Oct
3
(The following statement was released by the rating agency)
Oct 03 –
OVERVIEW
— More than 60 days have elapsed, without remedy action being taken,
since we lowered our short-term rating on Confederacion Espanola de Cajas de
Ahorros (CECA)–the swap provider for AyT ICO-FTVPO Caixa Galicia, AyT
ICO-FTVPO Cajasol, and AyT ICO-FTVPO III’s series CAI–to below the level
required by the transaction documents, which reflect our (superseded) 2010
counterparty criteria.
— As such, and given that the notes would achieve a lower rating than
that on the counterparty without the benefit of the swap, our ratings on the
class A(G), B, and C notes in these three transactions are constrained under
our 2012 counterparty criteria to our ‘BBB-‘ long-term issuer credit rating on
Confederacion Espanola de Cajas de Ahorros.
— We have therefore lowered our ratings on the class A(G), B, and C
notes in these three transactions to the same level as our long-term issuer
credit rating on CECA.
— AyT ICO-FTVPO CAJASOL, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO
III’s series CAI are Spanish RMBS transactions, each backed by a static
portfolio of mortgage loans originated by Cajasol (today Caixabank), Caixa
Galicia (today NCG Banco), and Caja de Ahorros de la Inmaculada de Aragon
(today Banco Grupo Caja3).
Standard Poor’s Ratings Services today lowered to ‘BBB- (sf)’ its credit ratings on the
class A(G), B, and C notes in AyT ICO-FTVPO CAJASOL Fondo de Titulizacion de Activos, AyT
ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos, and AyT ICO-FTVPO III Fondo de
Titulizacion de Activos’ series CAI (see list below).
More than 60 days have elapsed without remedy action being taken, since we
lowered our short-term issuer credit rating (ICR) on Confederacion Espanola de
Cajas de Ahorros (CECA; BBB-/Stable/A-3)–the swap provider in these three
transactions–to below the level required by the transaction documents, which
reflect our (superseded) 2010 counterparty criteria (see “Negative Rating
Actions On 16 Spanish Banks Following Sovereign Downgrade,” published on April
30, 2012). In our view, the replacement of the swap counterparty is more
difficult than for other transaction types, as the collateral pays a fixed
rate while the notes pay a floating rate, and no remedy action has taken place.
Consequently, and given that the notes would achieve a lower rating than that
on the counterparty without the benefit of the swap as collateral pays a fixed
rate while the notes pay a floating rate, under our 2012 counterparty
criteria, there is a direct link between our ratings in these three
transactions and our long-term ICR on the swap provider (see “Counterparty
Risk Framework Methodology And Assumptions,” published on May 31, 2012). Our
ratings on the class A(G), B, and C notes in these three transactions are
therefore constrained to our ‘BBB-‘ long-term ICR on CECA. We have therefore
lowered our ratings on the class A(G), B, and C notes in these three
transactions.
Credit performance has been strong in each of the three transactions, in our
view, given the nature of the product securitized (the loans benefit from low
monthly installments and if they default, they are no longer subsidized by the
Spanish government). Based on the latest available investor reports from the
trustee (dated July 2012), the levels of loans in arrears for more than 90
days are at 0.91%, 0.19%, and 0.46% of the outstanding balance in AyT
ICO-FTVPO Cajasol, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO III’s series
CAI, respectively, and there are no defaults.
AyT ICO-FTVPO CAJASOL, AyT ICO-FTVPO Caixa Galicia, and AyT ICO-FTVPO III’s
series CAI are Spanish residential mortgage-backed securities (RMBS)
transactions, backed by subsidized mortgage loans originated by Cajasol (now
Caixabank S.A. after a recent merger), Caixa Galicia (now NCG Banco S.A.), and
Caja de Ahorros de la Inmaculada de Aragon (today Banco Grupo Caja3) under the
ICO-FTVPO subsidy program. Under this program, the Spanish Ministry of Housing
and local authorities give borrowers the ability to buy a first residential
property, which, due to their economic situation, they might not be able to
afford without this subsidy. The subsidy for this type of borrower is
two-fold: The subsidized (Vivienda de Proteccion Oficial) properties are
cheaper than those on the free market and the Spanish Ministry of Housing pays
to the originator up to 40% of the installment on the borrower’s behalf. AyT
ICO-FTVPO CAJASOL, AyT ICO FTVPO Caixa Galicia, and AyT ICO-FTVPO III’s series
CAI closed in July 2009, June 2009, and July 2009, respectively.
RELATED CRITERIA AND RESEARCH
— Spanish RMBS Index Report Q2 2012: High Mortgage Arrears Persist As
the Economy Worsens, Aug. 20, 2012
— Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
— European Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, March 14, 2012
— Global Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
— Principles Of Credit Ratings, Feb. 16, 2011
— Methodology And Assumptions: Update To The Cash Flow Criteria For
European RMBS Transactions, Jan. 6, 2009
— Criteria For Rating Spanish Residential Mortgage-Backed Securities,
March 1, 2002
RATINGS LIST
Class Rating
To From
Ratings Lowered
AyT ICO-FTVPO CAJASOL Fondo de Titulizacion de Activos
EUR115 Million Residential Mortgage-Backed Floating-Rate Notes
A BBB- (sf) AA+ (sf)
B BBB- (sf) AA (sf)
C BBB- (sf) A (sf)
AyT ICO-FTVPO Caixa Galicia Fondo de Titulizacion de Activos
EUR160 Million Mortgage-Backed Floating-Rate Notes
A BBB- (sf) AA+ (sf)
B BBB- (sf) AA (sf)
C BBB- (sf) A- (sf)
AyT ICO-FTVPO III Fondo de Titulizacion de Activos
EUR133.2 Million Mortgage-Backed Floating-Rate Notes Series CAI
A BBB- (sf) AA+ (sf)
B BBB- (sf) AA (sf)
C BBB- (sf) A (sf)
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