London, 21 October 2015 -- Moody's Investors Service has today taken rating actions on eight Spanish
residential mortgage-backed securities (RMBS) transactions.
Specifically, Moody's has upgraded fourteen notes, downgraded
one note and affirmed five notes.
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating upgrades reflect (1) deleveraging of the transactions and
(2) the improvement of key collateral assumptions for four transactions.
Today's rating downgrade reflects a deterioration in the credit
enhancement available since the last review.
Today's rating affirmations reflect that the current credit enhancement
available is commensurate with the current ratings.
--DELEVERAGING OF TRANSACTIONS
Repayment of principal collections has contributed to increase credit
enhancement. In addition increased excess spread has contributed
to reduce the level of the principal deficiency ledger (PDL) in FTA Santander
Hipotecario 2 and BBVA RMBS 1, FTA or to replenish gradually the
reserve fund in Valencia Hipotecario 2, FTH.
--- CHANGES IN KEY COLLATERAL ASSUMPTIONS
We have reduced our lifetime loss expectations as a percentage of the
original pool balance in UCI 5, FTH to 0.15% from
0.20%, in UCI 6, FTA to 0.20%
from 0.26%, in TdA Ibercaja ICO-FTVPO,
FTH to 1.14% from 2.4% and in FTA Santander
Hipotecario 2 to 3.39% from 4%.
Additionally we have decreased the MILAN CE assumptions in TDA Ibercaja
ICO-FTVPO, FTH to 7.5% from 12.5%
and in FTA Santander Hipotecario 2 to 20% from 25%.
Our collateral performance outlook for Spanish RMBS remains stable.
The recent favorable economic conditions are being reflected in a general
improvement in terms of delinquencies among the Spanish borrowers.
Due to reduced uncertainty in the sector, we have removed the additional
stress analysis of key collateral assumptions.
--DETERIORATION IN THE CREDIT ENHANCEMENT
In the case of GC Pastor Hipotecario 5, FTA there has been a deterioration
in the credit enhancement available since April 2013, when the last
rating action took place. With the cumulative defaults still increasing
and with current level of excess spread, the PDL has built up to
EUR28.39 Million as of July 2015 from EUR15.67 Million in
the reporting date of March 2013. The transaction historically
performed worse that the average Spanish RMBS rated by Moody's,
partially explained by the presence in the underlying pool at close of
loans granted to small and medium enterprises.
Principal methodology:
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of ratings
for RMBS securities may focus on aspects that become less relevant or
typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for further
information on Moody's analysis at the initial rating assignment and the
on-going surveillance in RMBS.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
Factors or circumstances that could lead to an upgrade of the ratings
are (1) performance of the underlying collateral that exceeds Moody's
expectations; (2) deleveraging of the capital structure; and
(3) improvements in the credit quality of the transaction counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
are (1) an increased probability of high loss scenarios owing to a downgrade
of the country ceiling; (2) performance of the underlying collateral
that does not meet Moody's expectations; (3) deterioration in the
notes' available CE; and (4) deterioration in the credit quality
of the transaction counterparties.
LIST OF AFFECTED RATINGS
Issuer: BBVA RMBS 1, FTA
....EUR1400M A2 Notes, Affirmed Aa2
(sf); previously on Feb 12, 2015 Upgraded to Aa2 (sf)
....EUR495M A3 Notes, Upgraded to Aa2
(sf); previously on Feb 12, 2015 Upgraded to Aa3 (sf)
....EUR120M B Notes, Upgraded to Ba1
(sf); previously on Feb 12, 2015 Upgraded to Ba2 (sf)
....EUR85M C Notes, Affirmed Caa3 (sf);
previously on Sep 24, 2014 Affirmed Caa3 (sf)
Issuer: FTA SANTANDER HIPOTECARIO 2
....EUR1801.5M A Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 Upgraded to A1 (sf)
....EUR51.8M B Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Upgraded to Baa3 (sf)
....EUR32.3M C Notes, Upgraded
to Ba1 (sf); previously on Jan 23, 2015 Affirmed B2 (sf)
....EUR49.8M D Notes, Affirmed
Caa2 (sf); previously on Oct 20, 2014 Affirmed Caa2 (sf)
Issuer: GC PASTOR HIPOTECARIO 5, FTA
....EUR492.8M A2 Notes, Downgraded
to B1 (sf); previously on Apr 5, 2013 Downgraded to Ba2 (sf)
Issuer: TDA IBERCAJA ICO-FTVPO, FTH
....EUR409.5M A (G) Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 Upgraded to Aa3 (sf)
Issuer: RURAL HIPOTECARIO XI, FTA
....EUR2113.1M A Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Affirmed Baa1 (sf)
....EUR25.3M B Notes, Upgraded
to Baa2 (sf); previously on Jan 23, 2015 Upgraded to Ba3 (sf)
....EUR61.6M C Notes, Upgraded
to B1 (sf); previously on Jan 23, 2015 Affirmed Caa1 (sf)
Issuer: UCI 5, FTH
....EUR253M A Notes, Affirmed Aa2 (sf);
previously on Jan 23, 2015 Upgraded to Aa2 (sf)
....EUR12M B Notes, Upgraded to Aa2
(sf); previously on Jan 23, 2015 Upgraded to Aa3 (sf)
Issuer: UCI 6, FTA
....EUR436.4M A Notes, Affirmed
Aa2 (sf); previously on Jan 23, 2015 Upgraded to Aa2 (sf)
....EUR20.6M B Notes, Upgraded
to Aa3 (sf); previously on Jan 23, 2015 Upgraded to A2 (sf)
Issuer: VALENCIA HIPOTECARIO 2, FTH
....EUR909.5M A Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 Upgraded to Aa3 (sf)
....EUR21.2M B Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Upgraded to Baa3 (sf)
....EUR9.4M C Notes, Upgraded
to Ba2 (sf); previously on Jan 23, 2015 Affirmed B3 (sf)
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
The ratings of rated entity RURAL HIPOTECARIO XI, FTA were not initiated
or not maintained at the request of the rated entity.
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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
The relevant office for each credit rating is identified in "Debt/deal
box" on the Ratings tab in the Debt/Deal List section of each issuer/entity
page of the Website.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead analyst and the Moody's legal entity that has issued the ratings.
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.
Cristina Quintana
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Masako Oshima
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes actions on multiple Spanish RMBS notes' ratings in eight transactions
