Madrid, May 22, 2013 -- Moody's Investors Service has today downgraded the ratings of one senior
and six junior notes in four Spanish residential mortgage-backed
securities (RMBS) transactions: AyT Hipotecario Mixto IV,
FTA; AyT Hipotecario Mixto V, FTA; TDA 12, FTH and
TDA 13 Mixto, FTA. Insufficiency of credit enhancement to
address sovereign risk, revision of collateral assumptions and exposure
to counterparty risk have prompted today's downgrade action.
Today's rating action concludes the review of four notes placed
on review on 2 July 2012, following Moody's downgrade of Spanish
government bond ratings to Baa3 from A3 on June 2012. Today's
rating action also concludes the review of three notes placed on review
on 23 November 2012 (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 RATONALE
Today's rating action primarily reflects the insufficiency of credit enhancement
to address sovereign risk and, in the case of AyT Hipotecario Mixto
V, the revision of key collateral assumptions. In the case
of TDA 13 mixto tranche B1, it also reflects exposure to servicers
acting as collection account banks; servicers in this transaction
transfer collections to the Issuer Account Bank (held by Barclays Bank
PLC (A2/P-1)) on a monthly basis.
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.
Moody's has revised collateral assumptions for Ayt Hipotecario Mixto
V and has maintained current assumptions in the other transactions.
Expected loss assumptions as a percentage of original pool balance remain
at 0.63% for AyT Hipotecario Mixto IV; 0.45%
for TDA 12; 0.44% for subpool 1 of TDA 13 mixto and
0.67% for subpool 2 of TDA 13 Mixto. Moody's
increased expected loss from 1.4% to 2.4%
for AyT Hipotecario Mixto V. The MILAN CE assumptions remain at
10% for AyT Hipotecario Mixto IV, TDA 12 and subpool 1 of
TDA 13 mixto; at 12.5% for subpool 2 of TDA 13 Mixto
and 15% for AyT Hipotecario Mixto V.
-- Exposure to Counterparty Risk
The conclusion of Moody's rating review takes into consideration
the exposure to the relevant servicers acting as collection account banks
for the four transactions. Treasury Accounts are held by Barclays
Bank PLC for all deals and TDA 12 Reinvestment Account is also held by
Barclays Bank PLC. Sweeping is weekly in the case of AyT Hipotecario
Mixto IV and V and monthly in the case of TDA 12 and TDA 13. Exposure
to servicers acting as collection account banks is one of drivers in the
downgrade of class B1 in TDA 13 Mixto.
As part of its analysis Moody's also assessed the exposure to BBVA
(Baa3/P-3) and CECABank (Ba1 DNG/NP) as swap counterparties for
AyT Hipotecario Mixto IV and AyT Hipotecario Mixto V respectively.
The revised ratings of the notes, are 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.
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.
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.
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: Class A and B margins and PDL mechanism were
corrected for AyT Hipotecario Mixto IV; one of the triggers switching
the priority of payments and one of the triggers for reserve fund amortization
were corrected for AyT Hipotecario Mixto V.
LIST OF AFFECTED RATINGS
Issuer: AYT HIPOTECARIO MIXTO IV
....EUR20.1M B Notes, Downgraded
to Ba1 (sf); previously on Jul 2, 2012 Baa2 (sf) Placed Under
Review for Possible Downgrade
Issuer: AyT HIPOTECARIO MIXTO V
....EUR649.4M A Notes, Downgraded
to Baa3 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(sf) and Remained On Review for Possible Downgrade
....EUR12.2M B Notes, Downgraded
to B3 (sf); previously on Jul 2, 2012 Ba2 (sf) Placed Under
Review for Possible Downgrade
....EUR13.4M C Notes, Downgraded
to Caa3 (sf); previously on Jul 2, 2012 B3 (sf) Placed Under
Review for Possible Downgrade
Issuer: TDA 12 Bonos de Titulización Hipotecaria
....EUR20.6M B Notes, Downgraded
to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf)
and Placed Under Review for Possible Downgrade
Issuer: TDA 13-MIXTO
....EUR12M B1 Notes, Downgraded to Baa3
(sf); previously on Nov 23, 2012 Downgraded to Baa1 (sf) and
Remained On Review for Possible Downgrade
....EUR5.4M B2 Notes, Downgraded
to Ba1 (sf); previously on Nov 23, 2012 Downgraded to Baa1
(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
Barbara Rismondo
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 seven notes in four Spanish RMBS transactions
