Frankfurt am Main, April 16, 2019 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of five Notes and affirmed the ratings of five Notes
in four Spanish RMBS.
Upgrades are prompted by increased levels of credit enhancement for the
all affected Notes and by better than expected collateral performance,
namely the portfolio Expected Loss (EL) for RURAL HIPOTECARIO V,
FTA, RURAL HIPOTECARIO VI, FTA and Caja Ingenieros AyT 2,
FTA.
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain current ratings.
List of Affected Credit Ratings:
Issuer: RURAL HIPOTECARIO V, FTA
....EUR566.8M Class A1 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR18.8M Class B Notes, Affirmed
Aa1 (sf); previously on Jun 29, 2018 Upgraded to Aa1 (sf)
....EUR9.4M Class C Notes, Upgraded
to Aa2 (sf); previously on Jun 29, 2018 Upgraded to A1 (sf)
Issuer: RURAL HIPOTECARIO VI, FTA
....EUR909.1M Class A Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR28.5M Class B Notes, Upgraded
to A1 (sf); previously on Jun 29, 2018 Upgraded to A2 (sf)
....EUR12.4M Class C Notes, Upgraded
to Baa3 (sf); previously on Jun 29, 2018 Upgraded to Ba2 (sf)
Issuer: Caja Ingenieros AyT 2, FTA
....EUR382.5M Class A Notes,
Affirmed at Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR67.5M Class B Notes, Upgraded
to Aa1 (sf); previously on Jun 29, 2018 Upgraded Aa2 (sf)
Issuer: TDA CAM 6, FTA
....EUR752.0M Class A3 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Upgraded to Aa1
(sf)
....EUR50.0M Class B Notes, Upgraded
to B3 (sf); previously on Jun 29, 2018 Affirmed Caa2 (sf)
Maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by Local Currency Ceiling (Aa1) of the country.
RATINGS RATIONALE
Upgrades are prompted by increased levels of credit enhancement for the
all affected Notes and by better than expected collateral performance,
namely the portfolio Expected Loss (EL) for RURAL HIPOTECARIO V,
FTA, RURAL HIPOTECARIO VI, FTA and Caja Ingenieros AyT 2,
FTA.
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 as following:
For RURAL HIPOTECARIO V, FTA, expected loss assumption was
lowered to 0.47% as a percentage of original pool balance
from 0.54%. For RURAL HIPOTECARIO VI, FTA expected
loss assumption lowered to 0.61% as a percentage of original
pool balance from 0.70%. For Caja Ingenieros AyT
2, FTA, expected loss assumption lowered to 1.16%
as a percentage of original pool balance from 1.34%.
The performance of the transactions has continued to improve since last
rating action. Total delinquencies have decreased for RURAL HIPOTECARIO
VI, FTA in the past year, 90 days plus arrears remained stable
for RURAL HIPOTECARIO V, FTA and Caja Ingenieros AyT 2, FTA
at around 0.25% and 0.55% respectively of
current pool balance. Cumulative defaults remained stable compared
with what we considered in previous review.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
As a result, Moody's has maintained the portfolio credit Milan
assumption for all the affected Notes.
Increase in Available Credit Enhancement
The increase in the available credit enhancement is due to 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
drawn in prior payment dates.
For instance, since last rating action the credit enhancement increased
as follow:
-TDA CAM 6, FTA Class B Notes to 2.4% from
1.3%
-RURAL HIPOTECARIO V, FTA Class C Notes to 11.6%
from 9.7%
-RURAL HIPOTECARIO VI, FTA Class B Notes to 7.6%
from 7.0%
-RURAL HIPOTECARIO VI, FTA Class C Notes to 5.0%
from 4.4%
-Caja Ingenieros AyT 2, FTA Class B Notes to 13.3%
from 12.4%
Today's rating action took into consideration the Notes' exposure
to relevant counterparties, such as servicer, account banks
or swap providers.
Principal Methodology
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in March 2019.
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.
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
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.
Johann Grieneisen
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
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
Antonio Tena
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Sara Santagostino
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
