16.11.2012 13:54
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Moody's downgrades notes in 3 Spanish SME ABS transactions

Frankfurt am Main, November 16, 2012 -- Moody's Investors Service has today downgraded the ratings of nine classes of notes in three Spanish SME ABS transactions (FONCAIXA FTGENCAT 3, FTA, FONCAIXA FTGENCAT 4, FTA and FONCAIXA FTGENCAT 5, FTA) originated by Caixabank (Baa3/P-3) due to insufficient credit enhancement levels. At the same time, Moody's confirmed the ratings of three classes of notes. Today's rating action concludes the review initiated by Moody's on 2 July 2012. A detailed list of affected ratings is available toward the end of this press release.

RATINGS RATIONALE

"We initially placed the notes on review because of the application of the Spanish country ceiling, the need to assess counterparty risk and the reassessment of needed credit enhancement levels, in the context of increased volatility," says Ludovic Thebault, a Moody's analyst and lead analyst for the issuers. "Following our review, today's downgrades reflect insufficient levels of credit enhancement in the notes, given our negative forecast for Spanish SME performance and our severe downside scenarios for performance," adds Mr. Thebault.

As transaction performance and pool characteristics have remained stable since the rating agency's portfolio assumptions revision in June 2012, Moody's has maintained its default assumptions at 13.5%, 11% and 13.4%, respectively, of the portfolio current balance for the respective three transactions.

However, Moody's has decreased its recovery rate assumptions for all three deals to a 55% fixed recovery rate from a 65% stochastic recovery rate. This change reflects the ongoing and increasing difficulty in liquidating the real estate collateral of the loans backed by a mortgage guarantee.

Moody's has also increased volatility levels in its default scenarios for all three transactions. To reflect the instability and deteriorating situation in Spain, the rating agency has increased its volatility assumptions to 90%, 114% and 95%, respectively.

Despite lower recovery and higher volatility expectations for the transactions, Moody's confirmed the ratings of the Class A(G) notes of FONCAIXA FTGENCAT 3, the Class D notes of FONCAIXA FTGENCAT 4 and the Class A(S) notes of FONCAIXA FTGENCAT 5 as credit enhancement levels were sufficient to off-set the lower recovery rate and higher volatility assumptions. In particular, the Class A(S) notes of FONCAIXA FTGENCAT 5 currently represent 6% of the total pool balance and are currently amortising senior to the other tranches. Moody's believes that it is extremely unlikely that the Class A(S) notes will amortise pro rata with the Class A(G) notes, given today's distance to the pro rata trigger and the amortisation speed of the Class A(S) notes

-- PERFORMANCE

Historically, all three transactions have generally performed better than Moody's Spanish SME delinquency index, and performance has shown signs of stabilisation over the last months. Since the June 2012 review, delinquency levels in all three transactions have remained below the Spanish index. Delinquencies 90+ days now stand at 2.7% of current pool balance in FONCAIXA FTGENCAT 3, 2% in FONCAIXA FTGENCAT 4, and 3% in FONCAIXA FTGENCAT 5, versus 2.9%, 1.9% and 2.7%, respectively, in May 2012.

-- SENSITIVITY ANALYSIS

Moody's analysed various sensitivities of default rate and volatility levels to test the robustness of its revised ratings. In particular, if the revised levels of volatility were to be increased by a further 19% (to 107.5%, 135.6% and 113.1%, respectively), the rating of the senior tranche in each of the three deals would remain unchanged. As such, Moody's analysis encompasses the assessment of stressed scenarios.

-- OPERATIONAL AND COUNTERPARTY RISK

Since Moody's last rating action on 2 July 2012, the issuer accounts were transferred to Barclays Bank PLC (A2/P-1) from Caixabank, but Caixabank (Baa3/P-3) has remained swap counterparty in all three transactions. The swaps provide significant support to the notes by guaranteeing excess spread. A downgrade of Caixabank may negatively affect the ratings of the notes should the bank remain swap counterparty.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today's rating action should not be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

METHODOLOGIES

The methodologies used in these ratings were Moody's Approach to Rating CDOs of SMEs in Europe published in February 2007, 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 published in March 2009, and Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa published in June 2007. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's used its excel-based cash flow model, Moody's ABSROM[TM], as part of its quantitative analysis of the transaction. Moody's ABSROM[TM] model enables users to model various features of a standard European ABS transaction including: (i) the specifics of the default distribution of the assets, their portfolio amortisation profile, yield or recoveries; and (ii) the specific priority of payments, triggers, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM[TM] User Guide is available on Moody's website and covers the model's functionality as well as providing a comprehensive index of the user inputs and outputs.

RATINGS LIST

Issuer: FONCAIXA FTGENCAT 3 Fondo de Titulización de Activos

....EUR449.3M A(G) Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR10.7M B Notes, Downgraded to Ba1 (sf); previously on Jul 2, 2012 A3 (sf) Placed Under Review for Possible Downgrade

....EUR7.8M C Notes, Downgraded to B1 (sf); previously on Jul 2, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

....EUR6.5M D Notes, Downgraded to Caa1 (sf); previously on Jul 2, 2012 B3 (sf) Placed Under Review for Possible Downgrade

Issuer: FONCAIXA FTGENCAT 4 Fondo de Titulización de Activos

....EUR326M A (G) Notes, Downgraded to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR9.6M B Notes, Downgraded to Ba3 (sf); previously on Jul 2, 2012 Baa1 (sf) Placed Under Review for Possible Downgrade

....EUR7.2M C Notes, Downgraded to B2 (sf); previously on Jul 2, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

....EUR6M D Notes, Confirmed at Caa1 (sf); previously on Jul 2, 2012 Caa1 (sf) Placed Under Review for Possible Downgrade

Issuer: FONCAIXA FTGENCAT 5 Fondo de Titulizacion de Activos

....EUR513.1M A (S) Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR449.4M A (G) Notes, Downgraded to Baa2 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR21M B Notes, Downgraded to B1 (sf); previously on Jul 2, 2012 Ba1 (sf) Placed Under Review for Possible Downgrade

....EUR16.5M C Notes, Downgraded to Caa1 (sf); previously on Jul 2, 2012 B3 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The ratings have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare each of the ratings are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entities or their related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Ludovic Thebault Analyst Structured Finance Group Moody'sDeutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Carole Gintz VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. ("MIS") AND ITS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY'S ("MOODY'S PUBLICATIONS") MAY INCLUDE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY'S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY'S OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. CREDIT RATINGS AND MOODY'S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY'S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY'S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY'S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

MIS, a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS's ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Shareholder Relations -- Corporate Governance -- Director and Shareholder Affiliation Policy."

Any publication into Australia of this document is by MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657, which holds Australian Financial Services License no. 336969. This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001.

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This credit rating is an opinion as to the creditworthiness or a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be dangerous for retail investors to make any investment decision based on this credit rating. If in doubt you should contact your financial or other professional adviser.

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