(Repeat for additional subscribers)
April 29 (The following statement was released by the rating agency)
Fitch Ratings has affirmed four tranches of TDA 29,
FTA, a Spanish prime RMBS transaction comprising loans originated and serviced
by Banca March and Banco de Sabadell.
A full list of rating actions is at the end of this commentary.
KEY RATING DRIVERS
Cumulative Defaults on the Rise
Performance of the collateral has deteriorated sharply over the past 12 months
with gross cumulative defaults rising to 3.9% of the initial collateral balance
from 2.87%. This level of defaults, however, is still below the average (4.34%)
for other Fitch-rated Spanish RMBS. The weaker asset performance has prevented
class A notes from gaining additional credit enhancement through deleveraging,
while reducing the class B and C credit enhancement.
Nevertheless, available and projected levels of credit enhancement are
sufficient to withstand the credit losses at their rating levels.
Principal Deficiency to Increase
Fitch expects the balance of un-provisioned defaults to increase over the next
12 months as late stage arrears migrate into defaults and also due to likely low
recoveries on the cumulative defaults amid a weak Spanish residential property
market. The agency notes that recovery cash flows obtained to date have not been
from the sale of repossessed properties. These factors underline the Negative
Outlooks on the class A and B notes and the 0% recovery estimate on the class C
and D notes.
The transaction's structure allows for the full provisioning of defaulted loans,
which are defined as loans in arrears for more than 12 months. Because gross
excess spread (0.54% per annum as of the latest payment date) and recoveries on
defaulted loans have been insufficient to fully cover period defaults, the
reserve fund has been depleted for over a year, and the balance of
un-provisioned defaults has accumulated to 0.77% of the current note balance.
Payment Interruption and Commingling Risks
Fitch believes the transaction is exposed to payment interruption and
commingling risks in the event of a servicer disruption. Under a servicer
default scenario, Fitch views the liquidity available in the transaction as
insufficient to fully cover senior fees, net swap payments and senior note
interest due amounts for at least one or two interest payment dates, and
additionally commingling losses could be crystallised because collection banks
(Banca March and Banco de Sabadell) retain those monies for one week before
transferring them to the SPV bank account banks, Barclays Bank plc (A/Stable/F1)
and BNP Paribas (A+/Stable/F1) Spanish branches.
Deterioration in asset performance may result from economic factors, in
particular the increasing effects of unemployment. An increase in new defaults
and associated pressure on excess spread levels and reserve funds beyond Fitch's
expectations could result in negative rating actions.
The rating actions are as follows:
TDA 29, FTA
Class A2 (ES0377931011) affirmed at 'BBBsf' ; Outlook Negative
Class B (ES0377931029) affirmed at 'Bsf'; Outlook Negative
Class C (ES0377931037) affirmed at 'CCCsf'; Recovery Estimate 0%
Class D (ES0377931045) affirmed at 'CCsf'; Recovery Estimate 0%