NOTE: On December 30, 2015, the press release was corrected as follows: In the seventh paragraph of the REGULATORY DISCLOSURES section, changed the unsolicited credit ratings disclosure to: “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”; added the following disclosure as the eighth paragraph of the REGULATORY DISCLOSURES section: “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”. Revised release follows.
Madrid, July 10, 2015 -- Moody's Investors Service has today upgraded the ratings of 254 tranches,
confirmed 23 tranches and affirmed 106 tranches in 115 Spanish RMBS transactions.
Today's rating actions conclude the review that Moody's initiated on 20
March 2015 (see "Moody's takes actions on multiple EMEA RMBS and ABS notes'
ratings"). Moody's Investors Service is taking action on
18 additional deals following completion of rating review actions of banks
and assignment of Counterparty Risk Assessment ("CR Assessment").
Please click on the following link to access the full list of affected
credit ratings. This list is an integral part of this press release
and identifies each affected issuer:
http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF412501.
RATINGS RATIONALE
Today's rating actions reflect (1) the update of several of Moody's cross-sector,
primary and secondary rating methodologies for structured finance securities,
to incorporate the new Counterparty Risk (CR) Assessment that it introduced
for banks as part of its revised bank rating methodology (see "Banks,"
published on March 16, 2015); (2) completion of rating review
actions of banks and the assignment of its Counterparty Risk Assessment
to the relevant Spanish and other banks acting as counterparties to the
affected transactions, following the application of Moody's bank
methodology; (3) change in key collateral assumptions for some deals.
Moody's has also affirmed or confirmed the ratings of the notes where
the current Credit Enhancement was commensurate with the current ratings.
APPLICATION OF MOODY'S STRUCTURED FINANCE RATING METHODOLOGIES
Moody's updated several of its cross-sector methodologies to incorporate
the CR Assessments in its analysis of structured finance transactions
in March 2015 (see "Banks"). Moody's now matches banks' exposure
in structured finance transactions to one of three reference points:
the CR Assessment, bank deposit rating or senior unsecured rating.
Moody's has used CR Assessments in its analysis to measure the risk of
default for (1) operational risk exposures (specifically exposures to
servicers); (2) exposures to swap counterparties; and (3) exposures
to servicers in relation to commingling risk.
Moody's has used the bank deposit rating to measure the default risk for
exposures associated with account banks. Additionally, for
bank-related exposures (e.g., deposits held
at a defaulting bank) Moody's has assumed a recovery rate of 45%
in instances when the risk is measured or modelled.
REVISION OF KEY COLLATERAL ASSUMPTIONS
As part of the rating action, Moody's reviewed the key collateral
assumption of the securitised pools and incorporated the revision of EL
and Millan into its analysis of some transactions. The ratings
were not subject to an analysis on the sensitivity of key collateral assumptions.
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
include (1) lower sovereign risk; (2) better-than-expected
performance of the underlying collateral; (3) deleveraging of the
capital structure; and (4) improvements in the credit quality of
the transaction's counterparties.
Conversely, factors or circumstances that could lead to a downgrade
of the ratings include (1) higher sovereign risk; (2) worse-than-expected
performance of the underlying collateral; (3) deterioration in the
notes' available credit enhancement; and (4) deterioration in the
credit quality of the transaction's counterparties.
REGULATORY DISCLOSURES
Please click on this link (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF412501)
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
- Key Rationale for Action
- Person Approving the Credit Rating
- Releasing office
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 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.
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 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
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
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 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 upgrades 254 tranches' ratings in 113 Spanish RMBS deals; 23 tranches confirmed
