Milan, December 03, 2020 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of two notes and affirmed the ratings of five notes
in TDA 18 - MIXTO, FTA and TDA 20 - MIXTO, FTA.
The upgrades reflect:
- Better than expected collateral performance
- The increased levels of credit enhancement for the affected notes
Moody's affirmed the ratings of the notes that had sufficient credit enhancement
to maintain the current ratings on the affected notes.
Issuer: TDA 18 - MIXTO, FTA
....EUR301.7M Class A1 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR11.3M Class B1 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR12.4M Class B2 Notes,
Upgraded to Aa3 (sf); previously on Jun 29, 2018 Confirmed
at A1 (sf)
Issuer: TDA 20 - MIXTO, FTA
....EUR297.1M Class A1 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR105.6M Class A2 Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR7.9M Class B1 Notes, Affirmed
Aa3 (sf); previously on Jun 29, 2018 Upgraded to Aa3 (sf)
....EUR10.4M Class B2 Notes,
Upgraded to Aa3 (sf); previously on Jun 29, 2018 Upgraded to
A1 (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 upgrades are prompted by:
- Decrease in key collateral assumptions, namely the portfolio
Expected Loss (EL) and MILAN CE assumptions due to better than expected
collateral performance
- An increase in credit enhancement for the affected tranches
Revision of Key Collateral Assumptions
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
The performance of both transactions has continued to improve since the
last rating actions. 90 days plus arrears currently stand at,
respectively, 0.04%, 0.46%,
0.08% and 0.00% of current pool balance for
TDA 18 - MIXTO, FTA (Pool A), TDA 18 - MIXTO,
FTA (Pool B), TDA 20 - MIXTO, FTA (Pool A) and TDA
20 - MIXTO, FTA (Pool B). Cumulative defaults currently
stand at 1.32%, 1.11%, 0.75%
and 0.25% of original pool balance, respectively,
for TDA 18 - MIXTO, FTA (Pool A), TDA 18 - MIXTO,
FTA (Pool B), TDA 20 - MIXTO, FTA (Pool A) and TDA
20 - MIXTO, FTA (Pool B), largely stable over the past
year for all such pools.
Moody's decreased the expected loss assumption to 0.45%,
0.45%, 0.30% and 0.25%,
respectively, on TDA 18 - MIXTO, FTA (Pool A),
TDA 18 - MIXTO, FTA (Pool B), TDA 20 - MIXTO,
FTA (Pool A) and TDA 20 - MIXTO, FTA (Pool B) as a percentage
of original pool balance from, respectively, 0.85%,
0.86%, 0.60% and 0.35%
due to the improving performance.
Moody's has also assessed loan-by-loan information as part
of its detailed transaction review to determine the credit support consistent
with target rating levels and the volatility of future losses.
As a result, Moody's has decreased the MILAN CE assumptions
to 8.00%, 11.50%, 8.00%
and 10.00%, respectively, for TDA 18 -
MIXTO, FTA (Pool A), TDA 18 - MIXTO, FTA (Pool
B), TDA 20 - MIXTO, FTA (Pool A) and TDA 20 -
MIXTO, FTA (Pool B).
Increase in Available Credit Enhancement
Sequential amortization and non-amortizing reserve funds led to
the increase in the credit enhancement available in both transactions.
The credit enhancement for Class B2 in TDA 18 -- MIXTO, FTA
increased to 17.62% from 12.95% since the
last rating action while the credit enhancement for Class B2 in TDA 20
-- MIXTO, FTA increased to 14.81% from 10.24%
since the last rating action. Class B2 in TDA 18 -- MIXTO,
FTA (Pool B) is currently the senior-most class for that pool as
Class A2 has been completely amortized. The high borrower concentration
in both TDA 18 -- MIXTO, FTA (Pool B) and TDA 20 -- MIXTO,
FTA (Pool B) exposes the ratings on Class B2 in TDA 18 -- MIXTO,
FTA and on Class B2 in TDA 20 -- MIXTO, FTA to more volatility,
limiting therefore the upgrade. Top-20 borrowers represent
over 18% and over 13%, respectively, of TDA
18 -- MIXTO, FTA (Pool B) and TDA 20 -- MIXTO, FTA
(Pool B).
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 Spanish economic activity 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
a rating for an RMBS security 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 that is better than
Moody's expected, (2) an increase in available credit enhancement
compared to the top exposures, (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 that is worse than Moody's expected, (3) deterioration
in 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.
Giovanni Ferretti
Analyst/ML
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Maria Turbica Manrique
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
