Madrid, April 11, 2013 -- Moody's Investors Service has today downgraded the ratings of nine junior
and three senior notes in four Spanish residential mortgage-backed
securities (RMBS) transactions: AyT Génova Hipotecario IV,
FTH; AyT Génova Hipotecario VI, FTH; AyT Génova
Hipotecario IX, FTH and TDA Pastor 1, FTA. At the same
time, Moody's confirmed the ratings of two securities in TDA
Pastor 1. Insufficiency of credit enhancement to address sovereign
risk, exposure to counterparty risk and revision of key collateral
assumptions have prompted today's downgrade action.
Today's rating action concludes the review of eight notes placed
on review on 2 July 2012, following Moody's downgrade of Spanish
government bond ratings to Baa3 from A3 on June 2012 (http://www.moodys.com/research/Moodys-downgrades-to-A3sf-notes-in-328-Spanish-ABS-RMBS--PR_249914).
This rating action also concludes the review of six notes placed on review
on 23 November 2012, following Moody's revision of key collateral
assumptions for the entire Spanish RMBS market (http://www.moodys.com/research/Moodys-review-of-Spanish-RMBS-sector-triggers-rating-actions-on--PR_260528).
For a detailed list of affected ratings, see towards the end of
the press release, before regulatory disclosures.
RATINGS RATIONALE
Today's rating action primarily reflects the insufficiency of credit enhancement
to address sovereign risk. The rating action on Génova deals
also reflects the exposure to Barclays Bank S.A. as both
servicer and Issuer Account Bank and, in the case of AyT Génova
IX, the revision of key collateral assumptions. Moody's
confirmed the ratings of securities whose credit enhancement and structural
features provided enough protection against sovereign and counterparty
risk.
The determination of the applicable credit enhancement driving today's
rating actions reflects the introduction of additional factors in Moody's
analysis to better measure the impact of sovereign risk on structured
finance transactions (see "Structured Finance Transactions:
Assessing the Impact of Sovereign Risk", 11 March 2013).
This report is available on www.moodys.com and can be accessed
via the following link http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF319988
.
-- Additional Factors Better Reflect Increased Sovereign
Risk
Moody's has supplemented its analysis to determine the loss distribution
of securitised portfolios with two additional factors, the maximum
achievable rating in a given country (the local currency country risk
ceiling) and the applicable portfolio credit enhancement for this rating.
With the introduction of these additional factors, Moody's
intends to better reflect increased sovereign risk in its quantitative
analysis, in particular for mezzanine and junior tranches.
The Spanish country ceiling, and therefore the maximum rating that
Moody's will assign to a domestic Spanish issuer including structured
finance transactions backed by Spanish receivables, is A3.
Moody's Individual Loan Analysis Credit Enhancement (MILAN CE) represents
the required credit enhancement under the senior tranche for it to achieve
the country ceiling. By lowering the maximum achievable rating
for a given MILAN, the revised methodology alters the loss distribution
curve and implies an increased probability of high loss scenarios.
-- Revision of Key Collateral Assumptions
During its review Moody's increased its expected loss (EL) assumption
in AyT Génova IX to 1.20% from 0.90%
due to worse-than-expected collateral performance.
Loans more than 90 days in arrears as of current portfolio balance were
0.82% as of January 2013 up from 0.26% as
of January 2012. In the same period cumulative defaults (defined
as loans more than 18 months in arrears) moved from 0.42%
to 0.48% of original portfolio balance. Milan CE
assumption for this transaction remains at 10%.
Moody's has not revised the key collateral assumptions for AyT Génova
IV, VI and TDA Pastor 1. Expected loss assumptions as a percentage
of original pool balance remain at 0.44% for AyT Génova
IV, 0.56% for AyT Génova VI and 0.40%
for TDA Pastor 1. The MILAN CE assumptions remain at 10%
for the three transactions.
-- Exposure to Counterparty Risk
The conclusion of Moody's rating review also takes into consideration
the exposure to Barclays Bank S.A. (not rated), which
acts as Servicer and Issuer Account Bank in all Génova transactions.
The deals include Issuer Account Bank replacement triggers in case Barclays
Bank PLC owns less than 51% of Barclays Bank S.A.
or is downgraded below P-1, however there is not an explicit
guarantee of the amounts deposited in these accounts. Moody's
has assessed the probability and effect of a default of the issuer account
bank on the ability of the issuer to meet its obligations under the transactions,
and determined this risk has some impact on the ratings on the notes.
As part of its analysis Moody's assessed the exposure of TDA Pastor
1 to Cecabank S.A. (Ba1/NP on review for possible downgrade)
as swap counterparty. The revised ratings of the notes, which
are driven by the insufficiency of credit enhancement to address sovereign
risk, were not negatively affected by this exposure.
-- Other Developments May Negatively Affect the Notes
In consideration of Moody's new adjustments, any further sovereign
downgrade would negatively affect structured finance ratings through the
application of the country ceiling or maximum achievable rating,
as well as potentially increased portfolio credit enhancement requirements
for a given rating.
As the euro area crisis continues, the ratings of structured finance
notes remain exposed to the uncertainties of credit conditions in the
general economy. The deteriorating creditworthiness of euro area
sovereigns as well as the weakening credit profile of the global banking
sector could further negatively affect the ratings of the notes.
Moody's describes additional factors that may affect the ratings
in "Approach to Assessing Linkage to Swap Counterparties in Structured
Finance Cashflow Transactions: Request for Comment" (http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_SF289772),
published on 2 July 2012.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework", published in March
2013. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Other factors used in these ratings are described in "The Temporary Use
of Cash in Structured Finance Transactions: Eligible Investment
and Bank Guidelines" (http://www.moodys.com/research/The-Temporary-Use-of-Cash-in-Structured-Finance-Transactions-Eligible--PBS_SF316982),
published in March 2013.
In reviewing these transactions, Moody's used its cash flow model,
ABSROM, to determine the loss for each tranche. The cash
flow model evaluates all default scenarios that are then weighted considering
the probabilities of the lognormal distribution assumed for the portfolio
default rate. In each default scenario, Moody's calculates
the corresponding loss for each class of notes given the incoming cash
flows from the assets and the outgoing payments to third parties and note
holders. Therefore, the expected loss for each tranche is
the sum product of (1) the probability of occurrence of each default scenario
and (2) the loss derived from the cash flow model in each default scenario
for each tranche.
As such, Moody's analysis encompasses the assessment of stressed
scenarios.
In the context of the rating review, the transactions have been
remodeled and some inputs have been adjusted to reflect the new approach
described above. In addition, the following have been corrected
during the review: for AyT Génova VI, class B margin
and potential PDL modeling; for AyT Génova IX, notes
margins and some trigger inputs switching the priority of payments and
related to reserve fund amortization.
LIST OF AFFECTED RATINGS
Issuer: AyT Genova Hipotecario IV Fondo de Titulizacion Hipotecaria
....EUR776M A Notes, Downgraded to Baa2
(sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Remained
On Review for Possible Downgrade
....EUR24M B Notes, Downgraded to B2
(sf); previously on Nov 23, 2012 Downgraded to Baa2 (sf) and
Remained On Review for Possible Downgrade
Issuer: AyT GENOVA HIPOTECARIO VI
....EUR524M A2 Notes, Downgraded to
Baa3 (sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf)
and Remained On Review for Possible Downgrade
....EUR7M B Notes, Downgraded to B1
(sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf) and
Remained On Review for Possible Downgrade
....EUR7.7M C Notes, Downgraded
to B2 (sf); previously on Jul 2, 2012 Baa1 (sf) Placed Under
Review for Possible Downgrade
....EUR7.3M D Notes, Downgraded
to B3 (sf); previously on Jul 2, 2012 Ba1 (sf) Placed Under
Review for Possible Downgrade
Issuer: AyT GENOVA HIPOTECARIO IX Fondo de Titulizacion Hipotecaria
....EUR750M A2 Notes, Downgraded to
Baa3 (sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf)
and Remained On Review for Possible Downgrade
....EUR11M B Notes, Downgraded to B1
(sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf) and
Remained On Review for Possible Downgrade
....EUR10.8M C Notes, Downgraded
to B3 (sf); previously on Jul 2, 2012 Baa1 (sf) Placed Under
Review for Possible Downgrade
....EUR10.7M D Notes, Downgraded
to Caa1 (sf); previously on Jul 2, 2012 Ba3 (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA PASTOR 1 FONDO DE TITULIZACION DE ACTIVOS
....EUR429.8M A1 Notes, Confirmed
at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Placed Under Review for Possible Downgrade
....EUR47.5M A2 Notes, Confirmed
at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Placed Under Review for Possible Downgrade
....EUR10.6M B Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
....EUR3M C Notes, Downgraded to B2
(sf); previously on Jul 2, 2012 Baa2 (sf) Placed Under Review
for Possible Downgrade
REGULATORY DISCLOSURES
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Maria Turbica Manrique
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Annabel Schaafsma
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades 12 notes and confirms two notes in four Spanish RMBS transactions
