London, 02 March 2015 -- Moody's Investors Service has today upgraded the ratings of twenty six
notes and confirmed the rating of one note in seven Spanish residential
mortgage-backed securities (RMBS) transactions: TDA 14-MIXTO,
FTA (TDA 14-MIXTO); TDA 15-MIXTO, FTA (TDA 15-MIXTO);
TDA 16-MIXTO, FTA (TDA 16-MIXTO); TDA 17-MIXTO,
FTA (TDA 17-MIXTO); TDA 18-MIXTO, FTA (TDA 18-MIXTO);
TDA 20-MIXTO, FTA (TDA 20-MIXTO) and TDA 31,
FTA (TDA 31).
Today's rating action concludes the review of twenty seven 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) the reduction in the portfolio credit
enhancement (MILAN CE) in all transactions except Group 2 of TDA 16-MIXTO
and (3) in case of group 2 of TDA 17-MIXTO the decrease of the
expected loss assumption due to better colateral performance than expected.
The rating confirmation indicates that the credit enhancement is commensurate
with current rating for the affected class of notes.
-- 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
During this rating review, Moody's reassessed the loan-by-loan
information using the latest pool cut files to determine each transaction's
MILAN CE. Additionally, on 20 January, Moody's announced
that the mínimum portfolio CE is no longer applicable for most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).
Following the reassessment and the updated methodology, Moody's
reduced the MILAN CE for most of the deals (except for TDA 16-MIXTO
group 2 for which it was maintained) as shown below:
- TDA 14-MIXTO: to 8.0% from 10.0%
for Group 1; to 10.0% from 11.1% for
Group 2,
- TDA 15-MIXTO: to 9.0% from 10.0%
for Group 1; to 11.0% from 12.8% for
Group 2,
- TDA 16-MIXTO: to 9.0% from 10.0%
for Group 1,
- TDA 17-MIXTO: to 9.0% from 10.0%
for Group 1; to 16.0% from 21.0% for
Group 2,
- TDA 18-MIXTO: to 9.0% from 10.0%
for Group 1; to 12.5% from 14.0% for
Group 2,
- TDA 20-MIXTO: to 9.0% from 10.0%
for Group 1; to 11.0% from 12.0% for
Group 2,
- TDA 31: to 17.0% from 20.4%.
Moody's reassessed its lifetime loss expectation taking into account the
collateral performance of the transactions to date. Moody's
increased the expected loss assumption on TDA 15-MIXTO Group 2
to 0.796% from 0.73% and on TDA 16-MIXTO
Group 2 to 0.98% from 0.90% as of original
pool balance. Moody's decreased the expected loss assumption
on TDA 17-MIXTO Group 2 to 1.263% from 1.50%.
Expected loss assumption was maintained for the other transactions and
groups.
-- Exposure to Counterparties
Moody's rating analysis also took into consideration the exposure to key
transaction counterparties including servicer, account bank and
swap provider.
Different entities are acting as servicers of TDA 14-MIXTO,
TDA 15-MIXTO, TDA 16-MIXTO, TDA 17-MIXTO,
TDA 18-MIXTO and TDA 20-MIXTO. Today's rating
action takes into account the servicer commingling exposure to the relevant
entities for each of them as well as to Banco Sabadell, S.A.
(Ba2/NP) for TDA 31.
Moody's has also assessed the exposure to JP Morgan Chase Bank,
N.A. (Aa3/P-1) and HSBC Bank plc (Aa3/P-1)
acting as swap counterparties for TDA 20-MIXTO and TDA 31 respectively.
The exposure to the swap counterparties does not constraint any rating
in these two transactions.
--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: TDA 14-MIXTO, FTA
....EUR326.4M A3 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR126.6M ANC Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR18.7M B1 Notes, Upgraded
to Aa3 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR8.1M BNC Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 15-MIXTO, FTA
....EUR228.9M A1 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR200.8M A2 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR9.5M B1 Notes, Upgraded
to Baa1 (sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
....EUR11.7M B2 Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 16-MIXTO, FTA
....EUR377.4M A1 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR130.4M A2 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR15.1M B1 Notes, Upgraded
to Aa3 (sf); previously on Jan 23, 2015 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR9.1M B2 Notes, Upgraded
to Aa3 (sf); previously on Jan 23, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 17-MIXTO, FTA
....EUR395M A1 Notes, Upgraded to Aa2
(sf); previously on Jan 23, 2015 A1 (sf) Placed Under Review
for Possible Upgrade
....EUR43.8M A2 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR14M B1 Notes, Upgraded to Aa2
(sf); previously on Jan 23, 2015 A3 (sf) Placed Under Review
for Possible Upgrade
....EUR2.2M B2 Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 A3 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 18-MIXTO, FTA
....EUR301.7M A1 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR95.6M A2 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR11.3M B1 Notes, Upgraded
to A1 (sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
....EUR12.4M B2 Notes, Upgraded
to A3 (sf); previously on Jan 23, 2015 Baa2 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 20-MIXTO, FTA
....EUR297.1M A1 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR105.6M A2 Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR7.9M B1 Notes, Upgraded
to Baa2 (sf); previously on Jan 23, 2015 Ba1 (sf) Placed Under
Review for Possible Upgrade
....EUR10.4M B2 Notes, Upgraded
to Baa2 (sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under
Review for Possible Upgrade
Issuer: TDA 31, FTA
....EUR280.5M A Notes, Upgraded
to Aa2 (sf); previously on Jan 23, 2015 A1 (sf) Placed Under
Review for Possible Upgrade
....EUR6M B Notes, Confirmed at Baa3
(sf); previously on Jan 23, 2015 Baa3 (sf) Placed Under Review
for Possible Upgrade
....EUR13.5M C Notes, Upgraded
to B2 (sf); previously on Jan 23, 2015 B3 (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.
Cristina Quintana
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Barbara Rismondo
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Maria Manrique Turbica
AVP - Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's upgrades the ratings of twenty six notes and confirms the rating of one note in seven Spanish RMBS transactions
