108 notes' ratings affirmed and 5 placed on review for downgrade
London, 14 May 2016 -- Moody's Investors Service has today upgraded the ratings of 200 tranches
and affirmed 108 tranches in 93 Spanish RMBS transactions. In addition,
5 tranches in 2 transactions have been placed on review for downgrade.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF432292
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
Maximum achievable rating for Spain is Aa2(sf) for structured transactions
in Spain, driven by Local Currency Ceiling (Aa2) of the country.
RATINGS RATIONALE
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF432292
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:
•Key Rationale for Action / review placement and Constraining Factor(s)
Upgrades are prompted by an increase in the credit enhancement available
for the affected tranches and in some cases due to a decrease of the key
collateral assumptions, namely the portfolio Expected Loss (EL)
and Milan CE.
Ratings have been affirmed when credit enhancement available is commensurate
with current rating levels.
The placement on review for downgrade of the notes of 2 deals has been
driven, for one transaction, by the deterioration in the performance
and due to updated information on the collateralized pool's composition
in the other transaction.
--Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
Moody's updated the MILAN CE assumption based on updated loan by loan
data on the underlying pools and also due to the Minimum Expected Loss
Multiple, a floor defined in Moody's updated methodology for rating
EMEA RMBS transactions.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF432292
to see new assumptions.
--Increase in Available Credit Enhancement:
The increase in the available credit enhancement may be explained by deleveraging
(e.x. sequential amortization and/or non-amortizing
reserve funds and/or trapping of excess spread) and, in some cases,
driven by the replenishment of the Reserve Funds which were partially
or fully drawn in prior payment dates.
Counterparty Exposure:
Today's rating actions took into consideration the notes'
exposure to relevant counterparties, such as servicer, account
banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of note payments, in case of
servicer default, using the CR Assessment as a reference point for
servicers.
Moody's matches banks' exposure in structured finance transactions to
the CR Assessment for commingling risk, and to the bank deposit
rating when analyzing set-off risk. Moody's has introduced
a recovery rate assumption of 45% for both exposures.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF432292
to see notes constrained by operational risk.
Moody's also assessed the default probability of the transaction(s)'s
account bank providers by referencing the bank's deposit rating.
Moody's assessed the exposure to the swap counterparties.
Moody's analysis considered the risks of additional losses on the notes
if they were to become unhedged following a swap counterparty default
by using the CR Assessment as reference point for swap counterparties.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF432292
to see notes constrained by swap counterparty risk.
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 Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of these
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 and
(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_SF432292
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:
• Lead Analyst
• Releasing Office
• 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.
The ratings of rated entities Rural Hipotecario X, FTA and RURAL
HIPOTECARIO XII, FTA were not initiated or not maintained at the
request of these rated entities.
Moody's considers a rated entity or its agent(s) to be participating
when it maintains an overall relationship with Moody's. On
this basis, rated entities Rural Hipotecario X, FTA and RURAL
HIPOTECARIO XII, FTA or their agents are considered to be participating
entities. These rated entities or their agents generally provide
Moody's with information for the purposes of their ratings process.
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 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
Associate Managing Director
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 upgrades 200 tranches' ratings in 93 Spanish RMBS deals
