Madrid, May 24, 2013 -- Moody's Investors Service has today downgraded the ratings of thirteen
notes in four Spanish residential mortgage-backed securities (RMBS)
transactions: TDA 15 MIXTO, FTA; TDA 18 MIXTO,
FTA; TDA 20 MIXTO, FTA and TDA 22 MIXTO, FTA.
At the same time, Moody's confirmed the rating of one junior
note in TDA 22 MIXTO, FTA.
Today's rating action concludes the review of five notes placed
on review on 2 July 2012, following Moody's downgrade of Spanish
government bond ratings to Baa3 from A3 on June 2012 and seven 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 ratings rationale section.
RATINGS RATIONALE
Today's downgrade action primarily reflects the insufficiency of credit
enhancement to address sovereign risk as well as linkage to counterparty.
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
Moody's has maintained its lifetime loss expectation (EL) as well as its
MILAN CE assumption in all four transactions. For a list of the
assumptions please refer to the list for the entire Spanish RMBS sector
published 24 November 2012 in the following link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF308353.
-- Exposure to Counterparty Risk
The conclusion of Moody's rating review takes into consideration
the exposure to the relevant servicers acting as collection account bank
for the four transactions. Treasury Accounts are held by Barclays
Bank PLC for TDA 15 MIXTO, FTA, TDA 18 MIXTO, FTA and
TDA 20 MIXTO, FTA and BNP Paribas for TDA 22 MIXTO, FTA.
The sweeping frequency to the treasury account is monthly in TDA 15 MIXTO,
FTA and TDA 20 MIXTO, FTA for both subpools, daily,
weekly or monthly depending on the entity in TDA 18 MIXTO, FTA and
TDA 22 MIXTO, FTA. Exposure to servicers acting as collection
account banks only has a negative impact on the final ratings for TDA
15 MIXTO, FTA and TDA 20 MIXTO, FTA.
Moody's also notes that, there is no swap in place to protect
the transactions against interest rate risk for TDA 15 MIXTO, FTA
and TDA 18 MIXTO, FTA. TDA 18 MIXTO, FTA. benefits
from a interest rate cap. The revised rating of the notes are not
negatively impacted by this exposure given the high excess spread on the
pool.
-- 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.
The methodologies used in these ratings were "Moody's Approach to Rating
RMBS Using the MILAN Framework", published in March 2013 and
"The Temporary Use of Cash in Structured Finance Transactions:
Eligible Investment and Bank Guidelines", published in March
2013. Please see the Credit Policy page on www.moodys.com
for a copy of these methodologies.
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 noteholders.
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.
LIST OF AFFECTED RATINGS
Issuer: TDA 15 MIXTO FONDO DE TITULIZACION DE ACTIVOS
....EUR9.5M B1 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa2
(sf) and Remained On Review for Possible Downgrade
....EUR11.7M B2 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa2
(sf) and Remained On Review for Possible Downgrade
Issuer: TDA 18 MIXTO FONDO DE TITULIZACION DE ACTIVOS
....EUR11.3M B1 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
....EUR12.4M B2 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
Issuer: TDA 20-MIXTO, FONDO DE TITULIZACION DE ACTIVOS
....EUR297.1M A1 Notes, Downgraded
to Baa1 (sf); previously on Nov 23, 2012 Confirmed at A3 (sf)
....EUR7.9M B1 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
....EUR10.4M B2 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
Issuer: TDA 22 - MIXTO, FONDO DE TITULIZACION DE ACTIVOS
....EUR57.2M A1b Notes, Downgraded
to Baa2 (sf); previously on Nov 23, 2012 Confirmed at A3 (sf)
....EUR4.6M B1 Notes, Downgraded
to B1 (sf); previously on Jul 2, 2012 Baa2 (sf) Placed Under
Review for Possible Downgrade
....EUR14.6M B2 Notes, Downgraded
to Ba1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Placed Under Review for Possible Downgrade
....EUR3.7M C1 Notes, Downgraded
to Caa2 (sf); previously on Jul 2, 2012 Ba3 (sf) Placed Under
Review for Possible Downgrade
....EUR6M C2 Notes, Downgraded to B2
(sf); previously on Jul 2, 2012 Baa3 (sf) Placed Under Review
for Possible Downgrade
....EUR2.7M D1 Notes, Downgraded
to Caa3 (sf); previously on Jul 2, 2012 Caa1 (sf) Placed Under
Review for Possible Downgrade
....EUR5.7M D2 Notes, Confirmed
at Caa1 (sf); previously on Nov 23, 2012 Downgraded to Caa1
(sf) and Remained On 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
Christophe?de Noaillat
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Steven Becker
Associate Analyst
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 13 notes in four Spanish RMBS TDA MIXTO transactions
