OREANDA-NEWS. August 10, 2015. Fitch Ratings has affirmed 28 tranches, upgraded eight tranches and revised the Outlook to Stable from Negative on nine tranches of 11 TDA CAM transactions. The series of Spanish RMBS transactions comprise loans originated by Banco CAM (now a subsidiary of Banco de Sabadell). A full list of rating actions is at the end of this commentary.

KEY RATING DRIVERS
Declining Arrears Levels
All deals have reported marginal increases in defaults and declining arrears in the past year. The decline in arrears in TDA CAM 5-9 is mainly caused by late-stage arrears rolling through to default, and not being replaced by new arrears cases. This is evidenced by the gross cumulative defaults, which as of the latest payment dates, had increased to between 6.8% and 14.9% from between 6.4% and 14.1% 12 months ago (TDA CAM 5 and 9, respectively). In contrast, the more seasoned transactions (TDA CAM 1-4) have reported smaller increases in defaults, on average 13bp, and currently stand below the Fitch Spanish RMBS average of 5%.

The improved macroeconomic environment has meant that fewer borrowers are falling into early-stage arrears. With late stage arrears rolling through to default, the transactions continue to report a decline in arrears by more than three months. As of May 2015, three months plus arrears remained below the Spanish average of 1.5%. They were reported between 0.3% and 1.0% down from between 0.6% and 2.2% 12 months ago (TDA CAM 1 and 6, respectively).

Due to fewer expected defaults in the upcoming periods, Fitch expects TDA CAM 2-5 and TDA CAM 7-8 to be better able to meet provisioning requirements with excess spread. This should result in stabilisation, if not a reduction, of the principal deficiency ledgers (PDL) in TDA CAM 5, 7 and 8 and further replenishment of the reserve fund in TDA CAM 2, 3 and 4. The expectation of fewer defaults, stable arrears, decreasing PDLs and improved reserve fund levels are the primary drivers of the affirmations of these transactions and the revision of the Outlooks to Stable. In contrast TDA CAM 6 and 9 have not shown a significant reduction in their outstanding PDL levels, which is reflected in the Negative Outlooks on the notes.

TDA CAM 1, 11 and 12 have fully funded reserve funds. In line with the reduction in arrears and the low level of defaults, this led to the upgrade of the A and B notes of TDA CAM 11 and 12.

Guaranteed Liquidity Line
The guaranteed liquidity line for the scheduled amortisation of the class A2 notes of TDA CAM 6, provided by Credit Agricole (A/Positive/F1) led to their affirmation. A fully drawn reserve fund and lack of liquidity in the transaction, has left the transaction exposed to payment interruption risks as the liquidity line only guarantees principal and not interest payments. As a result, the notes are rated 'BBB-sf', rather than being linked to Credit Agricole's rating.

Lack of Clarity over Recoveries
Fitch previously stated that it believed that the recoveries in these transactions have been a result of the originator purchasing defaulted assets at prices that are preferential to the issuers, thereby boosting recoveries. This view was based on the absence of properties in possession at the SPV level and the stronger than average recovery rates. As of the latest payment dates, nine of the 11 deals report properties in possession at the SPV level. However, given the lack of clarity on recoveries, Fitch conducted a sensitivity analysis on the recovery rates needed to sustain the ratings. Fitch found that in most cases the recovery levels needed to maintain the notes' ratings can sustain significant stress levels, which is reflected in the rating actions.

RATING SENSITIVITIES
A worsening of the Spanish macroeconomic environment, especially employment conditions, or an abrupt shift in interest rates could jeopardise the ability of the underlying borrowers to meet their payment obligations. Fitch may also take negative rating action if draws on the reserve fund occur on the next payment dates and are in excess of our assumptions, as this may compromise credit protection for the junior classes.

Given the fully drawn reserve funds in TDA CAM 5-9 and resulting absence of liquidity, these transactions are exposed to payment interruption. As a result Fitch is unlikely to upgrade the senior notes in these transactions until the reserve funds have been sufficiently replenished to meet two periods of interest payments under Fitch's stressed assumptions.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pools and the transactions. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transactions' initial closing. The subsequent performance of the transactions over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

Sources of Information:
-Investor and servicer reports since the close of the deals and provided by Titulizacion de Activos S.G.F.T, S.A.
- Loan-by-loan data provided by:
Titulizacion de Activos S.G.F.T, S.A. and sourced from the European Data Warehouse with the following cut-off dates:
- March 31, 2015 for TDA CAM 1-3, 5, 6 and 7
- April 30, 2015 for TDA CAM 7-8
- May 31, 2015 for TDA CAM 4, 11 and 12

Models
The model below was used in the analysis. Click on the link for a description of the model.

EMEA RMBS Surveillance Model.

The rating actions are as follows:

TDA CAM 1
Class A (ES0338448006) affirmed at 'AA+sf', Outlook Stable
Class B (ES0338448014) affirmed at 'Asf', Outlook revised to Stable from Negative

TDA CAM 2
Class A (ES0338449004) affirmed at 'AA+sf', Outlook Stable
Class B (ES0338449012) affirmed at 'BBBsf', Outlook revised to Stable from Negative

TDA CAM 3
Class A (ES0377990009) affirmed at 'AA+sf', Outlook Stable
Class B (ES0377990017) affirmed at 'BBB-sf', Outlook revised to Stable from Negative

TDA CAM 4
Class A (ES0377991007) affirmed at 'AA-sf', Outlook revised to Stable from Negative
Class B (ES0377991015) affirmed at 'BBsf', Outlook revised to Stable from Negative

TDA CAM 5
Class A (ES0377992005) affirmed at 'BBBsf', Outlook revised to Stable from Negative
Class B (ES0377992013) affirmed at 'CCCsf', Recovery Estimate 95%

TDA CAM 6
Class A2 (ES0377993011) affirmed at 'BBB-sf', Outlook Stable
Class A3 (ES0377993029) affirmed at 'BBsf', Outlook Negative
Class B (ES0377993037) affirmed at 'CCCsf', Recovery Estimate 30%

TDA CAM 7
Class A2 (ES0377994019) affirmed at 'BBB-sf', Outlook revised to Stable from Negative
Class A3 (ES0377994027) affirmed at 'BBB-sf', Outlook revised to Stable from Negative
Class B (ES0377994035) affirmed at 'CCCsf', Recovery Estimate 60%

TDA CAM 8
Class A (ES0377966009) affirmed at 'BB-sf', Outlook revised to Stable from Negative
Class B (ES0377966017) affirmed at 'CCCsf', Recovery Estimate 50%
Class C (ES0377966025) affirmed at 'CCsf', Recovery Estimate 0%
Class D (ES0377966033) affirmed at 'CCsf', Recovery Estimate 0%

TDA CAM 9
Class A1 (ES0377955002) affirmed at 'Bsf', Outlook Negative
Class A2 (ES0377955010) affirmed at 'Bsf', Outlook Negative
Class A3 (ES0377955028) affirmed at 'Bsf', Outlook Negative
Class B (ES0377955036) affirmed at 'CCCsf', Recovery Estimate 15%
Class C (ES0377955044) affirmed at 'CCsf', Recovery Estimate 0%
Class D (ES0377955051) affirmed at 'CCsf', Recovery Estimate 0%

TDA CAM 11
Class A2 (ES0377845013) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class A3 (ES0377845021) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class A4 (ES0377845039) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class B (ES0377845047) upgraded to 'BBB+sf' from 'BBBsf', Outlook Stable
Class C (ES0377845054) affirmed at 'Bsf'; Outlook Stable

TDA CAM 12
Class A2 (ES0377104015) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class A3 (ES0377104023) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class A4 (ES0377104031) upgraded to 'Asf' from 'A-sf', Outlook Stable
Class B (ES0377104049) upgraded to 'BBB+sf' from 'BBBsf', Outlook Stable
Class C (ES0377104056) affirmed at 'Bsf'; Outlook Stable