Moody’s updates on impact of Caixa Terrassa's short-term rating downgrade on Spanish ABS and RMBS
Madrid, October 06, 2008 -- On August 05 2008 Moody's Investors Service downgraded Caixa d'Estalvis
de Terrassa to A3/P-2/C-, stable outlook from A2/P-1/C,
under review for possible downgrade. This update relates to Spanish
ABS and RMBS transactions which are affected by the downgrade of Caixa
Terrassa's short-term rating to P-2. Separate
updates will be provided for IM Terrassa RMBS 1, FTA, GaT
FTGencat 2007 FTA and GaT FTGencat 2008 FTA, for which transaction
changes were triggered due the downgrade of Caixa d'Estalvis de Terrassa's
long-term and short-term ratings.
Issuer: AyT FTPYME II, FTA:
- No changes were triggered for this transaction, as the
AyT FTPYME II, FTA transaction always included a daily transfer
of all collections Caixa d'Estalvis de Terrassa receives servicing the
loan portfolio to the treasury account (Cuenta de Tesorería) held
by the paying agent (Confederación Española de Cajas de
Ahorros, CECA, Aa2/P-1).
- Last rating action date for AyT FTPYME II, FTA: no
rating action since closing December 2004.
Issuers: AyT FTGencat 1, FTA and AyT Préstamos Consumo
III, FTA:
- No changes were triggered for the above-mentioned transactions,
as no downgrade language in relation to Caixa d'Estalvis de Terrassa
was included in the documentation. The transactions include weekly
sweeps of collections Caixa d'Estalvis de Terrassa receives servicing
the loan portfolios to the treasury account (Cuenta de Tesorería)
held by the paying agent (Confederación Española de Cajas
de Ahorros, CECA, Aa2/P-1).
- Last rating action date for AyT FTGencat 1, FTA:
no rating action since closing December 2002.
- Last rating action date for AyT Préstamos Consumo III,
FTA: no rating action since closing July 2004.
Issuer: TDA 6, FTH:
- No changes were triggered for the above-mentioned transaction
given that no downgrade language in relation to Caixa d'Estalvis
de Terrassa was included in the documentation. The transaction
includes a monthly sweeping mechanism of all collections Caixa d'Estalvis
de Terrassa receives servicing the loan portfolio to the treasury account
(Cuenta de Tesorería) held by the paying agent (Instituto de Crédito
Oficial, ICO, Aaa/P-1).
- Last rating action date for TDA 6, FTH: no rating
action since closing February 1999.
Issuer: TDA 11, FTH:
- No changes were triggered for the above-mentioned transaction:
Caixa d'Estalvis de Terrassa holds the reinvestment account (Cuenta
de Reinversión) which is guaranteed by Caja de Ahorros del Mediterráneo
(CAM, A2/P-1). The transaction includes a monthly
sweeping mechanism of all collections Caixa d'Estalvis de Terrassa receives
servicing the loan portfolio to the reinvestment account.
- Last rating action date for TDA 11, FTH: no rating
action since closing February 2000.
Issuers: TDA 12, FTH; TDA 13 Mixto, FTA; TDA
15 Mixto, FTA and TDA 18 Mixto, FTA:
- No changes were triggered for the above-mentioned transactions
given that Caixa d'Estalvis de Terrassa was not holding a reinvestment
account (Cuenta de Reinversión). The transactions include
a monthly sweeping mechanism of all collections Caixa d'Estalvis de Terrassa
receives servicing the loan portfolios to the treasury account (Cuenta
de Tesorería) held by the paying agent (Instituto de Crédito
Oficial, ICO, Aaa/P-1).
- Last rating action date for TDA 12, FTH: no rating
action since closing July 2000.
- Last rating action date for TDA 13 Mixto, FTA: no
rating action since closing December 2000.
- Last rating action date for TDA 15 Mixto, FTA: no
rating action since closing November 2002.
- Last rating action date for TDA 18 Mixto, FTA: no
rating action since closing November 2003.
Issuer: TDA 22 Mixto, FTA:
- No changes were triggered for this transaction, as the
TDA 22 Mixto, FTH transaction always included a weekly sweep of
all collections Caixa d'Estalvis de Terrassa receives servicing the loan
portfolio to the collection account (Cuenta de Cobros) held by the paying
agent (Banco Santander S.A., Aa1/P-1).
- Last rating action date for TDA 22 Mixto, FTA: no
rating action since closing December 2004.
Moody's notes the above-mentioned transactions are exposed
to different levels of commingling risk. Moody's determines this
risk to be more limited for transactions with weekly sweeps of collections.
This risk for all transactions is mitigated through: (a) increased
level of credit enhancement available for these well seasoned transactions;
(b) the servicing for multi-originator transactions is split between
several servicers.
Moody's has reviewed all the above-mentioned securitisation
transactions to assess the impact of the above-mentioned changes
on the outstanding ratings. Moody's has concluded to take no rating
action as the changes are in line with the transaction documents.
Moody's monitors AyT FTGencat 1, FTA and AyT FTPYME II as described
in the report: "Moody's Approach to Rating Granular SME Transactions
in Europe, Middle East and Africa", June 2007. Moody's
monitors AyT Préstamos Consumo III, 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