Caja Rural de Navarra - Mortgage Covered Bonds

Transcription

1 Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Caja Rural de Navarra - Mortgage Covered Bonds Covered Bonds / Spain Contacts Lopez Patron, Miguel (97) Miguel.LopezPatron@moodys.com Bisio Lopez, Juan Francisco (97) JuanFrancisco.BisioLopez@moodys.com Monitoring Monitor.CB@moodys.com Click on the icon to download data into Excel & to see Glossary of terms used Client Service Desk London: , csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 30/06/208 All amounts in EUR (unless otherwise specified) For information on how to read this report, see the latest Moody's Global Covered Bond Monitoring Overview Data as provided to Moody's Investors Service (note ) I. Programme Overview Overview Year of initial rating assignment: 203 Total outstanding liabilities: Total assets in the Cover Pool: Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: EUR EUR,550,000,000 4,589,29,800 Caja Rural de Navarra / Residential Ratings Covered bonds rating: Entity used in Moody's EL & TPI analysis: CB anchor: CR Assessment: SUR: Unsecured claim used for Moody's EL analysis: Caja Rural de Navarra CR Assessment + notch Yes Aaa Aa3 A A2 A3 Baa Baa2 Baa3 Ba Ba2 Ba3 B B2 Chart : Rating history Covered Bond Sovereign CR Assessment (RHS) Aaa (cr) (cr) (cr) Aa3 (cr) A (cr) A2 (cr) A3 (cr) Baa (cr) Baa2 (cr) Baa3 (cr) Ba (cr) Ba2 (cr) Ba3 (cr) B (cr) B2 (cr) II. Value of the Cover Pool Collateral quality Collateral Score: 4.3% Collateral Score excl. systemic risk: Chart 2 : Asset types in cover pool Commercial assets, 25.6% Cover Pool losses Collateral Risk (Collateral Score post-haircut): 9.6% 3% Market Risk: 20.9% 69% 30. (0) Residential assets, 74.4% III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation levels are provided on nominal basis Current situation Committed OC (Nominal): 25. Current OC: 96.% OC consistent with current rating (note 4) 9. Sensitivity scenario CB anchor OC consistent with current rating Scenario : CB anchor is lowered by notch 24. IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): Probable Does a specific covered bond law apply for this programme: Yes TPI Leeway: 2 Main country in which collateral is based: Spain Country in which issuer is based: Spain Extract from TPI table - CB anchor is CR Assessment + notch CR Assessment Probable Aa3(cr) Aaa Timely payment A(cr) Aaa Refinancing period for principal payments of 6 months or greater: No A2(cr) Aaa Liquidity reserve to support timely payments on all issuances: No Aaa Aaa Baa2(cr) Baa3(cr) Ba(cr) A Covered bond rating capped by Spanish country ceilling of (note ) The data reported in this PO is based on information provided by the issuer and may include certain assumptions made by Moody's. Moody's accepts no responsibility for the information provided to it and, whilst it believes the assumptions it has made are reasonable, cannot guarantee that they are or will remain accurate. Although Moody's encourages all issuers to provide reporting data in a consistent manner, there may be differences in the way that certain data is categorised by issuers. The data reporting template (which Issuers are requested to use) is available on request. (note 2) This assumes the Covered Bonds rating is not constrained by the TPI. Also to the extent rating assumptions change following a downgrade or an upgrade of the Issuer, the necessary OC stated here may also change. This is especially significant in the case of CR assessments of committee discretion is applied. (note 4) The OC consistent with the current rating is the minimum level of over-collateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cut-off date. The sensitivity run is based on certain assumptions, including that the Covered Bonds rating is not constrained by the TPI. Further, this sensitivity run is a model output only and therefore a simplification as it does not take into account certain assumptions that may change as an issuer is downgraded, and as a result the actual OC number consistent with the Caja Rural de Navarra - Mortgage Covered Bonds Page

2 Mismatch in % of the total liabilities COVERED BONDS V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 6.% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 00. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 5.5 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: n/d Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) (note 6) Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds Information not disclosed by Issuer Period in years EUR 4,589,550 0,000 2,000 3,000 4,000 5,000 in EUR millions Chart 5 : Amortisation profile (in millions) (note 7) Information not disclosed by Issuer Years VI. Performance Evolution Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 6% 4.6% 4.6% 4.3% Collateral Risk Market Risk Cover Pool Losses 4% 2% % % 28.9% % 30. 8% 2 6% 4% 2% Q2 207 Q3 207 Q4 207 Q 208 Q2 208 Q2 207 Q3 207 Q4 207 Q 208 Q2 208 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOc % 5 36.% % % % % Q2 207 Q3 207 Q4 207 Q 208 Q2 208 Covered Bond Rating CR Assessment This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on for the most updated credit rating action information and rating history. (note 5) This assumes no prepayment. (note 6) Based on principal flows only. Assumptions include no prepayments, principal collections limited to the portion of assets that make up the amount of the liabilities plus committed OC, no further CB issuance and no further assets added to the cover pool. (note 7) Assumptions include ##SwapIndicator## in place in Cover Pool, no prepayment and no further CB issuance. Caja Rural de Navarra - Mortgage Covered Bonds Page 2

3 COVERED BONDS VII. Cover Pool Information - Residential Assets Overview Specific Loan and Borrower characteristics Asset type: Residential Loans with an external guarantee in addition to a mortgage: Asset balance: 3,43,020,328 Interest only Loans 0.3% Average loan balance: 94,093 Loans for second homes / Vacation: 3. Number of loans: 36,273 Buy to let loans / Non owner occupied properties: 0. Number of borrowers: 56,28 Limited income verified: n/d Number of properties: 4,829 Adverse credit characteristics (**) n/d WA remaining term (in months): 276 WA seasoning (in months): 76 Performance. Details on LTV 0.% WA unindexed LTV (*) 59.4% 0. WA Indexed LTV: n/d Loans in a foreclosure procedure: 0. Valuation type: Lending Value LTV threshold: Junior ranks: Prior ranks: 0.8% Multi-Family Properties Loans to tenants of tenant-owned Housing Cooperatives: Other type of Multi-Family loans (***) Chart A: Balance per LTV-band Unindexed LTV Chart B: Percentage of residential assets % % 7.6% 5.4% 4.% 2.4%.2% 0.3% 2. Residential Assets 74.4% Chart C: LTV Chart D: Interest rate type Unindexed WA LTV % 60.3% 60.% % 59.4% 59.4% 59.4% % % Chart E: Main country regional distribution Chart F: Seasoning (in months) % 4.8% 7.2% 0.7% 0.4% 0.4% 0.4% 0.3% 0.2% 0.2% 0.% 0.% % 9.4% % (note *) may be based on property value at time of origination or further advance or borrower refinancing. (note **) Typically borrowers with a previous personal bankruptcy or borrowers with record of court claims against them at time of origination. (note ***) This "other" type refers to loans directly to Housing Cooperatives and to Landlords of Multi-Family properties (not included in Buy to Let). Caja Rural de Navarra - Mortgage Covered Bonds Page 3

4 Cum Pool Volume COVERED BONDS VIII. Cover Pool Information - Commercial Assets Overview Specific Loan and Borrower characteristics Asset type: Commercial Bullet loans: 2.2% Asset balance:,76,27,472 Loans in non-domestic currency: 0. Average loan balance: 203,437 Percentage of fixed rate loans: 8. Number of loans: 5,782 Performance Number of borrowers: 5, % Number of properties: 8,60 Loans in a foreclosure procedure: 0. Largest 0 loans: 7.% Details on LTV Largest 0 borrowers: 9.6% WA current LTV(*): 55. WA remaining term (in months): 29 WA indexed LTV: n/d WA seasoning (in months): 53 Valuation type: Lending Value Main countries: Spain (0) LTV Threshold: Junior ranks: n/d Prior and Equal ranks: n/d Chart A: Balance per LTV-band Chart B: Percentage of commercial assets % 0.3% 9.6% 0.% 7.4% 3..8%.4%.6%. 4.2% Commercial Assets, 25.6% Chart C: Borrower concentration Number of Borrowers Chart D: Property type % 26.4% 8.2% 5.6% 6.6% 5.% Industrial REDs SMEs Retail Land Other Chart E: Main country regional distribution %.% 0.9% 0.8% 0.4% 0.4% 0.3% 0.2% 0.2% 0.2% 0.2% 0.2% 0.% 0.% Chart F: Remaining Term (in years) Chart G: Year of loan origination % 4.7% 20.3% 24.3% 8.% 7.3% % 3.9% 6.% 3.9% 3.6% 5.% 0.9% 22.3% 7.2% 8.3% (note *) Based on original property valuation. Caja Rural de Navarra - Mortgage Covered Bonds Page 4

5 COVERED BONDS IX. Liabilities Information: Last 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment ES EUR 500,000,000 08/05/208 08/05/ /05/2025 Fixed rate 0.87 ES EUR 500,000,000 0/2/206 0/2/2023 0/2/2023 Fixed rate 0.6 ES EUR 500,000,000 6/03/205 6/03/2022 6/03/2022 Fixed rate 0.50 ES EUR 50,000,000 07/02/204 07/02/ /02/2029 Fixed rate 3.65 Caja Rural de Navarra - Mortgage Covered Bonds Page 5

6 COVERED BONDS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE PURCHASE, HOLDING, OR SALE. AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, BENCHMARK. suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. OR MANNER WHATSOEVER. credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. Caja Rural de Navarra - Mortgage Covered Bonds Page 6