(Repeat fo additional subscribers)
July 25 (Reuters) - (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).
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 defaults (4.6%).
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 target amount.
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 decline.
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.