Madrid, June 29, 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
169 tranches, affirmed the ratings of 146 tranches and confirmed
the ratings of 12 tranches in 99 Spanish RMBS.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF472507
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF472507
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
• Key Rationale for Action
• Constraining factors on the ratings
Increase in the local-currency country ceiling
Today's rating action on various Spanish RMBS transactions concludes the
review process for 99 transactions that was initiated on 25 April 2018
(see http://www.moodys.com/viewresearchdoc.aspx?docid=PR_382740
) following Moody's upgrade of the Government of Spain's ("Spain") local-currency
bond ceiling to Aa1 from Aa2. This local-currency bond ceiling
upgrade followed the upgrade of the Government of Spain's issuer and bond
ratings to Baa1 with a stable outlook from Baa2. As a result of
this upgrade, the Spanish structured finance ratings are now capped
at Spain's local currency bond ceiling of Aa1.
For full details, please refer to the sovereign press release:
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_381868.
Increased levels of credit enhancement
Sequential amortization and/or a non-amortising reserve fund has
led to the increase in the credit enhancement available in some transactions.
Counterparty exposure
Following the upgrade of Spain's sovereign rating, some Spanish
Banks Long Term deposit bank ratings and Counterparty Risk Assessments
(CR assessments) were also upgraded (see "Moody's takes rating actions
on Spanish banks", published on 17 April 2018). Full details
of the banks' ratings upgrades can be found at http://www.moodys.com/viewresearchdoc.aspx?docid=PR_382149.
Today's rating actions took into consideration the notes' exposure to
relevant counterparties, such as servicers, account banks
or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of notes payments, in case of
servicer default, using the CR assessment as a reference point for
servicers.
Moody's assessed commingling risk in the transactions, taking CR
assessment as reference point. Moody's does not incorporate expected
commingling loss if the risk is deemed immaterial such as cases where
the servicer is rated at or above Baa2 and the exposure is limited to
one month of lost collection.
Moody's assessed the rating cap to apply to the structured finance transactions
in relation to account bank exposure by referencing the bank's deposit
rating.
Moody's assessed the exposure to the swap counterparties. Moody's
considered the risks of additional losses on the notes if they were to
become unhedged following a swap counterparty default by using CR assessment
as reference point for swap counterparties.
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
include (1) performance of the underlying collateral that is better than
Moody's expected, (2) deleveraging of the capital structure,
(3) improvements in the credit quality of the transaction counterparties
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk (2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF472507
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:
• Releasing Office
• Lead Analyst
• Person Approving the Credit Rating
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.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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 rating analyst and the Moody's legal entity that has issued
the ratings.
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.
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
Vice President - Senior 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
Client Service: 44 20 7772 5454
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Anne Sophie Spirito
VP-Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Bongani Dlamini
AVP-Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454
