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I AGREE
01 Feb 2010
Frankfurt, February 01, 2010 -- Moody's Investors Service has taken today the following actions on the
long-term credit rating of the following notes issued by Foncaixa
Ftgencat 3, FTA:
- class A(G) notes, Confirmed at Aaa, previously placed
under review for downgrade on 23 March 2009
- class B notes, Upgraded to Aa3 from A1, previously
placed under review for downgrade on 23 March 2009
- class C notes, Confirmed at Baa2, previously placed
under review for downgrade on 23 March 2009
- class D notes, Confirmed at Ba2, previously placed
under review for downgrade on 23 March 2009
Moody's initially assigned definitive ratings on 16 November 2005.
Today's rating action concludes the rating review resulting from Moody's
revision of its methodology for granular SME portfolios in Europe,
Middle East and Africa (EMEA). This revised methodology was introduced
on 17 March 2009 and the affected transactions had been subsequently placed
on review for downgrade on 23 March 2009.
As a result of its revised methodology, Moody's has reviewed its
assumptions for Foncaixa Ftgencat 3 collateral portfolio, taking
into account anticipation of performance deterioration in the current
down cycle, and the exposure of the transaction to the real estate
sector (either through security in the form of a mortgage or debtors operating
in these markets). The deterioration of the Spanish economy has
been reflected in Moody's negative sector outlook on Spanish SME securitisation
transactions ("EMEA ABS & RMBS: 2009 Review & 2010 Outlook",
published in January 2010). To date, this transaction has
been performing better than the Spanish SME index. As of December
2009, the outstanding 90+ delinquency rate is at 1.75%
of current balance and the cumulative defaults (more than 12 months in
delinquencies) stand at 0.39% of original balance.
At end of December 2009 the reserve fund level was built up from EUR 6,401,699
in November to EUR 6,494,668 and is now almost at its target
level of EUR 6,500,000.
As a result of the above, Moody's has revised its assumption of
the default probability of the SME debtors to an equivalent rating in
the single B-range for the debtors operating in the real estate
sector, and in the low Ba-range for the non-real-estate
debtors. Additionally, loans in arrears are notched down
depending on the length of time the loans have been in arrears,
and performing loans not in building and real estate sector with relatively
long seasoning are notched up depending on their actual seasoning.
At the same time Moody's estimated the remaining weighted average life
of the portfolio equal to 4.4 years. As a consequence,
these revised assumptions have translated into a cumulative mean default
assumption of 7.5% of the current outstanding portfolio
amount. When converting this number into a cumulative mean default
rate of original portfolio balance, the revised expected cumulative
default rate is 4.8% compared to an initial assumption of
2.5% at closing. Given the high granularity of the
outstanding portfolio (effective number of borrowers is 1,292 as
of December 2009), Moody's applied a normal inverse distribution
to derive the probabilities of its default scenarios. The volatility
was slightly reduced to 54% from 60% assumed at closing,
taking into account the significant concentration in the construction
& building sector. According to Moody's sector classification
the portion of this sector in the outstanding pool balance as of December
2009 was 45%. Stochastic recoveries were modeled assuming
a 65% mean recovery rate and a 20% standard deviation.
This compares to an initial assumption at closing of 32.5%
fixed recovery rate. This strong increase in the recovery rate
is mainly due to the high percentage of mortgage securities (mainly residential)
backing the securitised loans with low LTV and long seasoning of the loans.
The constant prepayment rate (CPR) Moody's used in its cash flow model
was decreased to 5% and aligned to the average CPR observed so
far. This compares to 15% assumed at close. Moody's
tested various sensitivities around these assumptions in order to determine
its final view on the ratings.
In summary, Moody's concluded that the negative effects of the revised
default and volatility assumptions could be offset by the increase in
credit enhancement and the recovery rate expectations for the outstanding
A(G), B, C and D notes. In particular the doubling
of credit enhancement for the benefit of the class B notes more than offset
the revised assumptions which resulted in an upgrade.
The class A(G) notes benefit from a guarantee from the Generalitat de
Catalunya (A1) for interest and principal payments. Moody's has
determined that the expected loss associated with class A(G) without giving
benefit to the Generalitat de Catalunya guarantee is consistent with a
Aaa rating.
Foncaixa Ftgencat 3, FTA is a securitisation fund, which purchased
a pool of loans granted to Spanish SMEs and individuals originated by
Caja de Ahorros y Pensiones de Barcelona ("La Caixa"). In the provisional
pool as of November 2005 the portfolio consisted of 11,267 loans
and 9,230, debtors. The loans were originated between
1988 and 2005, with a weighted average seasoning of 2.2 years
and a weighted average remaining term of 13.8 years. As
of December 2009 the outstanding portfolio counted 4,219 loans with
3,524 debtors. The weighted average seasoning was calculated
at 7 years with a weighted average remaining term of 13.2 years.
In terms of geographic concentration, the pool was and still is
fully concentrated in Catalonia. At close the concentration in
the building and real estate sector equaled to 40% of the original
portfolio amount. As of December 2009, this percentage made
up approximately 45% and the pool factor was 42%.
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. Moody's ratings address only the credit
risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
The principal methodologies used in rating this transaction were Moody's
" Refining the ABS SME Approach: Moody's Probability of Default
Assumptions in the rating analysis of granular Small and Mid-sized
Enterprise portfolios in EMEA", March 2009 and available on www.moodys.com
in the Rating Methodologies sub-directory under the Research &
Ratings tab. Other methodologies and factors that may have been
considered in the process of rating this issuer can also be found in the
Rating Methodologies sub-directory on Moody's website. Further
information on Moody's analysis of this transaction is available on www.moodys.com.
In addition, Moody's published a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's is closely monitoring the transaction. To obtain a copy
of Moody's New Issue Report or periodic Performance Overviews, please
visit Moody's website at www.moodys.com or contact our Client
Service Desk in London (+44-20-7772 5454).
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Sebastian Hoepfner
Associate Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's upgrades mezzanine notes of Spanish SME ABS Foncaixa Ftgencat 3, FTA, other notes are confirmed.
No Related Data.
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