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Titulización al Ruedo: Securitisation in Spain October 2009 Contacts Madrid c/ General Castaños, 11, 1

Titulización al Ruedo:

Securitisation in Spain

October 2009

Contacts

Madrid c/ General Castaños, 11, 1 28004 Madrid +34 91 702 46 12

Rui J. Pereira: +34 91 702 57 74 rui.pereira@fitchratings.com

MBS Alvaro Gil: +34 91 702 57 77 alvaro.gil@fitchratings.com

Carlos Masip : +34 91 702 57 73 carlos.masip@fitchratings.com

CDOS Gastón Wieder: +34 91 702 57 78 gaston.wieder@fitchratings.com

Carlos Terré: +34 91 702 57 72 carlos.terre@fitchratings.com

ABS Marta Aísa: +34 91 702 57 76 marta.aisa@fitchratings.com

Business Development José Maria Santos: +34 93 323 84 00 jose.santos@fitchratings.com

Team Assistant Carmen Blázquez: +34 91 702 46 12 carmen.blazquez@fitchratings.com

Financial Institutions Carmen Muñoz: +34 93 323 84 08 carmen.munoz@fitchratings.com

Covered Bonds Jaime Martí: +44 20 7682 7458 jaime.marti@fitchratings.com

Sovereign Andres Klaar: +44 20 7417 6284 andres.klaar@fitchratings.com

Introduction and Structured Finance Market Overview

Rui J. Pereira and Marta Aísa

Welcome to the seventh issue of Fitch Ratings’ Spanish structured finance newsletter, “Titulización al Ruedo”, a publication that comments on collateral trends and credit developments in the Spanish securitisation market. This newsletter provides comments on key analytical trends, presents performance statistics and summarises several special reports that were published in the first half of the year.

In this edition, Fitch presents H109 statistics for the market, comparing growth rates, numbers of transactions and issued amounts for Spain’s largest asset classes (RMBS, SME CDOs, CDOs of cédulas hipotecarias (CHs) and ABS). The agency also presents the key findings from recently published surveillance reports covering the different market

Collateral Breakdown by Volume

Others (LHS) Consumer (LHS) SME Loans (LHS) Cedulas Hipotecarias (LHS) Residential Mortgages (LHS) (EURbn) #
Others (LHS)
Consumer (LHS)
SME Loans (LHS)
Cedulas Hipotecarias (LHS)
Residential Mortgages (LHS)
(EURbn)
# of deals (RHS)
(# deals)
80
90
80
70
60
60
50
40
40
30
20
20
10
0
0

H104 H105 H106 H107 H108 H109 Source: Fitch

sectors

performance outlook.

and

provides

a

near

term

With respect to special reports, the agency provides a brief summary of its reports, “Fund for Orderly Bank Restructuring – Spain”, published on 3 July 2009, “Covered Bonds Rating Criteria” and “Assessment of Liquidity Risks in Covered Bonds”, both published on 7 July 2009, and “Rating Criteria for European Granular Corporate Balance Sheet Securitisations (SME CLOs)”, published on 23 July 2009. This publication also contains a table documenting Fitch’s new ratings and rating actions on existing transactions in the prior 12 months. The agency invites readers to contact any of the analysts listed on the first page of this report with any queries or suggestions regarding the contents of this newsletter.

European vs Spanish Structured Finance Issuance

(EURbn)

300

Europe (LHS) Spain (LHS) Mshare (RHS)
Europe (LHS)
Spain (LHS)
Mshare (RHS)

(%)

32

250 24 200 150 16 100 8 50 0 0 H105 H106 H107 H108 H109
250
24
200
150
16
100
8
50
0
0
H105
H106
H107
H108
H109
Source: Fitch
www.fitchratings.com

Spanish Securitisation - October 009

Forecast Summary

 

2006

2007

2008

2009f

2010f

2011f

Spanish Macro-economic Indicators

Real GDP growth (%)

3.9

3.7

1.2

-3.6

-0.8

1.8

General Government Balance (% of GDP)

2.0

2.2

-3.8

-10.2

-9.5

-6.6

Current Account Balance (% of GDP)

-9.0

-10.1

-9.6

-5.4

-3.1

-1.9

(% of GDP) -9.0 -10.1 -9.6 -5.4 -3.1 -1.9 Source: Fitch Economic Backdrop Andres Klaar In

Source: Fitch

Economic Backdrop

Andres Klaar

In August 2009, Fitch affirmed Spain’s

Long-Term Foreign and Local Currency Issuer Default Ratings (IDRs) at ‘AAA’, respectively. For more information, please see the credit analysis entitled “Spain” and published on 4 August 2009.

Spain has many of the fundamental

characteristics of a high grade sovereign, namely an advanced, diversified economy,

a high level of per capita income,

relatively low and stable inflation and strong governance and policymaking. Nonetheless, Spain is being impacted by the global recession to a greater degree than other neighbouring countries and, therefore, currently faces not only a severe domestic contraction but also the challenge of a painful transition in the wake of a large housing and construction boom and bust. The scale of the downturn has exceeded expectations and growth forecasts for 2009/2010 have been revised downwards over the past 18 months, with an expected GDP contraction of 3.6% and 0.8% for 2009 and 2010, respectively.

Unemployment has risen rapidly, jumping

to 18.1% in April 2009 from 10% a year

earlier. This above average sensitivity to the economic cycle stems largely from the fact that the epicentre of the

downturn is the labour intensive

construction sector. Although the pace

of increase in the unemployment rate

decelerated substantially for the first time since mid 2007 in Q209, Fitch

expects total unemployment to peak at over 20%.

The government’s policy response has been strong, focusing on measures to support the banking system and counter cyclical fiscal stimulus to dampen the magnitude of the contraction in domestic demand. The stimulus package amounts to almost 4% of GDP of fiscal easing over the period 2008 to 2010 and is one of the largest in the G20. In addition to the fiscal policy measures adopted by the government, the ECB interest rate cuts have contributed to the expansionary stimulus, helping to mitigate the risk of a prolonged deflationary slump.

The pace of decline in domestic demand and rapid rise in unemployment, in combination with discretionary fiscal measures, is taking a heavy toll on public finances. The general government balance turned into a deficit of 3.8% of GDP in 2008 from a surplus of 2.2% of GDP in 2007. Fitch expects the fiscal deficit will rise to 10% of GDP in 2009. The government has announced an aggressive medium term consolidation target of reducing the deficit to 3% of GDP by 2012, achieved by fiscal tightening of 1.5% per annum. Fitch believes this target may be hard to achieve but notes the authorities’ track record of fiscal discipline earlier in this decade suggests they will pursue fiscal restraint with vigour. Moreover, the relatively low public debt level in the run up to the financial crisis means that over the downturn Spain can still absorb a very substantial fiscal shock while

remaining less indebted than some other countries in Western Europe.

Also, positively and contrary to other countries, Spain’s banking sector has successfully weathered the global financial crisis to date, with no need for state capital support, strong liquidity provision from the ECB and the government and renewed market access for the largest banks. The positive performance of the Spanish financial institutions is due to their low exposure to the US subprime market and complex structured products, prudent regulation (including counter cyclical provisioning and strict accounting requirements) and banks’ mainly retail oriented business model. However, increasing difficulties in the domestic market, especially in the construction and property development sectors, amplified by the sharp rise in unemployment, is resulting in significant asset quality challenges. While the systemically important banks continue to report solid results, risk concentration is higher in the savings bank sector. The authorities have responded promptly to these concerns and to the rise in non performing loans. The recently announced Fund for Orderly Bank Restructuring (FROB or Fondo de Reestructuración Ordenada Bancaria) – which may provide for up to EUR90bn (9% of GDP) of state funds to recapitalise and restructure the banking sector should be able to cover the reorganisation of the system while ensuring its solvency and stability through the cycle (see FROB article below).

Fitch forecasts a relatively slow recovery for Spain as the economy unwinds

excess capacity, particularly in the construction sector. Nevertheless, there are indications that allow cautious optimism that the country could avoid “L shaped” growth over the long term. First, despite a lack of reforms in Spain, the labour market has still gained flexibility due to the proliferation of temporary employment contracts. Second, Spain has been a forerunner in product market liberalisation over the past 10 years among the OECD member states, as reflected by Spain’s rankings in the OECD product market indicator. Finally, Spain’s export growth has kept pace relative to the country’s export market growth despite real exchange rate appreciation over the past decade, indicating the possibility of an export led recovery over the medium term. Nonetheless, there is considerable uncertainty over medium term macroeconomic performance as structural weaknesses will have to be tackled to boost trend productivity growth, restoring public finance balances and returning to a GDP and employment growth path.

Review of the Spanish Structured Finance Market in H109

The sharp downturn in macro-economic conditions is affecting all Spanish structured finance sectors. On the consumer side, increased consumer leverage coupled with the rapid rise in unemployment is having a direct impact on borrower’s ability to service existing debt. While historically low interest rates are providing some support and banks are actively rolling out loan modification and restructuring programs in an effort to minimise defaults, Fitch believes that difficult labour market conditions will drive further RMBS and ABS deterioration over the near-term. Likewise, Fitch expects the SME CDO transactions to remain under pressure in large part due to their significant exposure to construction and real estate related segments. Spanish SME companies are also facing weaker

consumption driven by macro-economic conditions and tighter credit conditions that have increased re-financing risk. Deterioration in asset performance has resulted in a growing number of rating actions in recent quarters. The most affected transactions involve collateral originated in the height of the market with more aggressive credit attributes. Reflecting ongoing concerns about macro-economic conditions and their impact on performance Fitch has also continued to assign negative outlooks on existing transactions, particularly on more vulnerable subordinate classes.

Worsening credit performance has resulted in rating actions with 158 classes downgraded in the first half of 2009, compared to 65 class downgrades in all of 2008. Approximately 60% of the downgrades were taken in the RMBS sector and concentrated in a relatively small number of high loan-to-value ratio (HLTV) and speciality lender-originated transactions. Consumer ABS transaction deteriorating credit performance has resulted in 10 downgrades in the first half of the year. Finally, 46 classes of SME CDO notes where downgraded in the first half of the year in response to their weakening performance in the first half of the year. SME CDO ratings were also impacted by the rollout of the Fitch’s new criteria, which resulted in 110 classes being placed on Rating Watch Negative (RWN) in August 2009. For further details on the rating actions taken on H12009 please see Appendix 1.

While downgrades have certainly increased in 2009, it is also important to note that they have been concentrated in select transactions and largely focused on subordinate classes that are more leveraged to performance deterioration. The majority of Spanish structured finance transactions continue to perform within the agency’s initial expectations. At 30 June 2009, 83.5% of outstanding ‘AAA’ classes had a Stable or Positive Outlook. Fitch believes it is premature to focus on “green shoots”, nonetheless the agency is of the opinion that there

nonetheless the agency is of the opinion that there are factors that can help performance in

are factors that can help performance in the near term. For example, interest rates remain near historical lows and have boosted affordability as mortgages re set to lower rates.

Spanish banks continue to scale back growth initiatives, re-price assets and re- balance their funding strategies. In the first half of 2009, balance-sheet growth was flat compared to 6.2% the previous year. From a funding standpoint, in addition to stepping up deposit gathering, many banks issued debt securities backed by a Spanish government guarantee in the first half of the year. Likewise, banks have also returned to the covered bond market as funding costs have improved significantly and volumes increased in response to the ECB’s EUR60bn repurchase programme. Smaller savings banks have sought to increase their participation in multi-issuer covered bond programmes, and larger institutions have launched new covered bond issues backed by mortgage assets. Notably, several large Spanish banks have issued covered bonds in recent months and the first investor-placed multi-issuer CH transaction in almost 18 months closed in August – AyT Cedulas Cajas Global.

While funding and liquidity pressures are easing, asset quality and profitability metrics remain under pressure and continue to weigh on the credit profile of Spanish financial institutions and their ratings. Notably, in the midst of the deepest recession experienced in the past 50 years, banks face a steep increase in non performing loans that is expected to continue over the next 12 18 months. The biggest victim of the downturn thus far has been Caja de Ahorros de Castilla La Mancha (CCM; ‘BB+’/RWP/‘B’), the 17th largest Spanish savings bank, in which the Bank of Spain intervened in March 2009. As part of the intervention, CCM was provided with a EUR9.0bn liquidity line by the government and received another EUR1.3bn capital injection by the Deposit Guarantee Fund (DGF) in

Spanish Securitisation - October 009

the form of preference shares. Positively, as a result of the support provided, there has been limited interruption in CCM’s day to day operations.

The Spanish banking system has also benefited from several government support measures. These include the bank medium term note (MTN) guarantee scheme, the Financial Asset Acquisition Fund (FAAF) and, most recently, the Fund for Orderly Bank Restructuring (FROB). The bank MTN

guarantee scheme had an initial budget

of EUR200bn for 2008 2009 and

allowed banks to issue debt with a Kingdom of Spain guarantee. FAAF was essentially a government purchase facility (up to EUR30bn) designed to

provide banks with liquidity through

the acquisition of new covered bonds or

securitisations. Established in July 2009, FROB is a EUR90bn fund available to

support the restructuring and consolidation of the Spanish banking sector. The fund will acquire convertible preference shares of entities participating in the restructuring process, with certain conditions. Fitch believes that FROB is

a positive from a securitisation

standpoint as it helps mitigate “jump to default” counterparty risk.

Bank downgrades in the first half of 2009 had a direct impact on Spanish structured finance transactions, as issuers and management companies

(gestoras) had to take remedial actions

to address counterparty risk. These

actions involved replacing account banks or obtaining guarantees from eligible counterparties, substituting swap counterparties or posting collateral, and establishing dedicated reserve funds to cover commingling risk. In these cases, the agency has worked with the transaction’s gestora and the issuer to ensure that remedial actions, consistent with Fitch’s counterparty risk criteria,

were implemented. In principle, issuers and asset managers have been responsive and implemented counterparty remediation actions within Fitch’s existing counterparty criteria.

On 15 October 2008, Fitch announced that it had initiated a review of its counterparty criteria for global structured finance transactions in light of recent market turmoil. As a result, an exposure draft on the “Counterparty Criteria for Structured Finance Transactions” was published in March 2009. Fitch received extensive comments on the exposure draft and expects to publish the final criteria in Q409.

As related to issuance volumes and recent market developments, Spain continues to represent the second largest structured finance market in Europe with EUR402bn of securities outstanding at June 2009. This represents a 24% increase in outstanding debt compared to June 2008. RMBS and multi issuer CH obligations continue to represent the vast majority of the market with EUR170bn and EUR152bn outstanding, respectively, at 30 June 2009. The SME CDO and consumer ABS sectors account for the remaining 20% of the market.

Despite continued difficulties in the securitisation primary market, which has been effectively closed since August 2007, Spanish structured finance issuance volumes remained active in the first half of the year, with 41 transactions issued, representing EUR54.2bn in debt. This represents a 9.5% decline from a volume standpoint from the first half of 2008, when 43 transactions, accounting for EUR59.9bn in securitised debt, were issued. Compared to prior periods, issuance was more broadly distributed across asset classes, with SME CDO issuance posting a significant increase and accounting for 36.9% of first half issuance volume, in part due to several large transactions issued in H109, including a EUR6.6bn transaction from La Caixa. RMBS and multi issuer cedulas accounted for 32.8% and 21.3%, respectively, of the debt issued in the first six months of the year. ABS volume declined and totalled a modest EUR3.5bn in the first half of the year.

A significant number of transactions issued in the first half of 2009 had structures whereby senior notes benefited from regional or national government guarantees, including the ICO VPO guarantee programme, focused on supporting subsidised housing loans. While these guarantee schemes helped drive deal volume, they did little to improve market liquidity and most of these transactions were retained by originators.

Spanish structured finance issuance volume also continues to represent a significant part of the European market and in the first half of the year accounted for 20% of total European structured finance issuance (source: Fitch and ESF Securitisation Data Report Q209).

While issuance remained solid in H109, Fitch expects that issuance volumes will continue to decline in the following quarters, in large part due to the weakening domestic economy, anaemic credit growth and the continued dislocation in the securitisation markets. Likewise, for many banks most standard collateral has already been securitized. Also, bank liquidity conditions have improved in recent months and other fixed income markets have begun to gain traction, including the unsecured and covered bond markets. Fitch believes that these factors will reduce the need for liquidity-driven (ECB) securitisation activity over the near term. From 3Q07 to 2Q09, approximately EUR230bn of structured finance volume

Breakdown by Number of Deals

H109

Others, 1 Cedulas Consumer Hipotecarias, , 5, 5 5 Cedulas Hipotecar Consumer, ias, 5, 5
Others, 1
Cedulas Consumer
Hipotecarias, , 5, 5 5
Cedulas
Hipotecar
Consumer, ias, 5, 5 5
Residenti
al
Mortgage
s, 17, 17
SME
Residential
Loans,
13 Mortgages, 17

Source: Fitch

was issued by Spanish banks and retained for ECB discounting.

Securitisation primary market conditions remain challenging, albeit with some positive signs emerging in recent weeks. While liquidity and volume have improved in other fixed income markets, including more recently the covered bond market in response to the ECB’s EUR60bn purchase programme, the securitisation market is trailing the recovery posted in other markets.

However, the market has benefited from improving investor sentiment in recent months and secondary market spreads have tightened substantially. Factors driving the improvement include more positive macroeconomic data coming out of larger European jurisdictions, tender offers from banks that may be helping to set a floor for their securities, and perhaps a spill over effect from improving sentiment in other fixed income markets. In fact, at the time of publication, there were a handful of structured finance transactions, involving high quality issuers and strong collateral pools, which were placed with end investors. While these are certainly positive signs, Fitch believes the market remains far from stable and continues to face several challenges, including a significant supply overhang driven by heavy ECB issuance over the past 18 months, a material reduction in the traditional investor base and market

Average Size per Transaction

(including all asset classes)

(EURbn)

2.0

1.9

1.5

1.0

0.5

0.0

1.4 1.4 1.3 1.3 1.0 1.0 0.7
1.4
1.4
1.3
1.3
1.0
1.0
0.7

2002 2003 2004 H105H106 H107H108 H109

Source: Fitch

aversion to complex products, elevated spreads (albeit improving), and ongoing regulatory issues that can impact capital requirements.

Given the more challenging macro- economic conditions, Fitch expects the Spanish structured finance market to somewhat trail other European jurisdictions. Volume is expected to decline and continue to be driven by liquidity considerations with transactions retained by issuers. Likewise, any re-opening of the primary market for Spanish securitisation is expected to involve a benchmark issuer and reference high quality collateral, similar to what is being observed in other jurisdictions.

Summary of FROB and Rating Implications

Carmen Muñoz and Rui J. Pereira

The recently created Fund for Orderly Bank Restructuring (FROB or Fondo de Reestructuración Ordenada Bancaria), which came into force last June, provides the Spanish banking system with a full range of instruments, including capital and liquidity, to help support banks and ensure financial stability. The FROB framework is one of the latest exceptional measures taken by the Spanish government and forms part of the coordinated response adopted by the different European countries since October 2008 to manage the effects of the international financial markets crisis on their banking systems. Until the creation of the FROB, support for Spanish banks had been focused on liquidity support, either through the Financial Assets Acquisition Fund or through government guaranteed non subordinated debt issuance. Also, the amount guaranteed by the Spanish DGFs was raised to EUR100,000 per accountholder from

EUR20,000.

was raised to EUR100,000 per accountholder from EUR20,000. Given the limited exposure of Spanish banks to

Given the limited exposure of Spanish banks to complex structured products and their retail focus, they have to date weathered the financial and economic crisis comparatively well. Nevertheless, their significant exposure to the Spanish property sector, together with rising unemployment and the economic recession, has contributed to a sharp deterioration in asset quality. This has increased pressure on institutions’ profitability and hence in their internal capital generation capacity, particularly at some institutions that have grown aggressively in recent years.

As announced in Royal Decree Law 9/2009, in broad terms the two functions of the FROB are: (1) to manage the “restructuring processes” of Spanish financial institutions; and (2) to improve capital levels in “integration processes” among Spanish financial institutions through temporary capital support by the FROB. Both measures are aimed at an orderly reorganisation and reshaping of the Spanish financial system while promoting financial stability at all times and with the Bank of Spain (BoS) playing a key role in both these processes.

The integration process is designed for institutions that have sound financial fundamentals but will need to obtain greater financial muscle to operate in a more challenging economic environment. The restructuring process, on the other hand, is aimed at those financial institutions that already have significant weaknesses (ie relating to asset quality, capital adequacy and capacity to generate recurrent revenues), which could jeopardise the viability of the institution in the medium to long term.

Fitch believes that the route most likely to be followed by institutions, at least initially, is the integration process, which is a private initiative that provides more managerial flexibility. Capital support in the integration process will come in the form of convertible preference shares to be exclusively acquired temporarily by the FROB and will be subject to an

Spanish Securitisation - October 009

integration plan that will require BoS approval. As for the restructuring process, there are three different phases: (i) a private solution will first be sought that does not involve any funding or capital from the FROB and would be taken at the initiative of the institution; (ii) support from the DGFs following the creation of an action plan at the initiative of the institution or the BoS; and (iii) the financial institution would be the subject of intervention by the FROB for restructuring. This would imply the substitution of the board of directors and the definition of a restructuring plan to be approved by the BoS, which could result in a merger with another institution or the sale or transfer of its assets and liabilities through an auction process, among others. Support during the restructuring period could come in the form of guarantees, loans at favourable rates, subordinated debt, the acquisition of assets or capital injections.

While the FROB framework is a clear sign of support for the Spanish banking system, Fitch does not expect that it will have a direct impact on banks’ existing Support Ratings and Support Rating Floors, as the agency understands that this support does not represent an explicit guarantee and is temporary in nature. However, the essence of the FROB is to foster the reorganisation of the sector in an orderly manner and in the most financially efficient way, even in the event of a BoS intervention, should this be necessary. The agency will review any FROB supported integration or restructuring process on a case by case basis and the corresponding impact of these initiatives on the ratings of the financial institution. However, Fitch notes that the FROB may reduce negative rating migration (or multi notch downgrades) in the near term as the jump to default risk has been significantly reduced by the introduction of the programme.

From a structured finance perspective, Fitch views the announcement of the FROB positively as it may help mitigate potential counterparty risk concerns.

Nonetheless, the agency also believes FROB supported consolidation may introduce some new risks to outstanding structured finance transactions. These risks include potential shifts in the risk profile of existing CDO or multi issuer cédulas hipotecarias transactions, including increasing portfolio obligor concentrations and operational risk associated with the integration of different IT and servicer platforms.

The FROB has an initial capital outlay of EUR9bn in funds, EUR6.75bn of which has been contributed by the state and EUR2.25bn from the different DGFs (banks, savings banks and credit cooperatives). In addition to the EUR9bn initial contribution to the FROB, the law states that, in 2009, the FROB could issue debt of up to EUR27bn in the capital markets, guaranteed by the Kingdom of Spain. After 1 January 2010, the third party financing for the fund could reach EUR90bn. This amount compares with total equity for the banking system of EUR186bn and assets of EUR3,280bn as reported by the BoS at end June 2009 and a further EUR51bn in credit impairment reserves, of which EUR24bn were BoS generic reserves.

For more information on the FROB, please refer to the special report, “Fund for Orderly Bank Restructuring – Spain” published on 3 July 2009.

Spanish RMBS Update

Rui J. Pereira & Carlos Masip

The severe downturn in the Spanish economy has had a direct impact on RMBS performance. Within a relatively short time, Spain went from being one of the best performing jurisdictions to being just below UK buy to let. At June 2009, reported average three month arrears stood at 3.1% compared to 1.1% a year earlier. However, there is significant variability across Spanish RMBS transaction performance due to the heterogeneous nature of underlying collateral pools. Notably, recent vintages, which included transactions backed by HLTV collateral and other flexibility features, have been the biggest source of deterioration and rating actions in the Spanish RMBS sector.

While Fitch downgraded 95 classes of Spanish RMBS in the first half of 2009, 73% of these actions were associated with 15 transactions – mostly HLTV and speciality lender deals. Having taken these actions, the agency does not expect significant rating volatility throughout the Fitch rated Spanish RMBS universe in the second half of the year as many transactions have de leveraged and continue to maintain sufficient credit enhancement. At September 2009, 93% of Spanish ‘AAA’ securities maintained a Stable Outlook.

3 Month+ Arrears - European Comparison

Greece Germany Ireland Italy Netherlands (%) Spain Portugal UK BTL UK Prime 4.0 3.5 3.0
Greece
Germany
Ireland
Italy
Netherlands
(%)
Spain
Portugal
UK BTL
UK Prime
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
Jun
Sep
Dec
Mar
Jun
Sep
Dec
Mar
Jun
Sep
Dec
Mar
Jun
Sep
Dec
Mar
Jun
Sep
Dec
Mar
Jun
04
04
04
05
05
05
05
06
06
06
06
07
07
07
07
08
08
08
08
09
09

Source: Fitch

3 Month+ Arrears - by Vintage Index 2003 2004 2005 2006 2007 (%) 5.0 4.5
3 Month+ Arrears - by Vintage
Index
2003
2004
2005
2006
2007
(%)
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
1
6
11
16
21
26
31
36
41
46
51
56
61
66
71
76

Source: Fitch

Months since issue

3 Month+ Arrears - Latest Values (%) 25 20 UCI Deals 15 10 Several HLTV
3 Month+ Arrears - Latest Values
(%)
25
20
UCI Deals
15
10
Several HLTV deals &
Credifimo
5
0
0
20
40
60
80
100
120
Months since issue
Source: Fitch

Factors that are driving mortgage performance include interest rates and the severe downturn in the domestic economy, driven in large part by an adjusting housing market and sharp increase in unemployment. Below is a brief summary of how these factors are weighing on performance.

Interest Rates

Due to the floating rate profile and annual resetting nature of Spanish mortgages, interest rate movements have a direct impact on performance. In December 2005, to curb inflation pressures appearing in the economy, the ECB increased the reference interest rate from a historically low 2% to 2.25%, which was the first of a series

low 2% to 2.25%, which was the first of a series of increases that brought the

of increases that brought the interest rate up to 4.25% in July 2008. These rate increases shocked borrower affordability and triggered the initial rise in mortgage delinquency in Q407. While the ECB subsequently reversed its course and lowered rates to historical lows in response to the global recession, interest rate reduction benefits have been more than offset by the sharp contraction in the Spanish economy and rising unemployment.

Within the past year, interest rate changes have transitioned from being a source of stress on mortgage performance to a source of support over the near term. Fitch believes that historically low rates have improved Spanish borrower affordability and have mitigated further credit deterioration to some degree. Euribor, the most common reference mortgage rate, stood on August 2009 at 1.32% compared with 5.5% in October 2008. ECB rate policy is expected to remain supportive over the near term with no tightening expected before 2010.

Unemployment

While ECB rate policy has been a positivefactorformortgageperformance, Fitch believes that its benefits have been more than offset by deteriorating macroeconomic conditions and the sharp increase in unemployment. In large part due to the severe correction in the real estate and construction sectors, unemployment in Spain has increased from 8% at year end 2007 to

Ratings Transition

Current Ratings (%)

 

CCC/

Tranches on Negative Outlook (%)

Previous Ratings (%)

PIF

AAA

AA

A

BBB

BB

B

CC/C

No Of Tranches

AAA

11

73

11

5

160

7

AA

3

3

83

5

8

40

38

BBB

2

74

8

6

10

66

41

B

100

2

100

Source: Fitch

Spanish Securitisation - October 009

approximately 18% in August 2009. In

addition, the economic contraction has affected other important sectors, including tourism, auto manufacturing

and small and medium sized enterprises

that are facing weaker consumption.

Unsurprisingly, the agency has found

that there is a very high correlation, up to 80%, between mortgage arrears and unemployment. As such, with unemployment expected to exceed 20.0% in 2010, Fitch believes that labour market conditions will continue to weigh on borrower ability to pay and result in higher arrears and defaults over the near term. Particularly at risk

are mortgages originated at the height

of the market, where borrowers took on

excessive leverage due to the strong

run up in home prices. Likewise, Fitch

also believes that select borrower populations, including self employed borrowers and immigrant segments that have been disproportionately affected by the economic downturn, will continue to report significantly worse performance.

Declining House Prices

Heading into the downturn, the forced sale of the mortgaged property was a

plausible and easy solution for mortgage borrowers in financial problems. Strong housing demand and home price appreciation resulted in strong performance and limited reported losses. However, the market has changed dramatically, and today banks are not only facing higher arrears and defaults due to the factors noted above but also

a more difficult property market

characterised by weak demand and declining home prices. The Spanish real state market has become increasingly illiquid in recent quarters.

After many years of consecutive gains, Spanish home prices have begun to decline. To June 2009, home prices had declined 8.6% in nominal terms from their peak in Q12008. Fitch expects Spanish home prices to continue to decline further with an

average cumulative peak to trough decline of 25-30% recorded during the current recessionary period, which is expected to extend to 2011. Driving this view is the significant excess supply that exists in the market, as well as the sharp deterioration in demand due to stretched borrower affordability and tighter credit conditions.

While the construction sector has responded to the downturn and housing starts have fallen sharply, there are in excess of 1.0 million units of unsold housing stock available for sale throughout Spain. This overhang has resulted from years of overbuilding, particularly in coastal areas and city suburbs. Despite the fact that developers and banks have increased property marketing strategies, including discounting property prices and offering other incentives, Fitch believes that it will take considerable time to clear existing inventory as home sales continue to decline.

Sources of property supply are also evolving and the banking sector is also acting as an additional outlet as it has seen a steep increase in the number of loan foreclosures, debt swaps and other restructuring initiatives that resulted in the acquisition of residential and commercial real estate assets. At June 2009, banks held an estimated EUR20bn of real estate properties on their balance sheets.

The Spanish housing market is also suffering from a significant decline in demand as evidenced in declining home sales. In the first half of 2009, new home and used home sales in Spain declined 47% and 58%, respectively, compared to the peak of the market. Driving the sharp decline in sales activity are stretched borrower affordability, tighter credit conditions and macroeconomic conditions, which have caused unemployment to reach levels not seen since the last recession in the early 1990s and consumer confidence to fall to historical lows.

While lower interest rates and recently recorded home price declines have begun to boost affordability measures, Fitch believes home prices still look elevated compared to domestic income levels and affordability measures in other jurisdictions. The chart below illustrates how affordability has been stretched in recent years as measured by the ratio of property price to income. At the peak of the market, this ratio had increased to 7.2 times, compared to 3.9 times in 2000. Fitch has conducted several studies looking at the evolution of home prices relative to income growth during the recent expansion as well as historical home price affordability measures. Based on this analysis, Fitch’s base home price expectation is for an average 25-30% peak to trough decline, in nominal terms. However, the agency also expects

House Price/Annual Household Income and Debt to Income Ratio House price/annual household income (LHS) Debt
House Price/Annual Household Income and Debt to Income Ratio
House price/annual household income (LHS)
Debt to income ratio (after taxes) (RHS)
(Years)
(%)
9
50
8
45
40
7
35
6
30
5
25
4
20
3
15
2
10
1
5
0
0
Source: Bank of Spain, Fitch
Q195
Q495
Q396
Q297
Q198
Q498
Q399
Q200
Q101
Q401
Q302
Q203
Q104
Q404
Q305
Q206
Q107
Q407
Q308
Q209

that there will be regional variations above and below this average driven to local property market conditions.

Fitch expects that declining home prices will affect existing RMBS transactions in the form of lower recoveries over the near term. Notably, lower home prices coupled with repossession fees, carrying costs and marketing expenses will weigh on recoveries for defaulted loans. At greatest risk are loans originated at the peak of the market with more leverage as well as loans originated in geographical regions that have experienced outsized growth or speculative investment. Likewise, second homes, especially in the often overdeveloped coastal areas, are also extremely vulnerable. Fitch believes this will be a key performance variable over the near term.

With Spanish home prices declining, a growing number of borrowers are also expected to face a “negative equity” position where their mortgage exceeds the value of their home. Particularly at risk are those borrowers that entered the property market at its peak and have more aggressive mortgages outstanding. Historically, Spanish borrower performance has been less correlated to declining home prices, as lenders generally have full recourse and the benefit of additional guarantees. While this factor may not directly contribute to weaker performance as seen in other jurisdictions, at a minimum, it will weigh on housing turnover and liquidity.

Importance of Servicing

Given the deterioration in performance, servicing platforms and their strategies have become critical in managing delinquencies and recoveries. In years previous to the current crisis, Spanish servicing platforms were not tested due to robust economic growth and strong home price appreciation (HPA), which resulted in excellent Spanish RMBS credit performance. However, given the sudden increase in delinquencies in

one way or another, all Spanish financial institutions have increased their servicing staff and implemented more active collection processes. Also, in an effort to minimise foreclosures in the current downturn, banks have rolled out government-sponsored and their own individual loss mitigation strategies, including loan modifications, restructurings and repayment plans. The government-sponsored programme calls for up to a two-year mortgage debt payment moratorium for unemployed borrowers and other eligible borrowers.

While these different programmes are being actively rolled out by most Spanish financial institutions, their impact on mortgage performance remains unclear, in part due to the limited scale achieved to date. For example, while the government debt moratorium scheme was initially expected to become available to approximately 500,000 borrowers, fewer than 7,000 families had benefited from the scheme as of June 2009. However, if implemented on a larger scale but also with a diligent re- underwriting process, Fitch believes that these programmes would support performance by mitigating defaults over the medium term. In recent months, the agency has also started to see the effect of these programmes on select RMBS transactions, as reflected in improving arrears buckets.

No Green Shoots Yet

Fitch believes that it is far too early to be predicting “green shoots” in the Spanish residential mortgage market. A sustained levelling off in arrears trends will only be possible if there is an improvement in economic conditions. Leading indicators for the improvement of Spanish RMBS performance will be a moderation in negative home price movements, stabilisation in the labour market, improving housing turnover and home sales and financial institutions clearing distressed properties and increasing credit supply. While some of these signs

and increasing credit supply. While some of these signs may take some time, the agency believes

may take some time, the agency believes that there are some factors that can mitigate RMBS performance deterioration, including low interest rates that are boosting affordability and the growing usage of loan modification and restructuring programmes.

New Rating Criteria for European Granular SME CLOs

Carlos Terré

Fitch published its new “Rating Criteria for European Granular Corporate Balance Sheet Securitisations (SME CLOs)” on 23 July 2009. The new criteria introduce several changes to the rating approach Fitch will follow when rating securities backed by granular pools of loans granted to European SMEs. These changes have a material impact on the necessary credit enhancement (CE) levels to support such ratings.

Fitch has established rating benchmarks that will form the basis for the initial rating analysis derived from market participants, central banks and other government sources. Despite significant differences in banking systems and corporate behaviour across locations, Fitch’s research into national SME default data shows that – on average, and over the long term – the 90+ day delinquency rates for small unrated corporates have been consistent with the ‘B’ rating category and the insolvency rates for small unrated corporates have been consistent with the ‘BB’ rating category. Fitch believes that there is a limited degree of support that, on average, the SME sector would receive from governments, regulators and the banking system. This support can be explained by the relevance of the SME sector to the labour market and the impact that stress for the SME sector would have on unemployment rates. Historical performance data provided by

Spanish Securitisation - October 009

the originating bank will be adjusted for changes to underwriting or servicing standards and macroeconomic factors.

The pool to be securitised, the originating bank and its SME loan book will be analysed and the resulting credit opinion, represented by a default probability, will be compared to the rating benchmark. Fitch expects material differences to be explained by fundamental characteristics of the pool or the originating bank.

The recovery framework that Fitch will apply depends on the type and level of collateral provided against each loan. For secured loans, the agency will use a market value decline (MVD) approach to calculate the recoveries on defaulted loans. For unsecured loans, Fitch assumes a lower recovery upon insolvency than for comparable large corporates; previously, the agency had used recovery rates consistent with large corporates. The dual credit view of the SME sector as a whole allows Fitch to assume that SME portfolios are subject to a cure rate (CR) that effectively prevents a portion of loans that may fall 90+ days delinquent from

becoming insolvent. This CR effectively increases the recovery assumption as it applies to 90+ day delinquent loans, regardless of the level of collateral.

Besides standard scenario analysis that focuses on the largest obligors and the

largest industries concentrations within

a portfolio that each new transaction

should be able to withstand, Fitch will also perform standard sensitivity analysis that will stress the default probability, recovery and correlation assumptions to measure the sensitivity

of the transaction’s ratings.

Fitch has integrated the portfolio modelling of granular SME CLOs into the Portfolio Credit Model (PCM) suite. The model can be downloaded from www.fitchratings.com and it embeds the standard assumptions that are part

of the new criteria.

Other aspects of the rating approach cover issues that are already part of Fitch’s common structured financed rating analysis such as legal structure review and counterparty risk considerations, which may be covered

by specific criteria documents. The

final ratings are ultimately assigned by

a Fitch credit committee, which also considers other quantitative and qualitative factors.

Overview of the Multi- issuer CH Market

Rui J. Pereira & Gastón Wieder

Multi-issuer cedulas hipotecarias (CH) continues to be a core segment of the Spanish structured finance market. At 30 June 2009, debt outstanding stood

at EUR152bn and accounted for 37.8%

of total Spanish structured finance debt. In the first half of the year,

issuance volume totalled EUR11.6bn compared to EUR17.5bn in the first half of 2008 – representing a 33.9% decline in volume.

Like other structured finance instruments, the multi issuer CH segment was affected by the financial market dislocation and almost all transactions issued post August 2007 were retained by originators for

H109 Negative Ratings Actions in Spanish Financial Institutions

 

Issuer

Issuer

Support

Default/Long

Default/Short

Individual

Support

Rating

Date of last rating action

Issuer Name

Term Rating

Term Rating

Outlook

Rating

Rating

Floor

Caixa de Aforros de Vigo, Ourense e Pontevedra (Caixanova)

A-

F2

Negative

C

3

BB+

13 Mar 2009

Caja de Ahorros de Galicia (Caixa Galicia)

BBB+

F2

Stable

C

3

BB+

13 Mar 2009

Banco Popular Espanol

AA-

F1+

Negative

B

2

BBB

21 Apr 2009

Caja General de Ahorros de Granada

BBB+

F2

Stable

C

3

BB+

21 Apr 2009

Caixa d’Estalvis de Girona

BBB+

F2

Negative

C

3

BB+

29 Apr 2009

Caja de Ahorros y Monte de Piedad de Las Baleares (Sa Nostra)

BBB+

F2

Negative

C

3

BB+

29 Apr 2009

Caixa d’Estalvis de Terrassa

BBB+

F2

Negative

C

3

BB+

08 Jun 2009

Caja de Ahorros de Valencia, Castellon y Alicante (Bancaja)

BBB+

F2

Stable

C

3

BB+

26 Jun 2009

Source: Fitch

discounting with the ECB and the Spanish FAAF programme. Most of the transactions issued over the past 18 months have carried much shorter tenors that ranged from two to three years, with some containing voluntary early amortisation clauses.

On the positive side, the sector has benefited from improving sentiment in the covered bond market and the first investor placed multi issuer CH transaction was issued in August 2009. This improvement may also reflect easing investor concerns regarding counterparty risk and considering the bank support measures put in place by the government, including the recently announced FROB programme. Given improving conditions, one may see issuers shift their focus to this segment in the second half of the year and hence higher volume.

From a performance standpoint, multi issuer CH obligations continue to perform within expectations and there have been no defaults in any transaction or draw on any external liquidity line. However, there are weakening trends, including the continued deterioration in CH issuer credit profiles and declining overcollateralisation levels, albeit still at very high levels. In addition, Fitch believes that these transactions may be affected by the anticipated consolidation within the Spanish savings bank sector.

Weakening CH Issuer Credit Profiles

Due to weakening asset quality metrics, funding and liquidity concerns and capital adequacy risks, the Fitch financial institutions group has taken rating actions on a number of multi issuer CH issuing banks, particularly the savings banks. While many banks have fallen from the ‘A’ rating category to the ‘BBB’ range, some have been downgraded below investment grade to their Support Rating Floor, including

CCM and Cajasur and, on a shadow rating basis, smaller entities. In addition to the downgrades, a growing number of rating changes have been accompanied by a Negative Outlook, indicating potential further cuts in the future, although the risk of multi notch downgrades has significantly reduced.

On the positive side, the Spanish government has rolled out various support measures to ensure the availability of liquidity and, more recently through FROB, capital. While some details remain undefined, Fitch views the FROB framework positively as it will allow for a more orderly restructuring of the Spanish banking sector and help mitigate “jump to default” concerns. The agency will evaluate the effect of any merger and integration process on an existing multi issuer CH transaction on a case by case basis.

While the failure of CCM could have been a real test case for several multi-issuer CH transactions, the swift intervention by the Bank of Spain prevented a default in any obligation or disruption in the entity’s operating platform. To date, CCM has been provided with a government-funded EUR9.0bn liquidity line that is available to meet all third-party claims and a EUR1.3bn capital injection in the form of preference shares by the deposit guarantee fund (DGF) for savings banks. Under the direction of the Bank of Spain, the bank is determining a long-term

of the Bank of Spain, the bank is determining a long-term solution, including its merger with

solution, including its merger with a stronger financial institution. Given CCM’s exposure across 25 multi-issuer CH obligations, Fitch is actively tracking this process as well as the composition of the savings bank’s collateral portfolio and overcollateralisation levels.

OC Cushions Declining

While multi issuer CH transactions have various participants, overcollateralisation (OC) is available only at the individual CH level and each issuer is responsible for maintaining sufficient OC coverage. In addition, OC is dynamic and supported by each CH issuer’s respective mortgage cover pool. This feature results in greater counterparty risk when compared to other types of structured finance transactions, as the entire structure is vulnerable to the weakest participants and their ability to maintain sufficient OC cushions.

While OC cushions in place across CH issuers remain well above the 125% legal minimum threshold, Fitch continues to observe a steady decline in OC cushions across programmes. On one side, lower rated entities with scarcer access to capital markets have reduced OC levels as they have encumbered assets via securitisation of residential and non residential mortgage loans. Several of these entities actually executed securitisations in recent

Credit Quality of Participant in Multi-issuer CH Transactions

Number of CH issuers in each rating category (LHS) vs average IDR per year (RHS)

(No. of CH issuers) BB+ BBB- BBB BBB+ A- (Avg IDR of A+ A AA-
(No. of CH
issuers)
BB+
BBB-
BBB
BBB+
A-
(Avg IDR of
A+
A
AA-
AA
avg IDR
CH issuers)
60
A
40
A-
20
BBB+
0
BBB
2006
2007
2008
2009

Source: Fitch

Spanish Securitisation - October 009

Total Collateralisation (CR) Ratio in Multi-issuer CH Transactions Ratio of total mortgage book to CH
Total Collateralisation (CR) Ratio in Multi-issuer CH Transactions
Ratio of total mortgage book to CH outstanding
(CR %)
10%
25%
50%
75%
90%
Percentile
1,000
900
800
700
600
500
400
300
200
100
0
Mar 05
Jun 05
Sep 05
Dec 05
Mar 06
Jun 06
Sep 06
Dec 06
Mar 07
Jun 07
Sep 07
Dec 07
Mar 08
Jun 08
Sep 08
Dec 08
Mar 09
Jun 09
Source: Fitch, based on Gestoras' data
Annual Issuance of CH per Issuer, Net of Amortisations (within Fitch-rated Multi-issuer CH)
(Top 40 entities in terms of issued volume)
2001
2002
2003
2004
2005
2006
2007
H108
2009 to date
Caja Vital
C.C.O. Burgos
Caixa Cataluña
Banca March
CAI
Banco de Valencia
Caja Avila
Caixa Manresa
Caja Segovia
Caixa Girona
Caixa Tarragona
Banco Popular Espanol
Caja Insular De Canarias
Kutxa
Bancaja
Caja Laboral
Caja Cantabria
Caja Asturias
Caja Duero
Caja Municipal de Burgos
BBK
Sa Nostra
Caja Granada
Caixa Terrassa
Caixanova
Caixa Laietana
Caja Navarra
Caixa Sabadell
Caja España
Cajasur
Caja General De Canarias
Caja Madrid
Caja Murcia
Caixa Penedes
Caixa Galicia
Ibercaja
Cajasol
Caja Castilla La Mancha
Unicaja
Caja Ahorros Mediterraneo
(EURbn)
0
500
1,000
1,500
2,000
2,500
3,000
3,500
4,000
4,500
5,000
5,500
6,000
6,500
7,000
7,500
8,000
Source: Fitch

quarters to generate securities that could be discounted with the ECB. Additionally, absolute levels of OC have declined as entities issued CH obligations to participate in multi issuer transactions where the resulting notes were either used as collateral to obtain ECB liquidity or were purchased by the FAAF. Despite the continued declines in OC, most CH

participants continue to maintain substantial amounts of OC that are well beyond stressed levels. However, there are others where excess OC cushions have been substantially eroded.

In response to the sharp downturn in the economy and shakeout in the real estate and construction sectors, banks

shakeout in the real estate and construction sectors, banks are also facing a steep increase in

are also facing a steep increase in non performing mortgage loans. Particularly affected have been loans to the construction sector and real estate developers. Given this trend, the agency is also focused on any credit deterioration in the underlying mortgage cover pools, which could also pressure OC cushions and ratings.

Issuer Ratings, Outstanding within Multi issuer CH and Collateralisation Ratios 1

 

Fitch

Outstanding balance within multi issuer CHs (EURm)

Total

Eligible a

rating 2

collateralisation (%)

collateralisation (%)

Caja Ahorros Mediterráneo

A

7,579.40

251.86

157.41

Unicaja

A+

6,545.00

230.97

167.06

Cajasol

A

5,190.27

263.99

147.21

Caixa Galicia

BBB+

4,415.00

248.99

137.24

Caja Murcia

A+

4,155.00

225.03

187.27

Caja General de Canarias

A

3,510.05

204.92

147.59

Caja España

BBB+

3,365.40

280.19

163.57

Caja Navarra

A

3,276.00

250.14

175.43

Caixanova

A

2,915.00

259.30

160.16

Caja Granada

BBB+

2,425.23

286.04

207.28

BBK

A+

2,400.00

438.49

271.82

Caja Duero

NR

2,160.00

280.49

180.44

Caja de Santander y Cantabria

NR

2,115.00

210.68

137.04

Bancaja

BBB+

1,912.02

405.22

144.23

Caja Insular de Canarias

NR

1,775.00

209.76

153.60

Caixa Tarragona

BBB

1,685.00

205.83

140.75

Caja Segovia

NR

1,390.00

218.70

154.86

Caja Avila

NR

1,320.00

250.77

127.83

CAI

A

1,175.00

410.15

260.35

Caixa Cataluña

WD

1,000.00

292.47

151.88

Caja Vital

A

850.00

443.86

193.19

a Eligible assets mean assets which qualify for setting the legal limit of CH issuance.

b Banco Popular has absorbed the following entities: Banco De Castilla, Banco De Crédito Balear, Banco De Galicia and Banco De Vasconia in February 2009, and Banco de Andalucia in August 2009. These entities already belonged to the parent group Banco Popular

1 Colateral data as of 30 June 2009

2 Ratings as of 1 October 2009 Source: Fitch

Spanish Securitisation - October 009

Issuer Ratings, Outstanding within Multi issuer CH and Collateralisation Ratios 1

 

Fitch

Outstanding balance within multi issuer CHs (EURm)

Total

Eligible a

rating 2

collateralisation (%)

collateralisation (%)

Cajamar

A

800.00

461.38

213.25

Caixa Manlleu

NR

610.00

273.04

203.94

Caja Badajoz

A

535.00

261.95

205.57

Caja Rioja

NR

397.05

376.92

269.95

Banco Espirito Santo

NR

225.00

514.26

156.17

Caja Guadalajara

NR

209.04

290.31

193.53

Caixa Ontinyent

NR

170.00

295.81

202.57

Total

115,340.98

a Eligible assets mean assets which qualify for setting the legal limit of CH issuance.

b Banco Popular has absorbed the following entities: Banco De Castilla, Banco De Crédito Balear, Banco De Galicia and Banco De Vasconia in February 2009, and Banco de Andalucia in August 2009. These entities already belonged to the parent group Banco Popular

1 Colateral data as of 30 June 2009

2 Ratings as of 1 October 2009 Source: Fitch

Spanish ABS Where do we go from here?

Rui J. Pereira & Marta Aisa

Spanish ABS issuance has remained sluggish in the first half of 2009, especially when compared to the rapid growth experienced in prior semesters. As such, ABS issuance in Spain stood at EUR3.5bn in H109, down by more than 40% from the EUR6.6bn recorded in H108. Current issuance volume represents 6.5% of total structured finance volume, compared with the 11% registered in the same period a

year earlier. Nonetheless, Spain ranks second in the EU in ABS issuance after Germany, amounting to nearly 20% of European issuance (according to European Securitisation Forum statistics). Out of five transactions, three were backed by auto and consumer loans and the other two were backed by leases.

The ongoing economic recession in Spain continues to severely impact Spanish consumer ABS transactions, whose performance has rapidly deteriorated over the past 12 months. High household indebtedness, limited credit availability and, most prominently,

Spanish ABS Issuance

Issuance volume (LHS) Number of deals (RHS) % of Spanish total issuance (RHS) (EURbn) (%
Issuance volume (LHS)
Number of deals (RHS)
% of Spanish total issuance (RHS)
(EURbn)
(% / No. of deals)
8
11
12
9
10
6
8
7
4
5
6
7
6.44
6.584
4
5
5
2
3.55
3
2
2.1629
0
0
H106
H107
H108
H109

Source: Fitch

the sharp increase in unemployment have weighed heavily on consumers. Despite the implementation of macro- economic policies to boost spending and ease the debt burden on consumers, there has been continued evidence of consumers struggling to meet their repayments, resulting in an increase in delinquencies and defaults across the Spanish auto and unsecured consumer loan sectors.

Several transactions are reporting sharp increases in arrears, especially those deals that have recently seen a breach in their delinquency-based early amortisation triggers and have therefore started to amortise. Rising defaults have resulted in rapid drops in excess spread in the last two quarters for a number of transactions, which has in

turn led to negative excess spread for

the average of Spanish consumer ABS

deals. As a consequence, the agency has

taken several rating actions in the last

quarter, as summarised in Appendix 1.

Even though the current economic downturn is the main driver of the deteriorating performance observed in all Spanish deals, some differentiation

Spanish Consumer ABS: Net Defaults and Early and Late-Stage Delinquency Indexes

Net default index Late-stage delinquency index Early-stage delinquency index (%) 5.0 4.5 4.0 3.5 3.0
Net default index
Late-stage delinquency index
Early-stage delinquency index
(%)
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
Dec 06
Apr 07
Aug 07
Dec 07
Apr 08
Aug 08
Dec 08
Apr 09

Source: INE

Spanish Consumer ABS: Excess Spread Index

Excess Spread Index (%) 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 -0.5 Feb 07
Excess Spread Index
(%)
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
-0.5
Feb 07
Jun 07
Oct 07
Feb 08
Jun 08
Oct 08
Feb 09

Source: INE

can nonetheless be made across transactions. Among the factors behind this slightly different behaviour are the loan and transaction seasoning and the risk profile of the underlying pools. Specifically, some transactions issued in recent vintages contained more aggressively underwritten loans that are showing materially worse performance in the downturn.

Contrary to the more aggressive underwriting guidelines undertaken in recent years, Fitch sees the much tighter underwriting practices employed in the last year as a positive step, designed to limit credit growth and avoid underperforming borrower segments, origination channels and products. Moreover, as recoveries have come under pressure in the current economic setting, servicers and collection companies are actively reinforcing their collection platforms.

Fitch expects further deterioration in Spanish consumer ABS performance in the forthcoming months, with arrears and defaults increasing as a

result of the macroeconomic environment. Nonetheless, the growth in unemployment has slowed in the last quarters and, although still on a rising trend, is not expected to increase at the same pace observed to date (having climbed to 17.9% in Q209 from 10.4% in Q208). Also on the positive side, the fall in interest rates (Euribor) since Q408 is expected to have eased some of the pressure experienced by consumers

on their mortgage repayments, which

are tightly linked to variable interest rates, and is therefore seen as having

a positive impact on households’ disposable income.

Fitch has updated its methodology for rating European consumer ABS

transactions. The updated criteria will

be applied to ABS transactions backed

updated criteria will be applied to ABS transactions backed by diversified and granular portfolios of loans

by diversified and granular portfolios of loans and leases, advanced to individuals and small corporate entities within European jurisdictions. One of the main changes in the methodology focuses on the analysis of obligor default risk. Fitch has replaced the VECTOR ABS model with a range of default and recovery stresses, which facilitate the incorporation of multiple qualitative considerations into the application of rating stresses for individual transactions. For further details please refer to the criteria report entitled “EMEA Consumer ABS Rating Criteria” published on 1 September 2009.

For further details on Spanish consumer ABS performance trends and Fitch’s overall outlook for the sector, please refer to the special report entitled ”Spanish Consumer ABS A Cloudy Horizon – Performance Update” published on 06 October 2009 available on Fitch’s public website:

www.fitchresearch.com.

Covered Bond Criteria Update – Impact on Spanish Issuers

Jaime Martí

In May this year, the latest regulation concerning the issuance of Spanish covered bonds – Royal Decree 716/2009 – was approved, finalising a process that started in December 2007 with an extensive revision of the 1981 Mortgage Market Law. These three pieces of law – Law 1981, Law 2007 and the already mentioned Royal Decree, together with the 2003 Insolvency law – configure the legal framework for the issuance of this type of instrument by Spanish financial entities.

The introduction of new features, as well as clarification of certain legal aspects, has positively impacted the instrument and consequently Fitch’s analysis of Spanish covered bonds –

Spanish Securitisation - October 009

cédulas hipotecarias (CHs) – as described in this article.

Fitch’s Rating Methodology: The CH rating is based on the probability of default (PD) of the covered bonds combined with a recovery assessment. Regarding the former, Fitch assumes that the cover pool may survive the insolvency of the issuer, and therefore assigns the CHs a PD rating that is higher than the individual Issuer Default Rating (IDR). The number of notches by which the PD can be potentially higher than the IDR is determined by the discontinuity factor or D-Factor.

The D-Factor is formed by four parameters: segregation of the cover pool (which accounts for 45%); solutions to overcome liquidity gaps upon default of the debtor (35%); feasibility of the transition to an alternative cover pool management (15%); and the role of the supervisory authority (5%).

Once a D-Factor has been assigned, the combination of the default analysis on the total mortgage book and cash flow modelling will determine whether available OC is sufficient to support the rating at the relevant rating scenario. This step of the analysis will determine the final PD rating of the CHs.

Finally, Fitch can assign up to two notches uplift above the PD for investment-grade issuers (three notches for sub-investment grade) to take into account recoveries after the default of the CHs. In the case of Spanish CHs, two notches are assigned if the net present value of the expected recoveries is at least 100% of the outstanding value of the CHs.

Most of the parameters assessed in the D-Factor are country specific; any substantial reform of the legal framework will directly impact Fitch’s analysis. Therefore, in this article, the agency will focus on the impact of the changes introduced by the legislator on this discontinuity factor.

Asset Segregation: The ring-fencing of the cover assets from the issuer’s balance sheet is a key feature to ensure payments are directed to covered bondholders. The immunity of the cover assets from any claims by unsecured creditors of the defaulted financial institution is achieved in the Spanish case by virtue of law.

The new law eliminates certain ambiguities regarding the collateral available for the bondholders in case of insolvency that was present in the previous royal decree; it could be understood that only eligible loans were covering the CHs. This uncertainty has been completely eliminated and it is now clear that the whole mortgage portfolio of the issuer, eligible or not, will be available to the bondholders in case of insolvency. The eligibility concept only impacts the maximum amount that an entity can issue through CHs.

Other structural elements such as hedging agreements and substitute assets linked to a particular transaction are also clearly isolated by law and pledged to the bondholders of the transaction, allowing the insolvency administrator to protect those cash flows to the benefit of the investors.

Alternative Management: Covered bondholders’ claims against the cover assets would be handled by a third- party manager in the event of an insolvency of the issuer. Fitch takes into consideration the framework governing the appointment of a substitute manager together with the length of time required to appoint one and the manager’s responsibilities in the servicing and liquidation of the cover assets to meet payments due on the covered bonds.

The inclusion of a new special register for the loans improves the capacity of a new manager to step into a defaulted entity and manage the mortgage book efficiently, minimising the potential distortion of an event of default. Although the law does not provide for a specific

protocol as seen in other jurisdictions, the presence of specialised insolvency administrators, combined with the clear isolation of the assets provided by law, the existence of the register and the high probability, in Fitch’s views, of the administrators relying on the existing staff and IT infrastructure, should allow for a smooth transaction upon the issuer’s default.

Regarding the Spanish CHs, there may be certain potential conflicts of interest due to the fact that a single administrator will take care of both secured and unsecured creditor claims.

Liquidity Gaps: When deriving a score for the potential liquidity gaps arising upon default of the issuer, Fitch takes into account how quickly the cover pool assets could be monetised and the temporary protection granted to investors in the meantime (such as extendible maturities for the bonds, pre-maturity tests or liquidity commitments).

The overall legal framework has provided the issuers with new tools such as the inclusion of 5% substitution assets of a specific issuance and the capability for the insolvency administrators to enter into liquidity agreements to minimise potential mismatches. Moreover, CH bondholders are specially protected under the insolvency law, ensuring super-senior rights to the whole mortgage portfolio as well as temporary liquidity mitigants such as the elimination of any freeze period during insolvency, ensuring all cash generated by the mortgage portfolio flows to the bondholders.

Nevertheless, under Fitch’s analytical framework, the lack of structural features (such as extendible maturities), which could grant some time to allow the execution of these measures, penalises the D-Factor score of the CH and therefore limits the number of notches that can be assigned above the IDR.

Regulator’s Oversight: Clear competencies have been assigned to the Bank of Spain (BoS) and to the Comision Nacional del Mercado de Valores (CNMV) to supervise and monitor correct compliance with the aspects developed in the law. The main tool to carry out this function is again the special register where the information is presented in a standard format as prescribed by the Royal Decree.

Notwithstanding, the covered bond supervision is just a part of the general supervision of financial entities by the BoS, which supervises at an institution level rather than being a specific covered bond watchdog. In addition, and in part due to the particular template for covered bond issuance where the whole mortgage portfolio of the entity is backing the CHs, no explicit processes supervise other potential risks such as maturity mismatches, currency risks or the legal liquidity position, which are commonly found in other contexts.

Conclusion

The review and update of the general Mortgage Market Law has a clearly positive impact on CHs as a funding instrument, as it clarifies some legal uncertainties, strengthens bondholders’ rights and safety and has created new tools for a more robust issuance.

From a bondholder’s perspective, the new legislation complements the existing insolvency law whereby CHs are uniquely treated, allowing a perfect segregation of the mortgage book and ensuring that payments are made as diligently as possible without any restriction due to normal insolvency procedures applied to other claims. The administrators have been given new tools and obligations to comply with this objective.

Finally, the creation of a special register, updated on an ongoing basis, allows supervision of the designated entities to be enhanced and obliges the entities to maintain a detailed position of all the loans, hedging agreements and substitute assets backing the CHs. It

hedging agreements and substitute assets backing the CHs. It also ensures a more effective transition to

also ensures a more effective transition to an alternative manager and helps the insolvency administrators to isolate the assets and to make the payments to the bondholders as efficiently as possible upon insolvency.

Therefore, Fitch has incorporated all of these changes into its methodology. Although new liquidity gap management tools were introduced, fully credit cannot be given in this area due to the lack of timing mitigants such as soft bullet features or specific liquidity commitments in place; however, all other scores that form the D-Factor – asset segregation, alternative management and oversight – have been positively reviewed to acknowledge the improvements derived from the new legislation in place.

For more information on covered bonds, please refer to the criteria report, “Covered Bonds Rating Criteria” published on 7 July 2009 and – specifically for Spanish covered bonds – to the special report, “Analysis of the Spanish Mortgage Covered Bonds Framework” published on 3 July 2009.

Spanish Securitisation - October 009

Appendix 1

The tables below list all Spanish securitisations to which Fitch assigned ratings or took rating actions during H109.

New Ratings and Rating Actions

 

Asset

#

Date

Public Deal

Group

Total Amount (EUR)

Originator

1

Jan 09

AyT Colaterales Global Hipotecario, FTA Serie AyT Colaterales Global Hipotecario Cajasur I

RMBS

EUR200,000,000

Caja de Ahorros y Monte de Piedad de Cordoba (CajaSur)

2

Feb 09

AyT Cedulas Cajas Global, FTA, Series XXII

CDOs CHS

EUR2,323,000,000

Caixa d’Estalvis de Sabadell,

Caixa d’Estalvis de

   

Tarragona, Caixa d’Estalvis de Terrassa, Caixa d’Estalvis

 

del Penedes, Caixa d’Estalvis Laietana,

Caixa de Aforros

de Vigo, Ourense e Pontevedra (Caixanova), Caja de Ahorro y Monte de Piedad de Cordoba (CajaSur), Caja de Ahorros de Asturias (Cajastur), Caja de Ahorros de Castilla La Mancha, Caja de Ahorros de la Inmaculada de Aragon, Caja de Ahorros de Salamanca y Soria (Caja Duero), Caja de Ahorros de Santander y Cantabria, Caja de Ahorros de Vitoria y Alava (Caja Vital), Caja de Ahorros del Mediterraneo, Caja de Ahorros Municipal de Burgos, Caja de Ahorros y Monte de Piedad de Avila, Caja de Ahorros y Monte de Piedad de Las Baleares (Sa Nostra)

4

Feb 09

AyT ICO-FTVPO Caja Vital Kutxa, FTA

RMBS

EUR155,000,000

Caja de Ahorros de Vitoria y Alava (Caja Vital)

6

Feb 09

FTA, Santander Consumer Spain 09-1

ABS

EUR735,700,000

Santander Consumer EFC S.A.

8

Mar 09

TDA Sa Nostra Empresas 2, F.T.A.

SME CDO

EUR355,000,000

Caja de Ahorros y Monte de Piedad de Las Baleares (Sa Nostra)

10

May 09

AyT Colaterales Global Empresas, F.T.A., Serie AyT Colaterales Global Empresas Banco Gallego I

SME CDO

EUR135,000,000

Banco Gallego

12

Jun 09

CEAMI GUARANTEED BONDS I, FTA

CDOs CHS

EUR2,559,000,000

Caja de Ahorros y Monte de Piedad de Las Baleares (Sa Nostra), Caja de Ahorros y Monte de Piedad de Navarra, Caixa d’Estalvis del Penedes, Caja de Ahorros de Salamanca y Soria (Caja Duero), Lico Leasing S.A., Caja de Ahorros de Santander y Cantabria, Caixa d’Estalvis de Sabadell, Caja General de Ahorros de Granada, Caixa Girona, Caja de Ahorros de la Inmaculada de Aragon, Caja de Ahorros y Monte de Piedad de Segovia, Monte de Piedad y Caja de Ahorros San Fernando de Huelva, Jerez y Sevilla (Cajasol), Caja de Ahorros y Monte de Piedad de Cordoba (CajaSur), Caja General de Ahorros de Canarias, Caja Insular de Ahorros de Canarias, Caixa d’Estalvis Laietana, Caja de Ahorros y Monte de Piedad de Avila

Insular de Ahorros de Canarias, Caixa d’Estalvis Laietana, Caja de Ahorros y Monte de Piedad de

Source: Fitch

New Ratings and Rating Actions   Asset Previous Current # Date Deal Class Class Rating

New Ratings and Rating Actions

 

Asset

Previous

Current

#

Date

Deal

Class

Class

Rating

Rating

Action

1

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series I

AAA

AAA

Affirmed

2

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series II

AAA

AAA

Affirmed

4

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series IV

AAA

AAA

Affirmed

6

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series V

AAA

AAA

Affirmed

8

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series VII

AAA

AAA

Affirmed

10

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series X

AAA

AAA

Affirmed

12

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XII

AAA

AAA

Affirmed

14

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XIV

AAA

AAA

Affirmed

16

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XV

AAA

AAA

Affirmed

18

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XVII

AAA

AAA

Affirmed

20

07 Jan 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XX

AAA

AAA

Affirmed

22

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series I

AAA

AAA

Affirmed

24

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series III

AAA

AAA

Affirmed

26

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series IX

AAA

AAA

Affirmed

28

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series VI

AAA

AAA

Affirmed

30

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series VIII

AAA

AAA

Affirmed

32

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XI

AAA

AAA

Affirmed

34

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XIII

AAA

AAA

Affirmed

36

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XIX

AAA

AAA

Affirmed

38

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XVI

AAA

AAA

Affirmed

40

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XVIII

AAA

AAA

Affirmed

42

02 Feb 09

AyT Cedulas Cajas Global, F.T.A.

CDOs

Series XXI

AAA

AAA

Affirmed

44

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 3

CDOs

Class A3

AAA

AAA

Affirmed

46

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 3

CDOs

Class C

A+

A

Downgrade

48

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 3

CDOs

Class E

BB+

B

Downgrade

50

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 4

CDOs

A1

AAA

AAA

Affirmed

Source: Fitch

Spanish Securitisation - October 009

New Ratings and Rating Actions

 

Asset

Previous

Current

#

Date

Deal

Class

Class

Rating

Rating

Action

51

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 4

CDOs

A2

AAA

AAA

Affirmed

52

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 4

CDOs

A3

AAA

AAA

Affirmed

54

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 4

CDOs

C

A

BBB

Downgrade

56

05 Feb 09

Fondo de Titulizacion de Activos Santander Empresas 4

CDOs

E

BB

CCC

Downgrade

58

06 Feb 09

Empresas Hipotecario TDA CAM 3, Fondo de Titulizacion de Activos

CDOs

Class A2

AAA

AAA

Affirmed

60

06 Feb 09

Empresas Hipotecario TDA CAM 3, Fondo de Titulizacion de Activos

CDOs

Class C

BBB

B

Downgrade

62

06 Feb 09

Empresas Hipotecario TDA CAM 5, Fondo de Titulizacion de Activos

CDOs

A2

AAA

AAA

Affirmed

64

06 Feb 09

Empresas Hipotecario TDA CAM 5, Fondo de Titulizacion de Activos

CDOs

B

A

A

Affirmed

66

06 Feb 09

Empresas Hipotecario TDA CAM 5, Fondo de Titulizacion de Activos

CDOs

D

CCC

CC

Downgrade

68

06 Feb 09

FTPYME TDA CAM 4, FTA

CDOs

A3(CA)

AAA

AAA

Affirmed

70

06 Feb 09

FTPYME TDA CAM 4, FTA

CDOs

C

BBB

B

Downgrade

72

09 Feb 09

Caixa Penedes PYMES 1 TdA, Fondo de Titulizacion de Activos

CDOs

Class A

AAA

AAA

Affirmed

74

09 Feb 09

Caixa Penedes PYMES 1 TdA, Fondo de Titulizacion de Activos

CDOs

Class C

BBB

B

Downgrade

76

09 Feb 09

FTPYME TDA Sabadell 1, Fondo de Titulizacion de Activos

CDOs

1 SA

AAA

AAA

Affirmed

78

09 Feb 09

FTPYME TDA Sabadell 1, Fondo de Titulizacion de Activos

CDOs

B

BBB

BBB

Affirmed

80

10 Feb 09

FTA Santander Consumer Spain Autos 06

ABS

Class B

AA

AA

Affirmed

82

10 Feb 09

FTA Santander Consumer Spain Autos 06

ABS

Class D

BBB

BBB

Affirmed

84

12 Feb 09

BBVA CONSUMO 1 Fondo de Titulizacion de Activos

ABS

Series A

AAA

AAA

Affirmed

86

12 Feb 09

BBVA CONSUMO 1 Fondo de Titulizacion de Activos

ABS

Series C

A+

A+

Revision

 

Outlook

88

12 Feb 09

BBVA Consumo 2, Fondo de Titulizacion de Activos

ABS

Series B

AA

AA

Affirmed

90

23 Feb 09

FTA Santander Consumer Spain 07 2

ABS

Class A

AAA

A

Downgrade

92

23 Feb 09

FTA Santander Consumer Spain 07 2

ABS

Class C

A+

BBB

Downgrade

Source: Fitch

New Ratings and Rating Actions   Asset Previous Current # Date Deal Class Class Rating

New Ratings and Rating Actions

 

Asset

Previous

Current

#

Date

Deal

Class

Class

Rating

Rating

Action

93

23 Feb 09

FTA Santander Consumer Spain 07 2

ABS

Class D

BBB+

B+

Downgrade

94

23 Feb 09

FTA Santander Consumer Spain 07 2

ABS

Class E

CCC

CC

Downgrade

96

24 Feb 09

BBVA AUTOS 2, Fondo de Titulización de Activos

ABS

Series B

AA

AA

Affirmed

98

24 Feb 09

Consumo Bancaja 1 Fondo de Titulizacion de Activos

ABS

Series A

AAA

AAA

Affirmed

100

24 Feb 09

Consumo Bancaja 1 Fondo de Titulizacion de Activos

ABS

Series C

A

BBB+

Downgrade

102

27 Feb 09

FTA Santander Consumer Spain Auto 07 1

ABS

Class A

AAA

AAA

Affirmed

104

27 Feb 09

FTA Santander Consumer Spain Auto 07 1

ABS

Class C

BBB

BBB

Affirmed

106

27 Feb 09

GC FTPYME Sabadell 4, FONDO DE TITULIZACION DE ACTIVOS

CDOs

A(G)

AAA

AAA

Affirmed

108

27 Feb 09

GC FTPYME Sabadell 4, FONDO DE TITULIZACION DE ACTIVOS

CDOs

B

A+

A

Downgrade

110

27 Feb 09

GC FTPYME Sabadell 5, Fondo de Titulizacion de Activos

CDOs

A2

AAA

AAA

Affirmed

112

27 Feb 09

GC FTPYME Sabadell 5, Fondo de Titulizacion de Activos

CDOs

B

A+

BBB

Downgrade

114

04 Mar 09

Foncaixa FTGENCAT 3, Fondo de Titulizacion de Activos

CDOs

A(G)

AAA

AA

Downgrade

116

04 Mar 09

Foncaixa FTGENCAT 3, Fondo de Titulizacion de Activos

CDOs

C

BBB+

BB

Downgrade

118

04 Mar 09

Foncaixa FTGENCAT 3, Fondo de Titulizacion de Activos

CDOs

E

CCC

CC

Downgrade

120

04 Mar 09

Foncaixa FTPYME 1, FTA

CDOs

A3S

AAA

AAA

Affirmed

122

04 Mar 09

Foncaixa FTPYME 1, FTA

CDOs

C

BBB

BB

Downgrade

124

04 Mar 09

GAT FTGENCAT 2006, Fondo de Titulizacion de Activos

CDOs

Series B

AA+

AA+

Affirmed

126

04 Mar 09

GAT FTGENCAT 2006, Fondo de Titulizacion de Activos

CDOs

Series D

BBB

B

Downgrade

128

09 Mar 09

FTA Santander Financiacion 2

ABS

Class A

AAA

AAA

Rating Watch

 

On

130

09 Mar 09

FTA Santander Financiacion 2

ABS

Class C

A

A

Downgrade

132

09 Mar 09

FTA Santander Financiacion 2

ABS

Class E

BB

CCC

Downgrade

134

11 Mar 09

Fondo de Titulizacion de Activos, UCI 14

RMBS

Class A

AAA

AA

Downgrade

Source: Fitch

Spanish Securitisation - October 009

New Ratings and Rating Actions

 

Asset

Previous

Current

#

Date

Deal

Class

Class

Rating

Rating

Action

135

11 Mar 09

Fondo de Titulizacion de Activos, UCI 14

RMBS

Class B

A+

BBB

Downgrade

136

11 Mar 09

Fondo de Titulizacion de Activos, UCI 14

RMBS

Class C

BBB

BB

Downgrade

138

11 Mar 09

Fondo de Titulizacion de Activos, UCI 15

RMBS

Series B

A+

BBB

Downgrade

140

11 Mar 09

Fondo de Titulizacion de Activos, UCI 15

RMBS

Series D

CCC

CC

Downgrade

142

11 Mar 09

Fondo de Titulizacion de Activos, UCI 16

RMBS

A2

AAA

AA

Downgrade

144

11 Mar 09

Fondo de Titulizacion de Activos, UCI 16

RMBS

C

BB+

B

Downgrade

146

11 Mar 09

Fondo de Titulizacion de Activos, UCI 16

RMBS

E

CCC

CC

Downgrade

148

11 Mar 09

Fondo de Titulizacion de Activos, UCI 17

RMBS

Class A2

AAA

AA

Downgrade

150

11 Mar 09

Fondo de Titulizacion de Activos, UCI 17

RMBS

Class C

BB+

CCC

Downgrade

152

13 Mar 09

FTPYME TDA 5 Fondo de Titulizacion de Activos

CDOs

Class 1 SA

AAA

AAA

Affirmed

154

13 Mar 09

FTPYME TDA 5 Fondo de Titulizacion de Activos

CDOs

Class 2 SA

AA

AA

Affirmed

156

13 Mar 09

IM BANCO POPULAR FTPYME 1 FTA

CDOs

A

AAA

AAA

Affirmed

158

13 Mar 09

IM BANCO POPULAR FTPYME 1 FTA

CDOs

B

A+

A

Downgrade

160

13 Mar 09

IM Grupo Banco Popular EMPRESAS 1, FTA

CDOs

Series A2

AAA

AAA

Affirmed

162

13 Mar 09

IM Grupo Banco Popular EMPRESAS 1, FTA

CDOs

Series C

A+

A

Downgrade

164

13 Mar 09

IM Grupo Banco Popular EMPRESAS 1, FTA

CDOs

Series E

CCC

CC

Downgrade

166

18 Mar 09

Madrid RMBS 1, Fondo de Titulizacion de Activos

RMBS

Class A2

AAA

AA

Downgrade

168

18 Mar 09

Madrid RMBS 1, Fondo de Titulizacion de Activos

RMBS

Class C

A

BB+

Downgrade

170

18 Mar 09

Madrid RMBS 1, Fondo de Titulizacion de Activos

RMBS

Class E

BB

CC

Downgrade

172

18 Mar 09

Madrid RMBS II, Fondo de Titulizacion de Activos

RMBS

Class A2

AAA

AA

Downgrade

174

18 Mar 09

Madrid RMBS II, Fondo de Titulizacion de Activos

RMBS

Class B

AA

A

Downgrade

176

18 Mar 09

Madrid RMBS II, Fondo de Titulizacion de Activos

RMBS

Class D

BBB

CCC

Downgrade

178

18 Mar 09

Madrid RMBS III, Fondo de Titulizacion de Activos

RMBS

Class A1

AAA

AA

Downgrade

180

18 Mar 09

Madrid RMBS III, Fondo de Titulizacion de Activos

RMBS

Class A3

AAA

A+

Downgrade

182

18 Mar 09

Madrid RMBS III, Fondo de Titulizacion de Activos

RMBS

Class C

A

B

Downgrade

184

18 Mar 09

Madrid RMBS III, Fondo de Titulizacion de Activos

RMBS

Class E

BB

CC

Downgrade

Source: Fitch

New Ratings and Rating Actions   Asset Previous Current # Date Deal Class Class Rating

New Ratings and Rating Actions

 

Asset

Previous

Current

#

Date

Deal

Class

Class

Rating

Rating

Action

185

19 Mar 09

GC FTGENCAT Sabadell I, Fondo de Titulizacion de Activos

ABS

Series A (G)

AAA

AA+

Downgrade

186

19 Mar 09

GC FTGENCAT Sabadell I, Fondo de Titulizacion de Activos

ABS

Series A (S)

AAA

AAA

Affirmed

188

19 Mar 09

GC FTGENCAT Sabadell I, Fondo de Titulizacion de Activos

ABS

Series C

BBB

BB

Downgrade

190

19 Mar 09

IM FTGENCAT SABADELL 2

ABS

Class A(S)