Frankfurt am Main, November 10, 2020 -- Moody's Investors Service ("Moody's") has today
upgraded the rating of three Classes of Notes in AyT GÉNOVA HIPOTECARIO
II, FTH and AyT GÉNOVA HIPOTECARIO VI, FTH.
The rating action reflects increased levels of credit enhancement for
the affected Notes due to deleveraging and better than expected collateral
performance. Moody's also affirmed the ratings of three Classes
of Notes which had sufficient credit enhancement to maintain the current
ratings on the affected Notes.
Issuer: AyT GÉNOVA HIPOTECARIO II, FTH
....EUR 776M Class A Notes, Affirmed
Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1 (sf)
....EUR 24M Class B Notes, Upgraded
to Aa2 (sf); previously on Jun 29, 2018 Upgraded to Aa3 (sf)
Issuer: AyT GÉNOVA HIPOTECARIO VI, FTH
....EUR 524M Class A2 Notes, Affirmed
Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1 (sf)
....EUR 7M Class B Notes, Affirmed A2
(sf); previously on Jun 29, 2018 Upgraded to A2 (sf)
....EUR 7.7M Class C Notes, Upgraded
to Baa1 (sf); previously on Jun 29, 2018 Upgraded to Baa2 (sf)
....EUR 7.3M Class D Notes, Upgraded
to Baa3 (sf); previously on Jun 29, 2018 Upgraded to Ba2 (sf)
Maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
The rating action is prompted by an increase in credit enhancement for
the affected tranches due to deleveraging and decreased key collateral
assumptions, namely the portfolio Expected Loss (EL) assumptions
due to better than expected collateral performance.
Revision of Key Collateral Assumptions:
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolios reflecting the collateral performance to
date.
The performance of AyT GÉNOVA HIPOTECARIO II, FTH and AyT
GÉNOVA HIPOTECARIO VI, FTH has been strong since the last
rating action in June 2018 with 60 days plus delinquencies standing at
0.11% and 0.01% respectively. Cumulative
defaults remain low with 0.21% and 0.44% of
original pool balance respectively.
Moody's decreased the expected loss assumption for AyT GÉNOVA HIPOTECARIO
II, FTH and AyT GÉNOVA HIPOTECARIO VI, FTH to 0.15%
and 0.20% as a percentage of original pool balance from
0.21% and from 0.47% respectively due to solid
performance.
Increase in Available Credit Enhancement:
Sequential amortization led to the increase in the credit enhancement
available for both AyT GÉNOVA HIPOTECARIO II, FTH and AyT
GÉNOVA HIPOTECARIO VI, FTH.
For instance, the credit enhancement for the Class B of AyT GÉNOVA
HIPOTECARIO II, FTH affected by today's rating action increased
to 10.32% from 7.48% since the last rating
action in June 2018.
The credit enhancement for the Class C and for Class D of AyT GÉNOVA
HIPOTECARIO VI, FTH has increased to 6.78% and 4.48%
from 5.22% and 3.13% respectively since last
rating action in June 2018.
Today's rating action also took into consideration the Notes'
exposure to relevant counterparties, such as swap provider in case
of both AyT GÉNOVA HIPOTECARIO II, FTH and AyT GÉNOVA
HIPOTECARIO VI, FTH.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of consumer assets from the
current weak economic activity in Spain and a gradual recovery for the
coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in May 2020 and available
at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1228742.
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 is better
than Moody's expected; (2) an increase in 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 is worse than expected by Moody's; (3)
a deterioration of the Notes' available credit enhancement; and (4)
deterioration in the credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
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.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
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 https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
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.
Kristina Zvierievych
Associate Lead Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
