Madrid, February 18, 2015 -- Moody's Investors Service has today upgraded the ratings of 11 notes and
affirmed the ratings of 2 notes in 4 Spanish residential mortgage-backed
securities (RMBS) transactions: AyT GÉNOVA HIPOTECARIO IV,
FTH , AyT GÉNOVA HIPOTECARIO VI, FTH, AyT GÉNOVA
HIPOTECARIO IX, FTH and AyT HIPOTECARIO MIXTO V, FTA.
Today's rating action concludes the review of 11 notes initiated on 23
January 2015, following the upgrade of the Spanish country ceiling
to Aa2 from A1. (http://www.moodys.com/viewresearchdoc.aspx?docid=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 AyT GÉNOVA HIPOTECARIO IV, VI and IX, FTH the
reduction in the portfolio credit enhancement (MILAN CE) following the
removal of minimum country requirements.
Today's affirmations reflect that the current credit enhancement is sufficient
to maintain 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
transactions was increased to Aa2 (sf) from A1(sf) for Spain.
-- Revision of Key collateral assumptions
Moody's has reassessed its lifetime loss expectation taking into account
the collateral performance of the four transactions to date. Expected
Losses on Original Balances have not been updated in any of the deals
as the performance of the underlying asset portfolio remains in line with
Moody's assumptions.
As part of the review, Moody's has assessed the loan-by-loan
information for the four pools to determine the MILAN CE. On 20
January, Moody's announced that the minimum portfolio CE is no longer
applicable for most EMEA markets following the updates to its ABS and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 Moody's reduced the MILAN CE to 6% from 10%,
for AyT GÉNOVA HIPOTECARIO IV, VI and IX, FTH.
AyT HIPOTECARIO MIXTO V, FTA Milan CE assumption was maintained
at 15%.
-- Pro-rata versus sequential amortization
There is a performance trigger in the four transactions that could switch
the amortization and loss allocation from pro-rata to sequential
among senior and junior notes. The trigger will be hit once the
reserve fund falls below its required level. For AyT GÉNOVA
HIPOTECARIO IV, FTH, which recently switched to sequential,
it could revert to pro-rata amortization in case the Reserve Fund
rebuilds to target level.
For AyT GÉNOVA HIPOTECARIO VI, FTH, Moody's believe
notes will continue to pay pro-rata, given the low level
of delinquencies and the fully funded Reserve Fund but the possibility
to revert to sequential amortization was reflected in modelling.
For AyT GÉNOVA HIPOTECARIO IX, FTH and Ayt HIPOTECARIO MIXTO
V, FTA, Moody's believe notes will continue to pay sequentially
though possibility to revert to pro-rata was also reflected in
the modelling.
-- 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.
Today's rating action takes into account the servicer commingling exposure
to Barclays Bank, S.A. (NR) for AyT GÉNOVA
HIPOTECARIO IV, VI and IX, FTH.
Today's rating action takes into account the servicer commingling exposure
to Banco Bilbao Vizcaya Argentaria, S.A. (Baa2/P-2),
Banco Mare Nostrum (NR) and Caixabank (Baa3/P-3) for AyT HIPOTECARIO
MIXTO V, FTA.
--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: AyT GÉNOVA HIPOTECARIO IV, FTH
....EUR776M Class A Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR24M Class B Notes, Upgraded to
Ba1 (sf); previously on Jan 23, 2015 B1 (sf) Placed Under Review
for Possible Upgrade
Issuer: AyT GÉNOVA HIPOTECARIO VI, FTH
....EUR524M Class A2 Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR7M Class B Notes, Upgraded to
Ba1 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR7.7M Class C Notes, Upgraded
to B1 (sf); previously on Jan 23, 2015 B2 (sf) Placed Under
Review for Possible Upgrade
....EUR7.3M Class D Notes, Affirmed
B3 (sf); previously on Sep 25, 2014 Confirmed at B3 (sf)
Issuer: AyT GÉNOVA HIPOTECARIO IX, FTH
....EUR750M Class A2 Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR11M Class B Notes, Upgraded to
Baa3 (sf); previously on Jan 23, 2015 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR10.8M Class C Notes, Upgraded
to Ba3 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under
Review for Possible Upgrade
....EUR10.7M Class D Notes, Upgraded
to B3 (sf); previously on Jan 23, 2015 Caa1 (sf) Placed Under
Review for Possible Upgrade
Issuer: AyT HIPOTECARIO MIXTO V, FTA
....EUR649.4M Class A Notes,
Upgraded to Baa2 (sf); previously on Jan 23, 2015 Baa3 (sf)
Placed Under Review for Possible Upgrade
....EUR12.2M Class B Notes, Upgraded
to B2 (sf); previously on Jan 23, 2015 B3 (sf) Placed Under
Review for Possible Upgrade
....EUR13.4M Class C Notes, Affirmed
Caa3 (sf); previously on May 14, 2014 Affirmed Caa3 (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.
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
Nadia Lamniai
Associate Analyst 2
Structured Finance Group
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
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 ratings of 11 notes in 4 Spanish RMBS transactions