relation
to Valencia Hipotecario 1 FTA) is required to take suitable remedial action
within 10 or 30 days, depending on the transaction, of its
rating being downgraded below A1. Following the downgrade,
Bancaja (Banco de Valencia in relation to Valencia Hipotecario 1 FTA)
has chosen to take remedial action by way of posting collateral.
Moody's understands that Bancaja (Banco de Valencia in relation
to Valencia Hipotecario 1 FTA) has transferred cash collateral to the
treasury account of each Issuer and that such collateral is re-sized
on a weekly basis in an amount equal to the mark-to-market
value of the relevant Swaps Agreement.
The present collateral arrangements are not governed by a market-standard
credit support documents. Therefore, they do not comply with
Moody's criteria for de-linking swap counterparty risks ("Moody's
Framework") -- see Moody's Report, "Framework
for De-Linking Hedge Counterparty Risks from Global Structured
Finance Cashflow Transactions", May 2007. Further,
the Swap Agreements do not contain certain other provisions that are necessary
to fully comply with Moody's Framework.
Moody's understands that Bancaja (and Banco de Valencia in relation
to Valencia Hipotecario 1 FTA and Valencia Hipotecario 2 FTH) intend to
amend the Swap Agreements to achieve substantial compliance with Moody's
Framework, including the insertion of provisions to (i) regulate
the collateral arrangements (by way of a market-standard "Anexo
III" depending on transactions) and (ii) require Bancaja (and Banco
de Valencia in relation to Valencia Hipotecario 1 FTA and Valencia Hipotecario
2 FTH) to take steps to find a replacement counterparty or guarantor upon
downgrade of its ratings below A3/P-2.
Over the coming weeks, Moody's will closely monitor the situation
and in case the anticipated amendments to the Swap Agreements are not
put in place, review the impact of the limited de-linkage
between Bancaja and each Issuer. Moody's will update the
market accordingly to its findings.
- Last rating action date for Bancaja 3, FTA: no rating
action since closing in July 2002.
- Last rating action date for Bancaja 4, FTH: no rating
action since closing in November 2002.
- Last rating action date for Bancaja 5, FTA: no rating
action since closing in April 2003.
- Last rating action date for Bancaja 6, FTA: no rating
action since closing in December 2003.
- Last rating action date for Bancaja 7, FTA: no rating
action since closing in July 2004.
- Last rating action date for MBS Bancaja 1, FTA: no
rating action since closing in May 2004.
- Last rating action date for Valencia Hipotecario 1, FTA:
no rating action since closing in April 2004.
- Last rating action date for Valencia Hipotecario 2, FTH
no rating action since closing in December 2005.
- Last rating action date for FTPYME Bancaja 1, FTA:
no rating action since closing in March 2002.
- Last rating action date for FTPYME Bancaja 2, FTA:
no rating action since closing in September 2003.
- Last rating action date for FTPYME Bancaja 3, FTA:
no rating action since closing in October 2004.
- Last rating action date for Consumo Bancaja 1, FTA:
no rating action since closing in June 2006.
Moody's monitors FTPYME Bancaja 1 FTA, FTPYME Bancaja 2 FTA and
FTPYME Bancaja 3 FTA, as described in the report: "Moody's
Approach to Rating Granular SME Transactions in Europe, Middle East
and Africa", June 2007. Moody's monitors Consumo Bancaja
1 FTA as described in the report: "The Lognormal Method Applied
to ABS Analysis", July 2000. Moody's monitors the RMBS transactions
mentioned above as described in the reports: "Moody's Approach to
Rating Spanish RMBS: The "Milan" Model", March 2005,
and "Moody's Updated Methodology for Rating Spanish RMBS", July
2008.
For more information on these transactions, please visit Moody's
website at www.moodys.com or contact our Client Service
Desk in London (+44-20-7772 5454).
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
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