(Repeat fo additional subscribers)
July 25 (The following statement was released by the rating agency)
Fitch Ratings has affirmed TDA 30, FTA's class A (ISIN ES0377844008) notes at 'A+sf' and
revised the Outlook to Stable from Negative.
The Spanish prime RMBS transaction comprises loans originated and serviced by
Banca March (not rated).
KEY RATING DRIVERS
Stable Arrears Performance
The rating actions reflect the solid performance of the underlying assets over
the past year. As of the latest reporting period, three-month plus arrears
(excluding defaults) were at 0.7% of the current pool balance, while cumulative
gross defaults (defined as loans in arrears for more than 12 months) were at
3.2% of the initial portfolio balance. Both these figures are below Fitch's
Spanish RMBS index for three-month plus arrears (2.1%) and cumulative gross
Fitch notes that 5.3% of loans have had their maturity extended. Data received
from the management company, Titulizacion de Activos SGFT, suggests that 99.3%
of the borrowers that have had their maturity extended are performing. For this
reason, in its analysis of the transaction, Fitch did not apply any additional
default probability adjustments on this segment of the portfolio.
Defaulted Loans Fully Provisioned
The transaction's structure allows for the full provisioning of defaulted loans.
To date, annualised gross excess spread of 0.5% of the outstanding collateral
balance, has enabled the issuer to clear defaults without making any significant
draws on the reserve fund. The reserve fund level is currently at 94% of its
The affirmation also reflects Fitch's expectation that the reserve fund will
replenish in the upcoming months as the pipeline of future defaults continues to
Payment Interruption Risk
The transaction could be exposed to payment interruption risk in the event of
default of the servicer, Banca March. To mitigate this risk, a dedicated
commingling reserve was funded in October 2011, which is currently EUR0.5m. The
issuer can draw funds from this reserve for both commingled amounts and
liquidity shortfalls. Our analysis shows that the liquidity provided by the
reserve fund (EUR7.7m) reduced by the expected loss, and the commingling
reserve, is sufficient to cover three months' worth of stressed senior interest,
net swap payments and senior expenses in the event of a servicer disruption.
Deterioration in asset performance may result from economic factors. An increase
in new defaults and associated pressure on excess spread levels and the reserve
fund, beyond Fitch's assumptions, could result in negative rating action.