Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs of Economic Recovery

Spanish RMBS Index Report Q1 2014:
Collateral Performance Continues To

Deteriorate Despite Signs Of Economic
Recovery
Primary Credit Analyst:
Soledad Martinez-Tercero, Madrid (34) 91-389-6954; soledad.martinez-tercero@standardandpoors.com
Secondary Contact:
Virginie Couchet, Madrid (34) 91-389-6959; virginie.couchet@standardandpoors.com
Research Contributor:
Sridevi R Sekar, Mumbai (91) 22-4040-2945; sridevi.sekar@standardandpoors.com
Table Of Contents
Related Criteria And Research
STRUCTURED
FINANCE
RESEARCH
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 6, 2014 1
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Spanish RMBS Index Report Q1 2014: Collateral
Performance Continues To Deteriorate Despite
Signs Of Economic Recovery
Table 1
Performance Indicators (%)
Q1 2014 Q4 2013 Q3 2013 Q2 2013 Q1 2013 Q4 2012
Indices
Total delinquencies 8.07 7.90 7.76 7.73 7.43 7.29
Severe delinquencies (including repossessions) 6.17 6.05 5.82 5.57 5.16 4.89
Prepayment rate 3.49 3.54 3.51 3.80 4.01 3.89
House price growth*
Ministerio de Vivienda (3.75) (4.20) (4.49) (6.45) (8.06) (10.02)
Instituto Nacional de Estadistica N.A. (7.80) (7.90) (12.00) (14.30) (12.80)
Economic
Real GDP growth 0.40 0.20 0.10 (0.10) (0.40) (1.90)
Unemployment rate 25.4 25.80 26.10 26.30 27.16 26.1
*Year-on-year. Source: Eurostat. Quarter-on-quarter, seasonally-adjusted. Three-month average. N.A.--Not available.
Table 2
Scenarios For Spanish RMBS Collateral: 2014 And 2015
Actual
Baseline Downside
Comment
Baseline effect on
collateral credit
quality
2013 2014 2015 2014 2015
Real GDP (year-on-year
growth; %)
(1.2) 0.8 1.4 0.1 (0.2) Improving export performance could help
stop economic contraction in 2014
Neutral
Unemployment rate (annual
average; %)
26.4 25.7 24.5 28.5 28.0 The unemployment rate looks set to
decline, but only slowly
Somewhat unfavorable
House prices (year-on-year
growth; %)
(4.6) (2.0) 0.0 N.A. N.A. Still few signs of improvement as the
excess supply of dwellings remains a
negative factor
Unfavorable
Net mortgage lending
(year-on-year growth in
balances, %)
(4.3) (0.7) 0.3 N.A. N.A. Household deleveraging looks set to
continue
Somewhat unfavorable
ECB policy rate (end of year;
%)
0.25 0.15 0.15 N.A. N.A. We expect the ECB could adopt
unconventional monetary measures later
in the year, given deflation risks
Neutral
Sources: Eurostat, OECD, Banco d'Espana, Standard & Poor's. N/A--Not available.
In the first quarter of 2014, severe delinquencies in the Spanish residential mortgage-backed securities (RMBS)
transactions that Standard & Poor's Ratings Services rates continued to increase, albeit more slowly, for the third
consecutive quarter. Although Eurostat's macroeconomic indicators suggest signs of an economic recovery,
persistently high delinquencies lead us to believe that the Spanish RMBS market could potentially stagnate in 2014.
We anticipate that continued high unemployment and low household income ratios will constrain any potential
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improvement in the transactions' collateral performance in the short term.
Severe delinquencies of more than 90 days reached 6.17% in Q1 2014, up from Q4 2013's previous peak of 6.05%, and
up by almost 19.6% year-on-year. Quarterly, this ratio increased by 1.98% between Q4 2013 and Q1 2014, compared
with 3.95% between Q3 and Q4 2014, 4.49% between Q2 and Q3 2014, and 7.95% between Q1 and Q2 2014. Despite
a lower quarterly increase, we still think that this results mainly from our index composition and is not a sign of clear
improving collateral performance.
Overview
Severe delinquencies in our Spanish RMBS index rose for the third consecutive quarter in Q1 2014.
We continue to forecast further credit quality deterioration due to difficult economic conditions.
House prices are starting to moderate, but the market's recovery is not yet on solid ground, in our view.
Our rating actions in Q1 2014 were mainly due to worsening collateral performance and note defaults.
Despite decreasing unemployment over the past four quarters and GDP growth picking up for the third consecutive
quarter in Q1 2014 (according to the Spanish National Statistics Institute [INE]), we continue to forecast further credit
quality deterioration due to persistently difficult macroeconomic conditions. According to the Bank of Spain,
nonperforming loans in the Spanish RMBS market increased 43% quarter-on-quarter to 5.8% in Q1 2014, in line with
the 48% experienced from Q3 2012 to Q4 2013, mainly due to the reclassification of forbearance arrangements.
However, as we highlighted in our previous report, forbearance measures have generally had a limited impact on the
collateral performance of securitizations in our index because of the eligibility criteria established in the transactions'
documentation, which limit loan modifications relating to amortization, maturity, and mortgage conditions.
Consequently, the 24% increase in severe delinquencies that we saw between Q4 2012 and Q4 2013and 19%
between Q1 2014 and Q1 2013was mainly due to tough macroeconomic conditions, not forbearance measures.
Therefore, we still forecast further credit quality deterioration due to only mild signs of economic recovery. Our
analysis already takes into account further credit quality deterioration and weaker structural mitigants against
increased projected defaults and lower recoveries. Based on the credit quality of the assets alone, we are not likely to
take significant negative rating actions in the coming months.
Our forecasts for moderated house price declines remain at 2% for 2014 and 0% for 2015. However, we still expect
overall losses from the transactions in our index to increase as recoveries decline. Although Spain's house price
slowdown eased at the end of 2013, we don't think the housing market has turned the corner just yet as supply
continues to significantly exceed demand, while credit conditions remain tight. In addition, the market still appears
between 9% and 18% overvalued, compared with incomes, rents, and long-term average house prices (see "Europe's
Housing Market Recovery Is Not Yet On Solid Ground," published on April 30, 2014).
Q1 2014's delinquency trends by originator were unchanged from Q4 2013 (transactions originated between 2005 and
2007 continued to be the worst performers, with quarterly severe delinquency increases of between 8% and 11%).
Delinquencies continue to roll over into defaults, indicating that servicers are finding it difficult to cure severe
delinquencies, while recoveries on defaulted assets are low due to a depressed housing market and longer recovery
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Spanish RMBS Index Report Q1 2014: Collateral Performance Continues To Deteriorate Despite Signs Of
Economic Recovery
timings for transactions.
The prepayment rate has stabilized at approximately 4% and is relatively flat among transaction servicers.
Our Q1 2014 rating actions were mainly due to worsening collateral performance and note defaults (see "Related
Criteria And Research").
We recently raised our long- and short-term foreign and local currency sovereign ratings on Spain (see "Ratings On
Spain Raised To 'BBB/A-2' On Improved Economic Prospects; Outlook Stable," published on May 23, 2014). We will
summarize the effect of the sovereign upgrade on our ratings in Spanish RMBS transactions in our Q2 2014 index
report.
Potential effects of proposed criteria changes. Our ratings are based on our applicable criteria, including those set out
in the criteria articles "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions,"
published on June 14, 2011, "Criteria for Rating Spanish Residential Mortgage-Backed Securities," published on March
1, 2002, and "Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential
Mortgage-Backed Securities," published on Jan. 6, 2009. However, these criteria are under review (see "Request For
Comment: Methodology And Assumptions For Ratings Above The Sovereign--Single Jurisdiction Structured Finance,"
published on Oct. 14, 2013, and "Request for Comment: Italy And Spain RMBS Methodology And Assumptions,"
published on Oct. 28, 2013).
As a result of this review, our future criteria applicable to ratings above the sovereign and to rating transactions backed
by Spanish mortgage assets may differ from our current criteria. These criteria changes may affect the ratings on the
outstanding RMBS transactions that we rate. Until such time that we adopt new criteria, we will continue to rate and
surveil these transactions using our existing criteria (see "Related Criteria And Research").
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Economic Recovery
Chart 1
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Economic Recovery
Chart 2
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Economic Recovery
Chart 3
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Economic Recovery
Chart 4
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Economic Recovery
Chart 5
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Economic Recovery
Chart 6
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Economic Recovery
Chart 7
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Economic Recovery
Chart 8
Table 3
Spanish RMBS Transactions Included In Index
Closing
date ABSXchange Ticker Name Originator Redeemed?
Mar 04,
2011
BANESTO.5 Fondo de Titulizacin Hipotecaria
Banesto 5
Banco Espaol de Credito S.A. Yes
Jan 28,
2011
MBSFTA.3 MBSCAT 3, Fondo de Titulizacin
de Activos
Caixa d'Estalvis de Catalunya, Tarragona I
Manresa
Yes
Jul 27, 2010 FONCAIX.11 FonCaixa Hipotecario 11, Fondo
de Titulizacin de Activos
Caixabank S.A. Yes
Jul 14, 2010 BANKINT.20 Bankinter 20, Fondo de
Titulizacin de Activos
Bankinter S.A. Yes
Jun 24,
2010
MADRIDRS.2 MADRID RESIDENCIAL II, Fondo
Caja de Ahorros y Monte de Piedad de
Madrid
No
May 24,
2010
SANTHIP.6 Fondo de Titulizacin de Activos
Santander Hipotecario 6
Banco Santander Central Hispano S.A. Yes
Apr 22,
2010
BBVARMBS.9 BBVA RMBS 9, Fondo de
Banco Bilbao Vizcaya Argentaria, S.A. No
Jun 22,
2011
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Economic Recovery
Table 3
Spanish RMBS Transactions Included In Index (cont.)
Jun 20,
2012
Mar 16,
2010
IMBP.2 IM Banco Popular, Fondo de
Titulizacin de Activos MBS 2
Banco Popular Espaol, S.A. No
Dec 21,
2009
IBERCAJA.7 TDA Ibercaja 7, Fondo de
Zaragoza, Aragon y Rioja (IBERCAJA)
No
Aug 28,
2009
AYTCGH.CM1 AyT Colaterales Global
Hipotecario FTA Caixa Manlleu I
Caixa d'Estalvis Comarcal de Manlleu Yes
Jul 29, 2009 AYTIFIII.CAI Ayt ICO-FTVPO III Fondo de
Titulizacin de Activos (CAI)
Caja Inmaculada No
Jul 29, 2009 AYTIFIII.CAJARIOJA Ayt ICO-FTVPO III Fondo de
Titulizacin de Activos (Caja
Rioja)
Caja de Ahorros de la Rioja No
Jul 8, 2009 AYT.IFC1 AyT ICO-FTVPO CAJASOL,
Fondo de Titulizacin de Activos
Monte de piedad y Caja de Ahorros San
Fernando de Huela, Jerez y Sevilla
Yes
Jul 3, 2009 IMBMFTA.1 IM BANKOA MBS 1, FONDO DE
Titulizacin DE ACTIVOS
Bankoa S.A. Yes
Jul 1, 2009 AYT.IFCM1 AyT ICO-FTVPO Caja Murcia
Caja de Ahorros de Murcia No
Jun 12,
2009
AYT.IFCG1 AyT ICO-FTVPO Caixa Galicia
Caja de Ahorros de Galicia Yes
May 22,
2009
AYTKUTXA.4 AyT Kutxa Hipotecario IV Fondo
Kutxabank S.A. Yes
May 21,
2009
SOLLION.1 SOL-LION, Fondo de Titulizacin
de Activos
ING Direct N.V. No
Apr 7, 2009 BANCAJA.BVAVPO1 Bancaja - BVA VPO 1 Fondo de
Caja de Ahorros de Valencia, Castellon y
Alicante and Banco de Valencia, S.A.
No
Mar 18,
2009
UCI.19 Fondo de Titulizacin de Activos
UCI 19
Union de Creditos Inmobiliarios,
Establecimento Financiero de Credito
Yes
Feb 4, 2009 MBSBANC.6 MBS Bancaja 6 Fondo de
Alicante
No
Dec 30,
2008
MADRIDRS.1 MADRID RESIDENCIAL I, Fondo
Madrid
No
Dec 23,
2008
MADRIDIC.1 MADRID ICO-FTVPO I, Fondo de
Madrid
No
Nov 27,
2008
Banco Bilbao Vizcaya Argentaria, S.A. Yes
Nov 19,
2008
TDA.31 TDA 31, Fondo de Titulizacin de
Activos
Banco Guipuzcoano No
Nov 13,
2008
BANKINT.18 Bankinter 18, Fondo de
Bankinter S.A. Yes
Nov 13,
2008
Nov 5, 2008 SANTHIP.5 Fondo de Titulizacin de Activos
Aug 6, 2008 TDA.CRDFMO1 TDA CREDIFIMO 1, Fondo de
Credifimo, E.F.C, S.A.U. Yes
Jul 17, 2008 CSSPIA.QEX1 Cassiopeia QEX B.V Banco Espaol de Credito S.A. Yes
Jun 25,
2008
IMSABDEL.2 IM Sabadell RMBS 2, Fondo de
Banco de Sabadell S.A. No
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Table 3
Jun 12,
2008
BANKINT.17 Bankinter 17 Fondo de
Bankinter S.A. Yes
Jun 11,
2008
AYTGOYA.2 AyT Goya Hipotecario II Fondo de
Barclays Bank S.A. Yes
May 29,
2008
May 19,
2008
HIPOCAT.15 Hipocat 15, Fondo de Titulizacin
de Activos
Caixa dEstalvis de Catalunya Yes
May 12,
2008
MBSBANC.5 MBS Bancaja 5 Fondo de
Alicante
Yes
Apr 30,
2008
AYTKUTXA.3 AyT Kutxa Hipotecario III Fondo
Kutxabank S.A. Yes
Apr 11,
2008
BANCAJA.12 Bancaja 12, Fondo de Titulizacin
de Activos
Banco CAM S.A. Yes
Mar 14,
2008
BANKINT.16 Bankinter 16 Fondo de
Bankinter S.A. Yes
Feb 29,
2008
UCI 18
No
Dec 31,
2007
AYTCGH.CCM1 AyT Colaterales Global
Hipotecario FTA CCM I
Caja de Ahorros de Castilla la Mancha
(CCM)
No
Dec 19,
2007
MADRID.4 MADRID RMBS IV, Fondo de
Madrid
No
Dec 13,
2007
AYTGEN.11 AyT Genova Hipotecario XI
Fondo de Titulizacin Hipotecaria
Barclays Bank S.A. No
Dec 12,
2007
TDA.CAM10 TDA CAM 10, Fondo de
Alicante
Yes
Dec 5, 2007 TDATARRA.1 TDA Tarragona 1, Fondo de
Titulizacion de Activos
Caixa d'Estalvis de Tarragona No
Nov 22,
2007
Oct 22,
2007
IMGOYA.1 IM GOYA HIPOTECARIO I,
Oct 11,
2007
Titulizacin Hipotecaria
Bankinter S.A. Yes
Oct 4, 2007 SANTHIP.4 Fondo de Titulizacin de Activos
Oct 1, 2007 CAIXAPEN.2 CAIXA PENEDES 2 TDA, Fondo
Caixa d'Estalvis del Penedes No
Jul 30, 2007 AYTCGH.SANOSTRA1 AyT Colaterales Global
Hipotecario FTA Sa Nostra I
Caja de Ahorros y Monte de Piedad de la
Baleares (Sa Nostra)
No
Jul 23, 2007 TDA.28 TDA 28, Fondo de Titulizacin de
Activos
Multi-originator Ratings
withdrawn
Jul 20, 2007 BANCAJA.11 Bancaja 11, Fondo de Titulizacin
de Activos
Alicante
No
Jul 11, 2007 MADRID.3 MADRID RMBS III, Fondo de
Madrid
No
Jul 6, 2007 TDA.CAM9 TDA CAM 9, Fondo de
Banco CAM S.A. No
Jun 29,
2007
AYTCG.1 AyT CajaGranada Hipotecario I
Caja de Ahorros de Granada No
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Table 3
Jun 26,
2007
AYTGEN.10 AyT Genova Hipotecario X Fondo
de Titulizacin Hipotecaria
Barclays Bank PLC No
Jun 19,
2007
GCPASTOR.5 GC Pastor Hipotecario 5, Fondo
Banco Pastor S.A. No
May 29,
2007
FONCAIX.10 FonCaixa Hipotecario 10, Fondo
Caixabank S.A. Yes
May 11,
2007
No
May 9, 2007 UCI.17 Fondo de Titulizacin de Activos
UCI 17
No
Apr 4, 2007 SANTHIP.3 Fondo de Titulizacin de Activos
Banco Santander Central Hispano S.A. No
Mar 29,
2007
Mar 23,
2007
Bankinter S.A. Yes
Mar 15,
2007
de Activos
Caixa dEstalvis de Catalunya No
Mar 13,
2007
Banco CAM S.A. No
Feb 16,
2007
AYTKUTXA.2 AyT Kutxa Hipotecario II, Fondo
Kutxabank S.A. No
Jan 30,
2007
de Activos
Alicante
No
Dec 22,
2006
TDA.27 TDA 27, Fondo de Titulizacin de
Activos
withdrawn
Dec 18,
2006
MADRID.2 MADRID RMBS II, Fondo de
Madrid
No
Dec 5, 2006 AYTGEN.9 AyT Genova Hipotecario IX
Nov 27,
2006
Bankinter S.A. No
Nov 22,
2006
MADRID.1 MADRID RMBS I, Fondo de
Madrid
No
Nov 6, 2006 AYTCM.2 Ayt Caja Murcia Hipotecario II,
Oct 23,
2006
CAIXAPEN.1 CAIXA PENEDES 1 TDA, Fondo
Caixa d'Estalvis del Penedes No
Oct 23,
2006
IBERCAJA.4 TDA Ibercaja 4 Fondo de
No
Oct 20,
2006
UCI 16
No
Oct 19,
2006
Banco CAM S.A. No
Aug 2, 2006 TDA.25 TDA 25, Fondo de Titulizacin de
Activos
withdrawn
Jul 21, 2006 AYTHM.5 AyT Hipotecario Mixto V, Fondo
Multi-originator No
Jul 10, 2006 HIPOCAT.10 Hipocat 10, Fondo de Titulizacin
de Activos
Caixa d'Estalvis de Catalunya No
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Table 3
Jun 30,
2006
Jun 12,
2006
AYTGEN.8 AyT Genova Hipotecario VIII
Jun 9, 2006 IMPAST.4 IM PASTOR 4, Fondo de
May 31,
2006
AYTKUTXA.1 AyT Kutxa Hipotecario I, Fondo
Kutxabank S.A. No
May 18,
2006
No
Apr 28,
2006
UCI 15
No
Mar 31,
2006
FONCAIX.9 FonCaixa Hipotecario 9, Fondo de
Caixabank S.A. Yes
Dec 22,
2005
AYTCM.1 AyT Caja Murcia Hipotecario I,
Dec 2, 2005 BANKINT.11 Bankinter 11, Fondo de
Bankinter S.A. No
Dec 1, 2005 TDA.24 TDA 24, Fondo de Titulizacin de
Activos
withdrawn
Nov 30,
2005
de Activos
Nov 28,
2005
AYTGEN.7 AyT Genova Hipotecario VII
Nov 28,
2005
UCI 14
No
Oct 18,
2005
No
Jun 30,
2005
Bankinter S.A. No
Jun 14,
2005
AYTGEN.6 AyT Genova Hipotecario VI
Jun 14,
2005
IMPAST.3 IM PASTOR 3, Fondo de
Jun 2, 2005 UCI.12 Fondo de Titulizacin Hipotecaria
UCI 12
No
May 23,
2005
TDACAJAM.2 TDA Cajamar 2, Fondo de
Caja Rural Intermediterranea, Sociedad
Cooperativa de Credito
No
May 12,
2005
de Activos
Mar 18,
2005
FONCAIX.8 Foncaixa Hipotecario 8, Fondo de
Caixabank S.A. Yes
Nov 22,
2004
UCI 11
No
Jul 16, 2004 BANCAJA.7 Bancaja 7, Fondo de Titulizacin
de Activos
Alicante
No
Jul 16, 2004 GCSAB.1 GC SABADELL 1, Fondo de
Titulizacin Hipotecario
Banco de Sabadell S.A. No
Jun 29,
2004
IMPAST.2 IM PASTOR 2, Fondo de
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Table 3
Jun 16,
2004
Jun 14,
2004
de Activos
May 19,
2004
UCI.10 Fondo de Titulizacin Hipotecaria
UCI 10
No
Apr 5, 2004 AYTGEN.4 AyT Genova Hipotecario IV
Mar 9, 2004 BANKINT.8 Bankinter 8, Fondo de Titulizacin
de Activos
Bankinter S.A. No
Dec 16,
2003
BANESTO.4 Fondo de Titulizacin Hipotecaria
Banesto 4
Banco Espaol de Credito S.A. Yes
Dec 5, 2003 BANCAJA.6 Bancaja 6, Fondo de Titulizacin
de Activos
Alicante
No
Nov 12,
2003
AYTGEN.3 AyT Genova Hipotecario III
Oct 14,
2003
No
Sep 30,
2003
BANKINT.6 Bankinter 6, Fondo de Titulizacin
Hipotecaria
Bankinter S.A. No
Sep 30,
2003
Caixabank S.A. Yes
Jun 19,
2003
UCI 9
No
May 30,
2003
AYTGEN.2 AyT Genova Hipotecario II Fondo
de Titulizacin Hipotecaria
Apr 17,
2003
de Activos
Alicante
No
Dec 18,
2002
Caixabank S.A. Yes
Dec 17,
2002
Hipotecaria
Bankinter S.A. No
Nov 28,
2002
HIPO.11 Fondo de Titulizacin de Activos,
Hipotebansa 11
Nov 8, 2002 BANCAJA.4 Bancaja 4, Fondo de Titulizacin
Hipotecaria
Alicante
Yes
Oct 31,
2002
AYT.11 AyT 11 Fondo de Titulizacin
Hipotecaria
Multi-originator No
Sep 25,
2002
Hipotecaria
Bankinter S.A. No
Jun 27,
2002
UCI 8
No
Jun 3, 2002 AYT.8 AyT.8 Barclays Hipotecario I,
Mar 7, 2002 HIPO.10 Fondo de Titulizacin de Activos,
Hipotebansa X
Oct 30,
2001
UCI 7
No
Oct 25,
2001
Hipotecaria
Bankinter S.A. No
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Table 3
Jun 30,
1998
UCI.4 Fondo de Titulizacin Hipotecaria
UCI 4
Yes
May 8, 1998 HIPO.7 Fondo de Titulizacin de Activos,
Hipotebansa VII
Jul 24, 2008 AYTCGH.CL1 AyT Colaterales Global
Hipotecario FTA Caixa Laietana I
Caixa D'Estlavis Laietana No
Jun 25,
2008
No
Dec 20,
2010
AYTGOYA.3 AyT Goya Hipotecario III Fondo
Jul 29, 2011 IMURMBS.1 IM UNNIM RMBS 1, Fondo de
Caixa D'Estalvis Uni de Caixes de
Manlleu, Sabadell i Terrassa (UNNIM)
Yes
Mar 25,
2008
AYTCGH.CAJC1 AyT Colaterales Global
Hipotecario FTA Caja Circulo I
Caja de Ahorros y monte de piedad del
circulo catolico de obreros de burges
No
Jul 16, 2009 TDAICF.1 TDA IBERCAJA ICO-FTVPO,
Fondo de Titulizacion Hipotecaria
No
Dec 20,
2007
AYTCGH.CE1 AyT Colaterales Global
Hipotecario FTA Caja Espana I
Caja Espaa de Inversiones, Salamanca y
Soria, Caja de Ahorros y Monte de Piedad
No
RMBS--Residential mortgage-backed securities.
Counterparty scenario analysis. We will summarize the effect of the sovereign upgrade on our ratings in Spanish RMBS
transactions in our Q2 2014 index report. We have carried out a scenario analysis using the following assumptions:
Scenario 1: All supporting parties are rated 'AAA';
Scenario 2: All sovereigns are rated 'AAA' and there is no cap on the ratings due to country risk; and
Scenario 3: All supporting parties are rated 'AAA' and all sovereigns are rated 'AAA' and there is no cap on the
ratings due to country risk.
In scenarios 2 and 3, we have not included all of the factors that we usually take into account when determining the
maximum differential between sovereign and nonsovereign ratings (see "Nonsovereign Ratings That Exceed EMU
Sovereign Ratings: Methodology And Assumptions," published on June 14, 2011). If these factors were taken into
account, the potential outcomes could be significantly lower.
The results of this analysis are intended to provide transparency on the components of our ratings, and are not credit
ratings in themselves. Note that the ratings list provided in table 4 is current as of March 31, 2014, and as we take
further rating actions, it may be subject to change.
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Chart 9
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Chart 10
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Chart 11
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Chart 12
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Chart 13
Table 4
Estimated Ratings Under Scenario Analysis (Scenario 1, Third Column From The Right. Scenario 2, Second
Column From The Right. Scenario 3, Right-Hand Column.)
Transaction Series Class
Current
rating*
Scenario 1 -
Estimated rating if all
counterparties were
rated 'AAA'
Scenario 2 -
Estimated rating
if the sovereign
were rated 'AAA'
Scenario 3 - Estimated
rating if all
counterparties and the
sovereign were rated
'AAA'
AyT 11 Fondo de
Titulizacion Hipotecaria
N/A A A (sf) AA- A AAA
AyT 11 Fondo de
N/A B A (sf) A+ A A
AyT CAIXA SABADELL
HIPOTECARIO I,
FONDO DE
TITULIZACION DE
ACTIVOS
N/A A A+ (sf) A+ A+ A+
AyT Caja Murcia
Hipotecario I, Fondo de
N/A A AA- (sf) AA AA- AA
AyT Caja Murcia
N/A B A (sf) A A A
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Table 4
Column From The Right. Scenario 3, Right-Hand Column.) (cont.)
AyT Caja Murcia
N/A C BBB (sf) BBB BBB BBB
Ayt Caja Murcia
Hipotecario II, Fondo de
N/A A A (sf) A A A
Ayt Caja Murcia
N/A B BB+ (sf) A BB+ A
Ayt Caja Murcia
N/A C BB+ (sf) BBB BB+ BBB
AyT CajaGranada
Hipotecario I Fondo de
N/A A AA- (sf) AA- AA- AA-
AyT CajaGranada
N/A B BBB (sf) BBB BBB BBB
AyT CajaGranada
N/A C BB- (sf) BB- BB- BB-
AyT CajaGranada
N/A D B (sf) B B B
AyT Colaterales Global
Hipotecario FTA Caixa
Laietana I
N/A A A- (sf) AA A- AA
Hipotecario FTA Caixa
Laietana I
N/A B BB (sf) BB BB BB
Hipotecario FTA Caja
Circulo I
Circulo I
Circulo I
N/A C B (sf) B B B
Circulo I
N/A D CCC (sf) CCC CCC CCC
Espana I
N/A A BBB (sf) A- BBB A-
Espana I
N/A B BBB- (sf) BBB BBB- BBB
Espana I
N/A C BBB- (sf) BBB- BBB- BBB-
Espana I
N/A D BB- (sf) BB- BB- BB-
1329607 | 301112013
Economic Recovery
Table 4
Hipotecario FTA CCM I
N/A A A (sf) AA- A AA-
Hipotecario FTA Sa
Nostra I
AyT Genova Hipotecario
II Fondo de Titulizacion
Hipotecaria
N/A A AA (sf) AA AAA AAA
II Fondo de Titulizacion
Hipotecaria
N/A B AA- (sf) AA- AA- AA-
III Fondo de Titulizacion
Hipotecaria
III Fondo de Titulizacion
Hipotecaria
IV Fondo de Titulizacion
Hipotecaria
IV Fondo de Titulizacion
Hipotecaria
IX Fondo de Titulizacion
Hipotecaria
N/A A2 AA (sf) AA AAA AAA
Hipotecaria
N/A B A+ (sf) A+ A+ A+
Hipotecaria
N/A C A- (sf) A- A- A-
Hipotecaria
N/A D BBB- (sf) BBB- BBB- BBB-
VI Fondo de Titulizacion
Hipotecaria
Hipotecaria
Hipotecaria
N/A C BBB+ (sf) BBB+ BBB+ BBB+
Hipotecaria
N/A D BB (sf) BB BB BB
VII Fondo de Titulizacion
Hipotecaria
Hipotecaria
1329607 | 301112013
Economic Recovery
Table 4
Hipotecaria
VIII Fondo de Titulizacion
Hipotecaria
Hipotecaria
N/A B AA- (sf) AA AA- AA
Hipotecaria
N/A C A (sf) A A A
Hipotecaria
X Fondo de Titulizacion
Hipotecaria
Hipotecaria
N/A B A (sf) A A A
Hipotecaria
Hipotecaria
XI Fondo de Titulizacion
Hipotecaria
Hipotecaria
N/A B A (sf) A A A
Hipotecaria
Hipotecaria
AyT Goya Hipotecario III
Fondo De Titulizacion De
Activos
AyT Goya Hipotecario III
Fondo De Titulizacion De
Activos
N/A B AA (sf) AA AA AA
AyT Hipotecario Mixto V,
Fondo de Titulizacion de
Activos
N/A A BB+ (sf) BB+ BB+ BB+
Activos
N/A B BB- (sf) BB- BB- BB-
Activos
N/A C B (sf) B B B
1329607 | 301112013
Economic Recovery
Table 4
AyT ICO-FTVPO Caja
Murcia Fondo de
N/A A(G) BBB (sf) AA BBB AAA
AyT ICO-FTVPO Caja
Murcia Fondo de
N/A B BBB (sf) AA BBB AAA
AyT ICO-FTVPO Caja
Murcia Fondo de
N/A C BBB (sf) A BBB A
Ayt ICO-FTVPO III Fondo
de Titulizacion de Activos
CAI A(G) BBB (sf) AA BBB AAA
CAJA
RIOJA
A(G) A- (sf) AA A- AAA
CAI B BBB (sf) AA BBB AA
CAJA
RIOJA
B A- (sf) AA A- AA
CAI C BBB (sf) A BBB A
CAJA
RIOJA
C A- (sf) A A- A
AyT Kutxa Hipotecario I,
Activos
Activos
Activos
AyT Kutxa Hipotecario II,
Activos
N/A A A (sf) A A A
Activos
Activos
N/A C B- (sf) B- B- B-
Bancaja 10, Fondo de
N/A A2 AA- (sf) AA- AA- AA-
N/A B B+ (sf) B+ B+ B+
N/A C D (sf) D D D
N/A D D (sf) D D D
N/A E D (sf) D D D
1329607 | 301112013
Economic Recovery
Table 4
N/A A2 A- (sf) A- A- A-
N/A A3 BBB (sf) BBB BBB BBB
N/A B B (sf) B B B
N/A C D (sf) D D D
N/A D D (sf) D D D
N/A E D (sf) D D D
Bancaja 5 Fondo de
N/A A AA- (sf) AA- AA- AA-
Bancaja 5 Fondo de
Bancaja 5 Fondo de
Bancaja 6 Fondo de
Bancaja 6 Fondo de
Bancaja 6 Fondo de
N/A C A (sf) A A A
Bancaja 7 Fondo de
Bancaja 7 Fondo de
Bancaja 7 Fondo de
Bancaja 7 Fondo de
Bancaja-BVA VPO 1,
Activos
N/A A A (sf) A A A
Bankinter 10, Fondo de
N/A D B (sf) B B B
N/A E CCC- (sf) CCC- CCC- CCC-
N/A B A (sf) A A A
1329607 | 301112013
Economic Recovery
Table 4
N/A D B (sf) B B B
N/A B A (sf) A A A
N/A E D (sf) D D D
Bankinter 3 Fondo de
N/A A AA (sf) AA AA+ AA+
N/A B AA (sf) AA AA+ AA+
N/A C BBB+ (sf) AA+ BBB+ AA+
N/A A A+ (sf) AA- A+ AA+
N/A B BBB (sf) AA- BBB AA+
N/A C BB+ (sf) BB+ BB+ BB+
N/A A A+ (sf) AA A+ AA
N/A B A+ (sf) AA- A+ AA-
N/A B A+ (sf) AA- A+ AA
N/A C A (sf) A A A
N/A B A+ (sf) AA- A+ AA-
BBVA RMBS 2, Fondo de
N/A A2 BBB+ (sf) BBB+ BBB+ BBB+
1329607 | 301112013
Economic Recovery
Table 4
N/A C B (sf) B B B
BBVA RMBS 5 Fondo de
N/A A A- (sf) AA- AAA AAA
N/A B A- (sf) A A- A
N/A 0 A- (sf) AA AAA AAA
CAIXA PENEDES 1 TDA,
Activos
Activos
N/A B A (sf) A A A
Activos
N/A C BB (sf) BB BB BB
Activos
Activos
Activos
castellana finance. ltd. N/A A BBB (sf) BBB BBB BBB
castellana finance. ltd. N/A B1 BB+ (sf) BB+ BB+ BB+
castellana finance. ltd. N/A B2 BB (sf) BB BB BB
castellana finance. ltd. N/A C1 B+ (sf) B+ B+ B+
castellana finance. ltd. N/A C2 B- (sf) B- B- B-
Activos Santander
Hipotecario 1
Activos Santander
Hipotecario 1
N/A B AA (sf) AA AAA AAA
Activos Santander
Hipotecario 1
N/A C AA (sf) AA AA AA
Activos Santander
Hipotecario 1
N/A D A (sf) A A A
Activos Santander
Hipotecario 2
N/A A BBB (sf) BBB BBB BBB
Activos Santander
Hipotecario 2
1329607 | 301112013
Economic Recovery
Table 4
Activos Santander
Hipotecario 2
Activos Santander
Hipotecario 2
N/A D CCC+ (sf) CCC+ CCC+ CCC+
Activos Santander
Hipotecario 2
Activos Santander
Hipotecario 2
N/A F D (sf) D D D
Activos Santander
Hipotecario 3
N/A A1 BBB- (sf) BBB- BBB- BBB-
Activos Santander
Hipotecario 3
Activos Santander
Hipotecario 3
Activos Santander
Hipotecario 3
N/A B CCC+ (sf) CCC+ CCC+ CCC+
Activos Santander
Hipotecario 3
N/A C CCC- (sf) CCC- CCC- CCC-
Activos Santander
Hipotecario 3
N/A D CC (sf) CC CC CC
Activos Santander
Hipotecario 3
N/A E D (sf) D D D
Activos Santander
Hipotecario 3
N/A F D (sf) D D D
Activos UCI 11
N/A A AA (sf) AA AA AA
Activos UCI 11
Activos UCI 11
Activos UCI 14
N/A A A (sf) A A A
Activos UCI 14
Activos UCI 14
Activos UCI 15
Activos UCI 15
N/A B B (sf) B B B
1329607 | 301112013
Economic Recovery
Table 4
Activos UCI 15
Activos UCI 16
Activos UCI 16
N/A B B- (sf) B- B- B-
Activos UCI 16
N/A C CCC (sf) CCC CCC CCC
Activos UCI 16
N/A D CCC- (sf) CCC- CCC- CCC-
Activos UCI 16
N/A E D (sf) D D D
Activos UCI 17
Activos UCI 17
N/A B CCC (sf) CCC CCC CCC
Activos UCI 17
N/A C D (sf) D D D
Activos UCI 17
N/A D D (sf) D D D
Activos UCI 18
N/A A BB (sf) BB BB BB
Activos UCI 18
Activos UCI 18
N/A C CCC- (sf) CCC- CCC- CCC-
Activos UCI 18
N/A D D (sf) D D D
Activos UCI 7
Activos UCI 7
N/A B AA (sf) AA AA AA
Activos UCI 8
Activos UCI 8
N/A B AA (sf) AA AAA AAA
Activos UCI 9
Activos UCI 9
N/A B AA- (sf) AA AA AA
Activos UCI 9
N/A C A (sf) A A A
Activos, Hipotebansa 11
Activos, Hipotebansa 11
N/A B B+ (sf) B+ B+ B+
Activos, Hipotebansa X
Activos, Hipotebansa X
1329607 | 301112013
Economic Recovery
Table 4
Fondo de Titulizacion
Hipotecaria UCI 10
Hipotecaria UCI 10
Hipotecaria UCI 12
Hipotecaria UCI 12
N/A B A- (sf) A- A- A-
Hipotecaria UCI 12
GC Pastor Hipotecario 5,
Activos
N/A A2 BB (sf) BB BB BB
Activos
N/A B CCC (sf) CCC CCC CCC
Activos
N/A C D (sf) D D D
Activos
N/A D D (sf) D D D
GC SABADELL 1, Fondo
de Titulizacion
Hipotecario
N/A A2 BBB- (sf) A- BBB- A-
de Titulizacion
Hipotecario
N/A B BB (sf) A- BB A-
de Titulizacion
Hipotecario
Hipocat 10, Fondo de
N/A A2 B (sf) B B B
N/A A3 B (sf) B B B
N/A B D (sf) D D D
N/A C D (sf) D D D
N/A D D (sf) D D D
N/A A2 B (sf) B B B
N/A A3 B (sf) B B B
N/A B D (sf) D D D
N/A C D (sf) D D D
N/A D D (sf) D D D
1329607 | 301112013
Economic Recovery
Table 4
Hipocat 7, Fondo de
N/A A2 BB+ (sf) BBB BB+ BBB
Hipocat 7, Fondo de
Hipocat 7, Fondo de
N/A C B+ (sf) B+ B+ B+
Hipocat 7, Fondo de
N/A D B- (sf) B- B- B-
Hipocat 8, Fondo de
N/A A2 BB+ (sf) BBB- BB+ BBB-
Hipocat 8, Fondo de
Hipocat 8, Fondo de
Hipocat 8, Fondo de
N/A D CCC (sf) CCC CCC CCC
Hipocat 9, Fondo de
N/A A2a BB (sf) BB BB BB
Hipocat 9, Fondo de
N/A A2b BB (sf) BB BB BB
Hipocat 9, Fondo de
N/A B B (sf) B B B
Hipocat 9, Fondo de
Hipocat 9, Fondo de
N/A D CCC- (sf) CCC- CCC- CCC-
IM Banco Popular MBS 2,
Activos
N/A A A- (sf) AA A- AAA
IM Banco Popular MBS 2,
Activos
N/A B BB (sf) A BB A
IM PASTOR 2, Fondo de
N/A A AA- (sf) AA AA- AAA
N/A B A- (sf) AA A- AA
N/A C BB+ (sf) A- BB+ A-
N/A D BB+ (sf) BBB BB+ BBB
N/A A B+ (sf) B+ B+ B+
N/A D D (sf) D D D
N/A A B+ (sf) B+ B+ B+
1329607 | 301112013
Economic Recovery
Table 4
N/A D D (sf) D D D
IM Sabadell RMBS 2,
Activos
N/A A A- (sf) A- A- A-
IM Sabadell RMBS 2,
Activos
N/A B BB (sf) A- BB A-
IM Sabadell RMBS 2,
Activos
N/A C BB (sf) BB+ BB BB+
MADRID ICO-FTVPO I,
Activos
N/A A (G) A (sf) AA A AAA
MADRID RESIDENCIAL
I, Fondo de Titulizacion
de Activos
N/A A A (sf) AA A AAA
MADRID Residencial II,
Activos
N/A A A (sf) AA A AA
MADRID RMBS I, Fondo
N/A A2 A- (sf) A- A- A-
MADRID RMBS II, Fondo
N/A A2 A+ (sf) A+ A+ A+
N/A A3 A+ (sf) A+ A+ A+
N/A E D (sf) D D D
MADRID RMBS III,
Activos
N/A A2 A- (sf) A- A- A-
MADRID RMBS III,
Activos
N/A A3 A- (sf) A- A- A-
1329607 | 301112013
Economic Recovery
Table 4
MADRID RMBS III,
Activos
N/A B CCC- (sf) CCC- CCC- CCC-
MADRID RMBS III,
Activos
N/A C D (sf) D D D
MADRID RMBS III,
Activos
N/A D D (sf) D D D
MADRID RMBS III,
Activos
N/A E D (sf) D D D
MADRID RMBS IV,
Activos
N/A A1 A (sf) AA A AA
MADRID RMBS IV,
Activos
N/A A2 A (sf) AA A AA
MADRID RMBS IV,
Activos
N/A B A (sf) A A A
MADRID RMBS IV,
Activos
MADRID RMBS IV,
Activos
N/A D CCC(sf) CCC CCC CCC
MADRID RMBS IV,
Activos
N/A E CC (sf) CC CC CC
MBS Bancaja 6 Fondo de
N/A A A (sf) A A A
SOL-LION, Fondo de
SOL-LION, Fondo de
N/A B A (sf) A A A
SOL-LION, Fondo de
TDA 31, Fondo de
TDA 31, Fondo de
TDA 31, Fondo de
N/A C BB- (sf) BB- BB- BB-
TDA Cajamar 2, Fondo de
N/A A2 AA (sf) AA AA+ AA+
N/A A3 A (sf) AA- A AA+
N/A B A (sf) AA- A AA
1329607 | 301112013
Economic Recovery
Table 4
TDA CAM 10, Fondo de
N/A B CCC- (sf) CCC- CCC- CCC-
N/A C D (sf) D D D
N/A D D (sf) D D D
TDA CAM 7, Fondo de
N/A A2 A (sf) A A A
TDA CAM 7, Fondo de
N/A A3 A (sf) A A A
TDA CAM 7, Fondo de
N/A B D (sf) D D D
TDA CAM 8, Fondo de
N/A A A (sf) A A A
TDA CAM 8, Fondo de
N/A B D (sf) D D D
TDA CAM 8, Fondo de
N/A C D (sf) D D D
TDA CAM 8, Fondo de
N/A D D (sf) D D D
TDA CAM 9, Fondo de
TDA CAM 9, Fondo de
TDA CAM 9, Fondo de
TDA CAM 9, Fondo de
N/A B D (sf) D D D
TDA CAM 9, Fondo de
N/A C D (sf) D D D
TDA CAM 9, Fondo de
N/A D D (sf) D D D
TDA Ibercaja 1 Fondo de
N/A A AA- (sf) AA- AAA AAA
N/A A BBB+ (sf) AA- BBB+ AAA
1329607 | 301112013
Economic Recovery
Table 4
N/A B BB+ (sf) BB+ BB+ BB+
N/A D B (sf) B B B
N/A A AA- (sf) AA AA- AA
N/A C B (sf) B B B
N/A A1 A+ (sf) A+ A+ A+
N/A A2 A+ (sf) A+ A+ A+
N/A A3PAC A+ (sf) A+ A+ A+
N/A D B (sf) B B B
N/A E B- (sf) B- B- B-
N/A F D (sf) D D D
TDA Ibercaja 5, Fondo de
N/A B BB+ (sf) BB+ BB+ BB+
N/A C B (sf) B B B
N/A D B- (sf) B- B- B-
N/A E D (sf) D D D
N/A A BBB (sf) AA- BBB AA
N/A B BBB (sf) A- BBB A-
1329607 | 301112013
Economic Recovery
Table 4
TDA IBERCAJA 7,
FONDO DE
TITULIZACION DE
ACTIVOS
N/A A BBB (sf) AA- BBB AA
TDA IBERCAJA 7,
FONDO DE
TITULIZACION DE
ACTIVOS
TDA IBERCAJA 7,
FONDO DE
TITULIZACION DE
ACTIVOS
N/A C D (sf) D D D
TDA IBERCAJA
ICO-FTVPO, Fondo de
N/A A(G) AA- (sf) AA- AAA AAA
TDA IBERCAJA
ICO-FTVPO, Fondo de
N/A B D (sf) D D D
TDA Tarragona 1 Fondo
N/A A BB+ (sf) AA- BB+ AA+
TDA Tarragona 1 Fondo
*Ratings shown are current as of the publication of the index report. N/A--Not applicable.
Related Criteria And Research
Ratings On Spain Raised To 'BBB/A-2' On Improved Economic Prospects; Outlook Stable, May 23, 2014
Europe's Housing Market Recovery Is Not Yet On Solid Ground, April 30, 2014
Ratings Lowered In Spanish RMBS Transaction Fondo de Titulizacion de Activos UCI 17 Due To Deteriorating
Performance, March 28, 2014
Various Rating Actions Taken In Spanish Transaction MADRID RMBS III Due To Performance Reasons, March 21,
2014
Ratings Lowered On Spanish RMBS Transaction Fondo de Titulizacion de Activos UCI 18's Class A And B Notes,
March 18, 2014
Ratings Lowered In Three Of Catalunya Banc's Hipocat Spanish RMBS Transactions After Performance
Deterioration, March 14, 2014
Rating Lowered To 'D (sf)' On Spanish RMBS Transaction Bancaja 10's Class C Notes Following Interest Payment
Default, March 12, 2014
Request for Comment: Italy And Spain RMBS Methodology And Assumptions, Oct. 28, 2013
Request for Comment: Methodology And Assumptions For Ratings Above The Sovereign--Single Jurisdiction
Structured Finance, Oct. 14, 2013
Fewer Spanish Mortgage Floor Clauses Will Have A Limited Impact On RMBS Credit, July 24, 2013
Counterparty Risk Framework Methodology And Assumptions, June 25, 2013
Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011
Spain's New Mortgage Laws And Bank Guidelines Could Push Up RMBS Losses But Improve Transparency, June
11, 2013
Principles Of Credit Ratings, Feb. 16, 2011
1329607 | 301112013
Economic Recovery
Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009
Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential Mortgage-Backed
Securities, Jan. 6, 2009
Methodology Behind European RMBS Indices, Nov. 8, 2004
Criteria for Rating Spanish Residential Mortgage-Backed Securities, March 1, 2002
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1329607 | 301112013
Economic Recovery
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