Dec 14 - Fitch Ratings has downgraded Empresas Hipotecario TDA CAM 3, FTA
(TDA CAM 3) and Empresas Hipotecario TDA CAM 5, FTA (TDA CAM 5), as follows:
Empresas Hipotecario TDA CAM 3, FTA:
Class A2 (ES0330876014): downgraded to 'BBsf' from 'BBBsf'; Outlook Negative
Class B (ES0330876022): downgraded to 'B-sf'; Outlook Negative
Class C (ES0330876030): affirmed at 'CCsf'; assigned Recovery Estimate (RE) 0%
Empresas Hipotecario TDA CAM 5, FTA:
Class A2 (ES0330877012): downgraded to 'BBB-sf' from 'BBBsf'; Outlook Negative
Class A3 (ES0330877020): downgraded to 'BBB-sf' from 'BBBsf'; Outlook Negative
Class B (ES0330877038): downgraded to 'Bsf' from 'BBsf'; Outlook Negative
Class C (ES0330877046): affirmed at 'CCsf'; assigned RE0%
Class D (ES0330877053): affirmed at 'Csf'; assigned RE0%
The downgrades of TDA CAM 3 are driven by the weak performance of the pool,
which has experienced a significant increase in delinquencies and defaults over
2012, and by the low expected recoveries for defaults. The 90d+ delinquency
bucket represented 14.2% of the outstanding balance as of 31 October 2012 which
is slightly below the peak reached in June at 19.8%. This decrease in
delinquencies was followed by an increase in the defaulted assets, which account
for 20.5% of the outstanding balance.
Due to the increase in defaults and the low recoveries, the reserve fund was
exhausted in July 2012 causing the principal deficiency ledger (PDL) balance to
increase to EUR18.9m over the last two payment dates. The weighted average
recovery rate, calculated as total recoveries divided by total defaults, is
23.4%, is not expected to significantly increase in the near term.
The Negative Outlook on the class A2 and B notes reflects Fitch's concerns about
the poor and volatile performance and low recovery prospects for the pool. High
obligor and industry concentration are the primary drivers of the poor
performance and its volatility. The top obligor represents 4.5% of the current
portfolio balance, while the top 10 obligors account for 30.3%. 50.3% is exposed
to the real estate sector. Additionally, the six loans in the pool with bullet
maturity profiles represent 7.4% of the current portfolio balance and four of
these loans have already defaulted.
The downgrades of TDA CAM 5 reflect the deterioration of the pool and the
inability of the notes to withstand higher rating stresses. The deterioration in
the performance has also led to a PDL balance of EUR22.5m as of October 2012
after the reserve fund was fully depleted in May 2012. 90d+ and 180d+
delinquencies rose to 7.4% and 3.9% of outstanding portfolio balance
respectively in October, while defaults have increased to 4.1%. Defaults are
expected to rise again due to the increase in long dated delinquencies.
Obligor concentration is moderate with the largest obligor at 1.9% of the
current portfolio balance and the top 10 obligors at 10.2%. Similar to TDA CAM
3, the real estate sector is the largest industry with 39.3% of the current
balance exposed to this sector.
The Negative Outlook on the class A2, A3 and B notes reflects the agency's
negative view on the future performance of the deal.
Both transactions are cash flow securitisations of static pools of secured loans
granted to Spanish small- and medium-sized enterprises (SME) originated by Caja
de Ahorros del Mediterraneo.
Additional information is available on 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.
The information used to assess these ratings was sourced from periodic investor
reports and the trustee.
Applicable criteria 'Global Structured Finance Criteria', dated 6 June 2012;
'Criteria for Rating Granular Corporate Balance-Sheet Securitisations (SME
CLOs)', dated 27 November 2012; 'Counterparty Criteria for Structured Finance
Transactions', dated 30 May 2012; 'Counterparty Criteria for Structured Finance
Transactions: Derivative Addendum', dated 30 May 2012; 'EMEA SC Issuer Report
Grades', dated 14 November 2011, 'Criteria for Rating Caps in Global Structured
Finance Transactions', dated 2 August 2012 are available at
Applicable Criteria and