Paris, February 02, 2022 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of six classes of Notes in four Spanish RMBS transactions.
The upgrades reflect increased levels of credit enhancement and better
than expected collateral performance for the affected Notes.
Moody's affirmed the ratings of the Classes of Notes that had sufficient
credit enhancement to maintain their current ratings.
The maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by the corresponding local currency country ceiling
of the country.
Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL462288
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
The upgrades of the ratings of the Notes are prompted by the increase
in credit enhancements for the affected tranches. For instance,
the credit enhancements of the tranches increased as follows: BANCAJA
8, FTA, classes A, B, C and D to 57.61%,
27.42%, 19.94% and 13.32%
from 50.04%, 23.58%, 17.03%
and 11.23% respectively since the previous rating action
in April 2021. FTA SANTANDER HIPOTECARIO 3, classes A and
B to 9.55% and 0.06% from 8.61%
and -0.25% respectively since the previous rating
action in April 2021. RURAL HIPOTECARIO XII, FTA, classes
A, B and C to 20.90%, 16.39% and
9.20% from 20.56%, 16.05%
and 9.20% respectively since the previous rating action
in April 2019. TDA CAM 8, FTA, classes A, B and
C to 19.28%, 7.52% and 2.73%
from 15.39%, 5.34% and 1.25%
respectively since January 2021. The upgrades of the ratings of
the tranches in the transactions FTA SANTANDER HIPOTECARIO 3 and RURAL
HIPOTECARIO XII, FTA also reflect better than expected collateral
performance.
Key Collateral Assumptions
As part of the rating actions, Moody's reassessed its lifetime loss
expectations and recovery rates for the portfolios reflecting their collateral
performance to date.
The performance of the transactions continued to be stable since the last
rating actions. Cumulative defaults remain largely unchanged in
the past year and are as follows across the transactions: BANCAJA
8, FTA currently at 4.05%, FTA SANTANDER HIPOTECARIO
3 currently at 8.77%, RURAL HIPOTECARIO XII,
FTA currently at 2.48% and TDA CAM 8, FTA at 10.88%.
Moody's maintained its expected loss assumptions for BANCAJA 8,
FTA at 2.38% and TDA CAM 8, FTA at 6.22%
as a percentage of the original pool balance. The expected loss
assumptions for FTA SANTANDER HIPOTECARIO 3 and RURAL HIPOTECARIO XII,
FTA were decreased to 6.55% from 7.01% and
to 2.30% from 2.73% as a percentage of the
original pool balance respectively.
Moody's also assessed loan-by-loan information as 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 MILAN CE assumptions for
BANCAJA 8, FTA at 9.0% and TDA CAM 8, FTA at
11%. The MILAN CEs of FTA SANTANDER HIPOTECARIO 3 and RURAL
HIPOTECARIO XII, FTA were decreased to 14% from 18%
and to 12% from 14% respectively.
The ratings of the class A tranches in FTA SANTANDER HIPOTECARIO 3 are
constrained by limited liquidity due to the depleted reserve fund.
The rating of the class B tranche in TDA CAM 8, FTA is constrained
by liquidity in the long term given the limited excess spread in the transaction.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, 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 the Notes' 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
The List of Affected Credit Ratings announced here are a mix of solicited
and unsolicited credit ratings. For additional information,
please refer to Moody's Policy for Designating and Assigning Unsolicited
Credit Ratings available on its website www.moodys.com.
Additionally, the List of Affected Credit Ratings includes additional
disclosures that vary with regard to some of the ratings. Please
click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL462288
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:
• EU Endorsement Status
• UK Endorsement Status
• Rating Solicitation
• Issuer Participation
• Participation: Access to Management
• Participation: Access to Internal Documents
• Lead Analyst
• Releasing Office
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions in the disclosure form. Moody's Rating Symbols and
Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social and
governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.
Items color coded in purple in this Press Release relate to unsolicited
ratings for a rated entity which is non-participating.
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.
Bongani Dlamini
Asst Vice President - Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Olga Gekht
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
