Oct 9 - Fitch Ratings has maintained 26 tranches of 11 TDA CAM transactions,a series of Spanish RMBS transactions on Rating Watch Negative (RWN). The fulllist of rating actions is below.
The notes were initially placed on RWN on 3 April 2012 following the downgradeof Confederacion Espanola de Cajas de Ahorros (CECA; 'BBB'/Negative/'F3'), whichacts as the account bank, basis swap provider and agent in all 11 transactions.The RWN reflected Fitch's concern over the increased counterparty defaultexposure that the transactions had been subject to following the downgrade ofthe entity, which the management company, Titulizacion de Activos (TdA), waslooking to resolve.
Following the downgrade of CECA in April 2012, the bank opened swap collateralaccounts to mitigate the increased risk arising from the mismatch in interestearned on the TDA CAM 1-9 portfolios and the interest paid on the notes. Theissuers also established guarantees with Instituto de Credito Oficial (ICO;'BBB'/Negative/'F3') to mitigate the exposure of the 11 transactions to CECA asaccount bank. However, the downgrade of ICO in June 2012 means that theguarantees put in place are no longer deemed eligible under Fitch's structuredfinance counterparty criteria.
Fitch understands that the management company is looking to implement furtherremedial actions following the downgrade of ICO. Given the large number ofstructured finance transactions that have been affected by the most recentdowngrades, the process is taking longer than anticipated by the remedial perioddefined in the transaction documentation. For this reason, the agency ismaintaining the affected tranches of TDA CAM on RWN, and will look to resolvethe RWN once more information is made available from TdA. The resolution of theRWN will depend upon the implementation of appropriate remedial actions, whichcould potentially lead to the affirmation of the notes, while failure to takesuch measures would trigger a multi-category downgrade of the notes.
The rating actions are as follows:TDA CAM 1Class A (ISIN ES0338448006): 'AA-sf'; RWN maintainedClass B (ISIN ES0338448014): 'AA-sf'; RWN maintained
TDA CAM 2Class A (ISIN ES0338449004): 'AA-sf'; RWN maintainedClass B (ISIN ES0338449012): 'AA-sf'; RWN maintained
TDA CAM 3Class A (ISIN ES0377990009): 'AA-sf'; RWN maintainedClass B (ISIN ES0377990017): 'A+sf'; RWN maintained
TDA CAM 4Class A (ISIN ES0377991007): 'AA-sf'; RWN maintainedClass B (ISIN ES0377991015): 'Asf'; RWN maintained
TDA CAM 5Class A (ISIN ES0377992005): 'AA-sf'; RWN maintained
TDA CAM 6Class A1 (ISIN ES0377993003): 'Asf'; RWN maintainedClass A2 (ISIN ES0377993011): 'Asf'; RWN maintainedClass A3 (ISIN ES0377993029): 'Asf'; RWN maintained
TDA CAM 7Class A2 (ISIN ES0377994019): 'Asf'; RWN maintainedClass A3 (ISIN ES0377994027): 'Asf'; RWN maintained
TDA CAM 8Class A (ISIN ES0377966009): 'Asf'; RWN maintained
TDA CAM 9Class A1 (ISIN ES0377955002): 'Asf'; RWN maintainedClass A2 (ISIN ES0377955010): 'Asf'; RWN maintainedClass A3 (ISIN ES0377955028): 'Asf'; RWN maintained
TDA CAM 11Class A2 (ISIN ES0377845013): 'A+sf'; RWN maintainedClass A3 (ISIN ES0377845021): 'A+sf'; RWN maintainedClass A4 (ISIN ES0377845039): 'A+sf'; RWN maintainedClass B (ISIN ES0377845047): 'A-sf'; RWN maintained
TDA CAM 12Class A2 (ISIN ES0377104015): 'A+sf'; RWN maintainedClass A3 (ISIN ES0377104023): 'A+sf'; RWN maintainedClass A4 (ISIN ES0377104031): 'A+sf'; RWN maintainedClass B (ISIN ES0377104049): 'A+sf'; RWN maintained
Contact:Lead Surveillance AnalystSanja PaicDirector+44 20 3530 1282Fitch Ratings Limited30 North ColonnadeLondon E14 5GNCommittee ChairpersonGregg KohanskyManaging Director+44 20 3530 1376
Additional information is available on
. The ratings abovewere solicited by, or on behalf of, the issuer, and therefore, Fitch has beencompensated for the provision of the ratings.
Sources of information: - in addition to those mentioned in the applicablecriteria, the sources of information used to assess the ratings were investorreports.
Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June2012, 'EMEA Residential Mortgage Loss Criteria', dated 7 June 2012, 'EMEACriteria Addendum - Spain - Mortgage Loss and Cash Flow Assumptions', dated 24July 2012, 'Counterparty Criteria for Structured Finance Transactions', dated 30May 2012 and 'Counterparty Criteria for Structured Finance TransactionsDerivative Addendum', dated 30 May 2012 are available at
.Applicable Criteria and Related Research:Global Structured Finance Rating CriteriaEMEA Residential Mortgage Loss CriteriaEMEA Criteria Addendum - Spain - Mortgage and Cashflow AssumptionsCounterparty Criteria for Structured Finance TransactionsCounterparty Criteria for Structured Finance Transactions: Derivative Addendum