Nov 27 - Fitch Ratings has affirmed TDA 19 Mixto Fondo de Titulizacion de
Activos and removed all tranches from Rating Watch Negative (RWN), as follows:
Class A (ISIN ES0377964004): affirmed at 'AA-sf'; Off RWN; Outlook Negative
Class B (ISIN ES0377964012): affirmed at 'AA-sf'; Off RWN; Outlook Negative
Class C (ISIN ES0377964020): affirmed at 'A+sf'; Off RWN; Outlook Stable
Class D (ISIN ES0377964038): affirmed at 'BBB+sf'; Off RWN; Outlook Stable
Fitch placed TDA 19 Mixto on RWN on 16 July 2012 following the downgrade of
Banco Santander to 'BBB+'/Negative/'F2', which acted as the account bank in the
transaction. Fitch has been informed that on 12 September 2012, the account bank
was transferred to BNP Paribas ('A+'/Stable/'F1+'), which is deemed eligible
under Fitch's criteria to perform such duties. For this reason, the agency
removed the RWN.
The affirmation reflects the sufficient credit enhancement available to the
rated notes and the stable performance of the underlying assets to date.
TDA 19 Mixto's notes were issued in 2004, and are backed by loans originated and
serviced by Cajamar ('BBB-'/RWN/'F1+') and Caja Tarragona (not rated).
The volume of loans in arrears has remained limited over the past 12 months. As
of September 2012, the volume of loans in arrears by more than three months
stood at 0.3% of the outstanding pool balance. Meanwhile, cumulative defaulted
loans, defined as loans in arrears by more than 12 months, stood at 0.7% of
initial pool balance and have been fully written-off using excess spread
generated by the structure. Due to the low pipeline of late stage arrears, Fitch
believes that future defaults will remain low and expects excess spread to
remain sufficient for provisioning purposes. For this reason, the agency does
not expect reserve fund draws in the next 18 months.
The reserve fund ceased amortising in March 2008 due to a breach in the arrears
trigger of 1% of current portfolio balance. The notes are currently amortising
pro rata, with the exception of the class D notes, which is no longer able to
amortise pro rata with the rest of the notes due to a breach in an arrears
trigger. Fitch expects the pro rata amortisation of the class A, B and C notes
to limit the further increase in credit enhancement available to the rated notes
and for this reason the Outlook on the class C and D notes is Stable. The
Negative Outlook on the class A and B notes is driven by the rating cap driven
by the sovereign Issuer Default Rating.
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
Sources of information - in addition to those mentioned in the applicable
criteria, the sources of information used to assess these ratings were Investor
Applicable criteria, 'Global Structured Finance Rating Criteria', dated 06
August 2012, 'EMEA Residential Mortgage Loss Criteria' dated 07 June 2012; 'EMEA
Residential Mortgage Loss Criteria Addendum - Spain' dated 24 July 2012;
'Counterparty Criteria for Structured Finance Transactions' and 'Counterparty
Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May
2012 are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Residential Mortgage Loss Criteria
EMEA Criteria Addendum - Spain - Mortgage and Cashflow Assumptions
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum