Madrid, October 20, 2014 -- Moody's Investors Service has today upgraded the ratings of ten notes,
confirmed the ratings of two notes and affirmed the rating of nine notes
in four Spanish residential mortgage-backed securities (RMBS) transactions:
TDA 15 Mixto, TDA 18 Mixto, TDA 20 Mixto and TDA 22 Mixto.
Today's rating action concludes the review of eleven notes placed on review
on 17 March 2014, following the upgrade of the Spanish sovereign
rating to Baa2 from Baa3 and the resulting increase of the local-currency
country ceiling to A1 from A3 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_292078).
The sovereign rating upgrade reflected improvements in institutional strength
and reduced susceptibility to event risk associated with lower government
liquidity and banking sector risks.
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating action reflects (1) the increase in the Spanish local-currency
country ceiling to A1 and (2) sufficiency of credit enhancement in the
affected transactions.
-- Reduced Sovereign Risk
The Spanish sovereign rating was upgraded to Baa2 in February 2014,
which resulted in an increase in the local-currency country ceiling
to A1. The Spanish country ceiling, and therefore the maximum
rating that Moody's will assign to a domestic Spanish issuer including
structured finance transactions backed by Spanish receivables, is
A1 (sf).
The increase of credit enhancement combined with the reduction in sovereign
risk has prompted the action of the notes.
-- Key collateral assumptions
The key collateral assumptions have not been updated as part of this review
for TDA 15 Mixto sub-pool 1, TDA 20 Mixto Sub-pools
1 and 2. The performance of the underlying asset portfolios remain
in line with Moody's assumptions. Moody's also has a stable
outlook (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF373727)
for Spanish ABS and RMBS transactions.
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance of TDA 15 Mixto sub-pool 2, TDA
18 Mixto sub-pools 1& 2 and TDA 22 Mixto Sub-pools 1
& 2 to date. The portfolios show deteriorating growth rate
in defaults. As a result, Moody's increased its Expected
Loss of the original pool balance to 0.73% in TDA 15 Mixto
sub-pool 2, 0.85% in TDA 18 Mixto sub-pool
1, 0.95% in TDA 18 Mixto sub-pool 2,
2.70% in TDA 22 Mixto Sub-pools 1 and 3.0%
in TDA 22 Mixto Sub-pools 2.
Moody's has also revised MILAN CE assumption to 14.2% in
TDA 22 Mixto sub-pool A up 14.2% from 12.5%.
Reflecting the change in performance.
-- Exposure to Counterparties
Moody's rating analysis also took into consideration the exposure to key
transaction counterparties including the roles of servicer, account
bank, and swap provider.
These are multi-servicer transactions. Today's rating
action takes into account commingling exposure to all servicers.
Moody's also assessed the exposure to JPMorgan Chase Bank,
NA (Aa3/P-1) acting as swap counterparty in TDA 20 Mixto and TDA
22 Mixto when revising ratings.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in March 2014.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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) further reduction in sovereign risk, (2) performance
of the underlying collateral that is better than Moody's expected,
(3) deleveraging of the capital structure and (4) improvements in the
credit quality of the transaction counterparties.
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 expects, (3) deterioration
in the notes' available credit enhancement and (4) deterioration in the
credit quality of the transaction counterparties.
LIST OF AFFECTED RATINGS
Issuer: TDA 15 MIXTO, FTA
....EUR228.9M A1 Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR200.8M A2 Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR9.5M B1 Notes, Upgraded
to Baa3 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR11.7M B2 Notes, Upgraded
to Baa2 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 18 MIXTO, FTA
....EUR301.7M A1 Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR95.6M A2 Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR11.3M B1 Notes, Upgraded
to Baa3 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR12.4M B2 Notes, Upgraded
to Baa2 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 20 MIXTO, FTA
....EUR297.1M A1 Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR105.6M A2 Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR7.9M B1 Notes, Confirmed
at Ba1 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR10.4M B2 Notes, Upgraded
to Baa3 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 22 MIXTO, FTA
....EUR57.2M A1b Notes, Upgraded
to A3 (sf); previously on Mar 17, 2014 Baa2 (sf) Placed Under
Review for Possible Upgrade
....EUR168.9M A2a Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR48.8M A2b Notes, Affirmed
A1 (sf); previously on Mar 17, 2014 Upgraded to A1 (sf)
....EUR4.6M B1 Notes, Confirmed
at B1 (sf); previously on Mar 17, 2014 B1 (sf) Placed Under
Review for Possible Upgrade
....EUR14.6M B2 Notes, Upgraded
to Baa2 (sf); previously on Mar 17, 2014 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR3.7M C1 Notes, Affirmed
Caa2 (sf); previously on May 24, 2013 Downgraded to Caa2 (sf)
....EUR6M C2 Notes, Upgraded to Ba3
(sf); previously on Mar 17, 2014 B2 (sf) Placed Under Review
for Possible Upgrade
....EUR2.7M D1 Notes, Affirmed
Caa3 (sf); previously on May 24, 2013 Downgraded to Caa3 (sf)
....EUR5.7M D2 Notes, Upgraded
to B3 (sf); previously on May 24, 2013 Confirmed at Caa1 (sf)
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.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
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.
As the section on loss and cash flow analysis describes, 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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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
Asst Vice President - 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
Christophe de Noaillat
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Alberto Barbachano
VP - Senior Analyst
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 ten notes in four TDA Mixtos Spanish RMBS Transactions
