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December 12, 2007 |
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TDA CAM: Moody's Junks EUR23.5 Million Series D Notes Moody's Investors Service assigned definitive ratings to seven series of Bonos de Titulizacion de Activos issued by TDA CAM 10 Fondo de Titulizacion de Activos, a Spanish asset securitization fund that has been created by Titulizacion de Activos, S.G.F.T., S.A. Moody's has assigned these ratings: -- Aaa to the EUR 186.6 million Series A1 notes; -- Aaa to the EUR 802.2 million Series A2 notes; -- Aaa to the EUR 147.8 million Series A3 notes; -- Aaa to the EUR 175.0 million Series A4 notes; -- A3 to the EUR 46.4 million Series B notes; -- Baa3 to the EUR 42.0 million Series C notes; and -- C to the EUR 23.5 million Series D notes. The transaction represents the securitisation of Spanish residential mortgage loans originated by Caja de Ahorros del Mediterraneo (A1/Prime-1). The assets supporting the Notes are prime mortgage loans secured on first lien residential properties located in Spain. The portfolio will be serviced by CAM. The ratings of the Notes are based upon the analysis of the characteristics of the mortgage pool backing the Notes, the protection the Notes receive from credit enhancement against defaults and arrears in the mortgage pool, the legal and structural integrity of the issue and the credit quality of the parties involved in the transaction. The definitive ratings address the expected loss posed to investors by the legal final maturity (Sept. 27, 2060). In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal on Series A1, A2, A3, A4, B and C at par, on or before the final legal maturity date and for ultimate payment of interest an principal at par on or before the final legal maturity date on Series D. Other non- credit risks have not been addressed, but may have a significant effect on yield to investors. As of November 2007, the portfolio comprised 12,969 loans, representing a provisional portfolio of EUR1,936,771,790. The loans are first-lien mortgage loans granted to individuals by CAM in its normal course of business to finance the purchase and renovation of residential homes in Spain. All the properties on which the mortgage security has been granted are covered by property fire insurance. The loans have been originated between 1998 and 2007, with a weighted average seasoning of 1.17 years and a weighted average remaining term of 32.22 years. The longest loan matures in June 2057. The original weighted average LTV is 80.53%, while the current WALTV is 78.56%. 5.56% of the pool is currently in principal grace period. At closing, all the loans will have paid at least two installments and no loans more than 30 days in arrears will be included in the definitive pool. |
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