NOTE: On February 25, 2021, the press release was corrected as follows: The eighth paragraph was added to the Regulatory Disclosures section. Revised release follows.
Milan, February 26, 2020 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of four Notes in two Spanish RMBS deals. The
rating action reflects:
- Better than expected collateral performance on HIPOCAT 7,
FTA ("HIPOCAT 7") and
- The increased levels of credit enhancement for the affected Notes
on AyT HIPOTECARIO MIXTO V, FTA ("AYT HIPOTECARIO MIXTO V")
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain the current rating on the affected Notes.
Issuer: AyT HIPOTECARIO MIXTO V, FTA
....EUR 649.4M Class A Notes,
Upgraded to Aa1 (sf); previously on Jun 29, 2018 Upgraded to
Aa2 (sf)
....EUR 12.2M Class B Notes,
Upgraded to A3 (sf); previously on Jun 29, 2018 Upgraded to
Baa2 (sf)
....EUR 13.4M Class C Notes,
Upgraded to B3 (sf); previously on Jun 29, 2018 Affirmed Caa1
(sf)
Issuer: HIPOCAT 7, FTA
....EUR 1148.3M Class A2 Notes,
Affirmed Aa1 (sf); previously on Apr 29, 2019 Affirmed Aa1
(sf)
....EUR 21.7M Class B Notes,
Affirmed Aa1 (sf); previously on Apr 29, 2019 Affirmed Aa1
(sf)
....EUR 42.0M Class C Notes,
Affirmed Aa1 (sf); previously on Apr 29, 2019 Upgraded to Aa1
(sf)
....EUR 28M Class D Notes, Upgraded
to A3 (sf); previously on Apr 29, 2019 Upgraded to Baa3 (sf)
Maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
The rating action is prompted by:
- Decreased key collateral assumptions, namely the portfolio
Expected Loss (EL) and MILAN CE assumptions due to better than expected
collateral performance on HIPOCAT 7, FTA
- An increase in credit enhancement for the affected tranches in
AyT HIPOTECARIO MIXTO V, FTA
Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio backing HIPOCAT 7 to reflect the collateral
performance to date.
The performance of the HIPOCAT 7 transaction has continued to improve
since the last rating action. Despite some recent slight increase
in 30-90 delinquencies, total delinquencies have decreased
since the last rating action, with 90 days plus arrears currently
standing at 0.36% of current pool balance. Cumulative
defaults currently stand at 3.86% of original pool balance,
only marginally up from 3.82% a year earlier.
Moody's decreased the expected loss assumption to 2.36%
as a percentage of original pool balance from 2.45% due
to the improving performance.
Moody's updated the MILAN CE due to the Minimum Expected Loss Multiple,
a floor defined in Moody's methodology for rating EMEA RMBS transactions.
As a result, Moody's has decreased the MILAN CE assumption
to 13%.
Increase in Available Credit Enhancement
Sequential amortization and non-amortizing reserve funds led to
the increase in the credit enhancement available in the AYT HIPOTECARIO
MIXTO V transaction.
For instance, the credit enhancement for the most senior tranche
affected by today's rating action on AYT HIPOTECARIO MIXTO V increased
to 21.17% from 16.57% since the last rating
action.
Reserve fund in HIPOCAT 7 is now at its floor level following replenishment
in July 2019 and subsequent reduction in October 2019 after unexpected
receipt of recoveries from previously defaulted collateral in addition
to standard recoveries. Classes B, C and D have been amortising
pro-rata since July 2019 after reserve fund replenished to its
target level.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in July 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
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) an increase in available credit enhancement;
(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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or Note of the
same series, category/class of debt, security 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.
Sara Santagostino
Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Maria Turbica Manrique
Vice President - Senior Analyst
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
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
