Madrid, March 03, 2015 -- Moody's Investors Service has today upgraded the rating of twelve notes,
confirmed the rating of two notes and affirmed the rating of one note
in the five Spanish residential mortgage-backed securities (RMBS)
transactions: IM CAJAMAR 1, FTA, RURAL HIPOTECARIO IX,
FTA, RURAL HIPOTECARIO X, FTA, TDA CAM 8, FTA
and TDA CAM 9, FTA.
Today's rating action concludes the review of fourteen notes initiated
on 23 January 2015, following the upgrade of the Spanish country
ceiling to Aa2 from A1 (https://www.moodys.com/research/Moodys-takes-rating-actions-on-Irish-Italian-Portuguese-Spanish-ABSRMBS--PR_316959).
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's rating upgrades reflect (1) the increase in the Spanish local-currency
country ceiling to Aa2, (2) sufficiency of credit enhancement in
the affected transactions for the revised rating levels and, (3)
in the case of IM CAJAMAR 1, FTA, TDA CAM 8, FTA and
TDA CAM 9, FTA, the reduction in the portfolio credit enhancement
(MILAN CE).
Today's confirmations and affirmation reflect that the current credit
enhancement levels commensurate with the current ratings.
-- Reduced Sovereign Risk
The country ceilings reflect a range of risks that issuers in any jurisdiction
are exposed to, including economic, legal and political risks.
On 20 January 2015, Moody's announced a six-notch uplift
between a government bond rating and its country risk ceiling for Spain.
As a result, the maximum achievable rating for structured finance
and covered bond transactions was increased to Aa2 from A1 for Spain.
-- Key collateral assumptions
The expected loss assumption has not been changed in any of these five
transactions as the performance is in line with Moody's expectations.
On 20 January, Moody's announced that the minimum portfolio credit
enhancement (CE) is no longer applicable for most EMEA markets following
the updates to its ABS and RMBS rating methodologies (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_316183).
As a result, the MILAN CE in IM Cajamar 1, FTA has been decreased
to 7.5% from 10%.
In the other four transactions the removal of the minimum portfolio CE
has not had any impact, as the MILAN CE assumption is driven by
the expected loss multiple. The MILAN CE has been decreased in
TDA CAM 8, FTA to 17% from 20% and in TDA CAM 9,
FTA to 20% from 23% due mainly to the decrease in the Expected
Loss over current pool balance after the realization of defaults since
the last review. The MILAN CE assumption has been kept at 15%
for Rural Hipotecario IX, FTA and Rural Hipotecario X, FTA.
-- Sequential to Pro rata trigger
In our analysis of Rural Hipotecario IX, FTA, we have taken
into consideration a performance trigger which could switch the amortization
of the Class A notes to pro rata if the outstanding balance of the non
delinquent mortgage loans, increased by the mortgage loan principal
repayment income amount received during the Determination Period preceding
the relevant Payment Date, is lower than the sum of the outstanding
principal balance of Class A notes.
-- 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.
In IM Cajamar 1, FTA today's rating actions takes into account
the servicer commingling exposure to Caja Rurales Unidas (NR) and the
swap counterparty exposure to Banco Cooperativo Espanol, S.A.
(Ba2/NP).
In Rural Hipotecario IX, FTA and Rural Hipotecario X, FTA
today's rating consider the exposure to Banco Cooperativo Espanol,
S.A. (Ba2/NP) as the swap counterparty, and the commingling
exposure to multiple servicers, most of them small entities non
rated by Moody's.
In TDA CAM 8, FTA and TDA CAM 9, FTA today's rating
actions take into consideration the servicer commingling exposure to Banco
Sabadell S.A. (Ba2/NP).
--Principal Methodology
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
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: IM CAJAMAR 1, FTA
....EUR353.3M A Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR9.3M B Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
....EUR4.1M C Notes, Upgraded
to Ba1 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR3.3M D Notes, Confirmed
at B3 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under
Review for Possible Upgrade
Issuer: RURAL HIPOTECARIO IX, FTA
....EUR1021.7M A2 Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR210M A3 Notes, Upgraded to A2
(sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under Review
for Possible Upgrade
....EUR29.3M B Notes, Upgraded
to B1 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under
Review for Possible Upgrade
....EUR28.5M C Notes, Affirmed
Caa3 (sf); previously on Apr 29, 2013 Downgraded to Caa3 (sf)
Issuer: RURAL HIPOTECARIO X, FTA
....EUR1788.8M A Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
....EUR37.6M B Notes, Upgraded
to Ba1 (sf); previously on Jan 23, 2015 B1 (sf) Placed Under
Review for Possible Upgrade
....EUR53.6M C Notes, Confirmed
at Caa1 (sf); previously on Jan 23, 2015 Caa1 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA CAM 8, FTA
....EUR1635.4M A Notes, Upgraded
to Baa3 (sf); previously on Jan 23, 2015 Ba2 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA CAM 9, FTA
....EUR250M A1 Notes, Upgraded to Ba1
(sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under Review
for Possible Upgrade
....EUR943.5M A2 Notes, Upgraded
to Ba1 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR230M A3 Notes, Upgraded to Ba1
(sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under Review
for Possible Upgrade
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.
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.
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 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
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
Masako Oshima
Senior Vice President
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Ruslan Akhmetshin
Associate Analyst 1
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 the rating of twelve notes and confirms the rating of two notes in five Spanish RMBS transactions
