Actions follow the raising of the Spanish country ceiling
Madrid, March 17, 2014 -- Moody's Investors Service has today taken the following rating actions
on 252 Spanish asset-backed securities (ABS) and residential mortgage-backed
securities (RMBS) transactions.
The rating agency has upgraded to A1(sf) from A3(sf) 116 senior notes
in 39 Spanish ABS and 43 Spanish RMBS transactions. At the same
time, Moody's placed on review for upgrade 142 notes in 71
Spanish ABS and 361 notes in 152 Spanish RMBS transactions.
Today's rating upgrades and review for upgrade actions follow the upgrade
of the Spanish sovereign rating to Baa2 from Baa3 and the resulting increase
of the local-currency country ceiling to A1 from A3 (https://www.moodys.com/research/Moodys-upgrades-Spains-government-bond-rating-to-Baa2-assigns-positive--PR_292078)
which reflect improvements in institutional strength and reduced susceptibility
to event risk associated with lower government liquidity and banking sector
risks.
Swap counterparty exposure or performance issues which the reduced country
risk cannot mitigate prompted today's rating review actions direction
uncertain or for downgrade. Moody's placed on review,
direction uncertain 30 notes in 1 Spanish ABS and 14 Spanish RMBS transactions.
The rating agency has also placed on review for downgrade 4 notes in 3
Spanish RMBS transactions.
Please click here http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF360180
for the list of affected credit ratings. This list is an integral
part of this press release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
Principal Methodology used
Lead analyst
Person approving the credit rating
Releasing office
RATINGS RATIONALE
Today's upgrades of the 116 notes in 39 Spanish ABS and 43 Spanish RMBS
transactions have been prompted by (1) the reduced country risk as reflected
by the increase in the maximum achievable rating in Spain (the local-currency
country ceiling) to A1 from A3; (2) sufficiency of credit enhancement
in the affected transactions; and (3) well mitigated counterparty
risks including those relating to servicers, account banks and swap
providers.
The review for upgrade of 503 notes in 71 Spanish ABS and 152 Spanish
RMBS transactions reflects the reduced country risk leading to the review
of (1) the transactions' loss distribution, an integral part
in determining the affected notes ratings and (2) the current credit enhancement
level. During the review process, Moody's will also factor
in its analysis any potential linkage of transactions to relevant counterparties,
such as servicers, account banks or swap providers.
The review for downgrade of 4 notes in 3 Spanish RMBS transactions and
the review, direction uncertain of 20 notes in 11 Spanish RMBS transaction
follow the deterioration of asset pool performance or acceleration in
default recognition resulting in reserve fund draws or an increased PDL.
Moody's has placed on review direction uncertain the transactions
for which deteriorating performance has had only a marginal effect,
taking into account the reduced country risk; those showing greater
negative performance have been put on review for downgrade.
Finally, the review, direction uncertain of 10 other notes
in 1 Spanish ABS and 4 Spanish RMBS transactions relate to tranches already
on review for downgrade because of swap counterparty risk. In these
cases, the reduced country risk in Spain may not completely compensate
for the swap counterparty risk.
FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS:
Factors or circumstances that could lead to an upgrade of the ratings
include (1) further reduction in country risk, performance of the
underlying collateral that is better than Moody's expected, (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
include (1) an increase in country risk, performance of the underlying
collateral that is worse than Moody's expects, (2) deterioration
in the notes' available credit enhancement and (3) deterioration
in the credit quality of the transaction counterparties.
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.
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.
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.
As the section on loss and cash flow analysis describes, 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.
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 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.
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
Mehdi Ababou
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Anne-Sophie Spirito
AVP-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 takes rating actions on Spanish ABS and RMBS transactions
