Madrid, December 27, 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
28 Notes and affirmed the ratings of 20 Notes in 17 Spanish RMBS deals.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476858
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 is Aa1(sf) for structured transactions in Spain,
driven by Local Currency Ceiling (Aa1) of the country.
RATINGS RATIONALE
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF476858
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 and Constraining Factor(s)
• Current Expected Loss percentage of Original Balance (Current EL
% OB)
• Current MILAN Credit Enhancement
Upgrades are prompted by an increase in the credit enhancement available
for the affected tranches and in some cases better than expected collateral
performance, namely the portfolio Expected Loss (EL) and Milan CE.
In addition to the reasons above, the transactions, Hipocat
10, FTA and Hipocat 9, FTA benefited from higher than expected
levels of principal payments recovered from previously defaulted collateral.
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 in some cases 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_SF476858
to see new assumptions.
Increase in Available Credit Enhancement
The increase in the available credit enhancement may be explained by deleveraging
(e.g. 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.
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_SF476858
to see Notes constrained by swap counterparty risk.
Principal Methodology
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in September 2017.
Please see the Rating 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.
The Credit Ratings in the List of Affected Credit Ratings were assigned
in accordance with Moody's existing Methodology entitled "Moody's
Approach to Rating RMBS Using the MILAN Framework" dated 11 September
2017. Please note that on 14 November 2018, Moody's released
a Request for Comment, in which it has requested market feedback
on potential revisions to its Methodology for rating RMBS using the MILAN
Framework. If the revised Methodology is implemented as proposed,
the Credit Ratings in the List of Affected Credit Ratings may be neutrally
affected. Please refer to Moody's Request for Comment, titled
"Proposed Update to Moody's Global Approach to Rating RMBS Using
the MILAN Framework" for further details regarding the implications
of the proposed Methodology revisions on certain Credit Ratings.
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_SF476858
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
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.
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
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
