Fitch Assigns Spanish Mortgage Covered Bond Programmes ...

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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
NCG Banco, 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 high Privileged derivatives risk: very low Cajamar Caja Rural, Sociedad Cooperativa de Credito (Cajamar) Mortgage covered bond Rating: 'A-'/RWN 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 Unnim, Banc, S.A. Mortgage covered bond Rating: 'BBB+'/RWN D-Cap: 1 (very high risk) Asset segregation risk: low risk Liquidity gap and systemic risk: very high Systemic alternative management risk: moderate high Cover pool-specific alternative management risk: moderate high Privileged derivatives risk: very low For all of Fitch's Eurozone Crisis commentary go to http://www.fitchratings.com/web_content/pages/grs/eurozone Contact: Primary Analyst (Banco Santander, S.A.) Juan David Garcia Senior Director +34 91 702 57 74 General Castanos 11 28004 Madrid Spain Primary Analyst (Banco Espanol de Credito, S.A.) Federica Fabrizi Director +39 02 87 90 87 232 Fitch Italia S.p.A. 1, Vicolo S. Maria alla Porta 20123 Milan Primary Analyst (Banco Mare Nostrum S.A.) Solena Gloaguen Director +44 20 3530 1126 Fitch Ratings Limited 30 North Colonnade London E14 5GN Primary Analyst (Cajamar, Unnim Banc S.A., NCG Banco, S.A.) Covadonga Aybar Analyst +34 91 702 57 75 Fitch Ratings Spain - Madrid
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Fitch Assigns Spanish Mortgage Covered Bond Programmes ...

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