Fitch Assigns Spanish Mortgage Covered Bond Programmes ...

level of data provided and available to the analysis. The moderate high risk assessment on
NCG Banco S.A. covered bond programme is driven by the uncertainties about the
institution's long term business viability in light of the overall banking sector restructuring,
and therefore it is considered to be under a wind down status.
The risk assessment for privileged derivatives is considered as very low for all Spanish
programmes. Fitch-rated Spanish programmes do not have privileged derivative contracts
linked to the mortgage book or to the covered bonds. The absence of any privileged
hedging arrangements also means there is no potential termination payment to impact the
liquidity risk or credit risk assessment.
Cajamar's mortgage covered bond programme is on RWN reflecting the RWN on the
banks' IDR, and therefore a one-notch downgrade of the bank's IDR would make the
covered bonds vulnerable to downgrade. The ratings of Banesto, Banco Santander, and
Unnim Banc S.A. mortgage covered bond programmes are on RWN because of data
issues that will be discussed and assessed during the annual review of these programmes.
The programmes' D-Caps and the risk assessments of the components are as follows:
Caja Laboral Popular.
Mortgage covered bond Rating: 'A-'/Negative
D-Cap: 0 (full discontinuity risk)
Asset segregation risk: low
Liquidity gap and systemic risk: full discontinuity
Systemic alternative management risk: moderate high
Cover pool-specific alternative management risk: moderate
Privileged derivatives risk: very low
Banco Espanol de Credito S.A. (Banesto)
Mortgage covered bond Rating: 'A'/RWN
D-Cap: 0 (Full discontinuity risk)
Asset segregation risk: low
Liquidity gap and systemic risk: full discontinuity
Systemic alternative management risk: moderate high
Cover pool-specific alternative management risk: moderate high
Privileged derivatives risk: very low
Banco Santander, S.A.
Mortgage covered bond Rating: 'A'/RWN
D-Cap: 0 (full discontinuity risk)
Asset segregation risk: low
Liquidity gap and systemic risk: full discontinuity
Systemic alternative management risk: moderate high
Cover pool-specific alternative management risk: moderate high
Privileged derivatives risk: very low
The driver of the D-Cap for Caja Laboral Popular, Banesto and Santander is the full
discontinuity risk assessment of liquidity gap and systemic risk. This is driven by the IDR of
these banks being at or above the one of the sovereign.
Banco Mare Nostrum S.A.
Mortgage covered bond Rating: 'BBB+'/Negative
D-Cap: 1 (very high risk)
Asset segregation risk: low
Liquidity gap and systemic risk: very high
Systemic alternative management risk: moderate high
Cover pool-specific alternative management risk: moderate
Privileged derivatives risk: very low