Re: Vienen los malos
Ya están aquí¡¡¡
Jan 11 - Fitch Ratings has downgraded Banco Mare Nostrum's (BMN) EUR15.03bn outstanding cedulas hipotecarias (mortgage covered bonds or CH) to 'AA-' from 'AA'. The downgrade follows the downgrade of BMN's Issuer Default Rating (IDR) to 'BBB'/Negative/'F3' from 'BBB+'/Stable/'F2' (see 'Fitch Takes Rating Actions on 5 Spanish Medium-Size Caja Banks' dated 09 January 2012 at www.fitchratings.com). The 'AA-' rating of the CH is based on BMN's 'BBB' Long-term IDR and a Discontinuity Factor (D-Factor) of 41.3%, the combination of which allows the mortgage covered bonds to be assigned a 'A' rating on a probability of default (PD) basis, and a 'AA-' rating after taking into account recoveries from the total mortgage book in the event of a covered bonds default, provided over-collateralisation (OC) is sufficient to sustain a 'A' stress scenario, and, due to the possibility of time subordination in Spanish CH, full recoveries on the covered bonds assumed to be in default are available in a 'AA-' stress. In Fitch's analysis, the level of OC supporting a 'AA-' CH rating stands at 80%. This OC level is sufficient to sustain 100% recoveries on defaulted CH, resulting in a two-notch uplift above the rating on a PD basis. The current nominal OC stands at 172.8%. The agency only gives full credit to the total OC ratio for issuers with a Short-term rating of 'F2' or above. For issuers rated 'F3' or below, Fitch considers OC levels equal to public OC statements (when such statements are available). Otherwise, the agency has considered a sensitivity analysis by incorporating a haircut in the range of 25%-50% to the total OC ratio (floored at the legal OC minimum of 25%).When giving credit to a stressed OC ratio, Fitch is of opinion that the OC level could still sustain a 'AA-' rating. However, in the absence of any public commitment from BMN, the ratings of the outstanding CH could negatively be affected by any further CH issuances. The OC supporting a given rating will be affected, amongst other things, by the profile of the cover assets relative to outstanding covered bonds, which can change over time even in the absence of new issuances. It cannot therefore be assumed to remain constant. All else being equal, the CH rating could remain at 'AA-' provided BMN's IDR is at least 'BBB'. BMN's total mortgage book as of September 2011 was EUR41.0bn, of which EUR25.9bn complied with the legal eligibility criteria for setting issuance limits. The mortgage book mostly consists of loans for residential purposes, mainly to private individuals (55.4%), loans to developers (18.8%) and commercial loans to SMEs (25.8%). In a 'AA-' scenario, Fitch assumes a weighted average (WA) cumulative PD for the entire cover pool of 45.6%, and WA recoveries of 37.9%. The WA life (considering amortisation) of the mortgage assets stands at 9.5 years, whereas the WA life of the CH is 4.6 years. Most assets (99%) have a variable rate of interest, whereas 75% of the outstanding CH has a fixed rate. Contact: Primary Analyst Solena Gloaguen Director +44 (0) 203 530 1126 Fitch Ratings Limited 30 North Colonnade London E14 5GN Secondary Analyst Carlos Masip Director +34 91 702 5777 Committee Chairperson Vito Natale, CFA, FRM Senior Director +44 (0) 203 530 1304 Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. Applicable criteria, 'Covered Bonds Rating Criteria', dated 12 August 2011; 'Covered Bonds Counterparty Criteria', dated 14 March 2011, EMEA Criteria Addendum - Spain - Mortgage Loss and Cash Flow Assumptions', dated 11 August 2011, are available on www.fitchratings.com. Applicable Criteria and Related Research: Covered Bonds Rating Criteria Covered Bonds Counterparty Criteria EMEA Criteria Addendum - Spain - Mortgage Loss and Cash Flow Assumptions (New York Ratings Team)
