Madrid, November 18, 2020 -- Moody's Investors Service ("Moody's") has today assigned the following
definitive ratings to the debts issued by CAIXABANK PYMES 12, FONDO
DE TITULIZACION (the Issuer):
....EUR 2,193M Series A Notes due September
2062, Definitive Rating Assigned Aa1 (sf)
....EUR 357M Series B Notes due September
2062, Definitive Rating Assigned B2 (sf)
The transaction is a static cash securitisation of loans granted by CaixaBank,
S.A. ("CaixaBank", Long Term Deposit Rating:
A3 /Short Term Deposit Rating: P-2, Long Term Counterparty
Risk Assessment: A3(cr) /Short Term Counterparty Risk Assessment:
P-2(cr)) to corporates, small and medium-sized enterprises
(SMEs) and self-employed individuals located in Spain.
RATINGS RATIONALE
The ratings of the notes are primarily based on the analysis of the credit
quality of the underlying portfolio, the structural integrity of
the transaction, the roles of external counterparties and the protection
provided by credit enhancement.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of small businesses from
the current weak Spanish economic activity and a gradual recovery for
the coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
In Moody's view, the strong credit positive features of this deal
include, among others: (i) performance of CaixaBank originated
transactions have been better than the average observed in the Spanish
market; (ii) granular and diversified pool across industry sectors;
(iii) around 23% of the debtors are corporate; (iv) refinanced
and restructured assets have been excluded from the pool and (v) 14%
subordination under Series A Notes. However, the transaction
also presents challenging features, such as: (i) significant
regional exposure to Catalonia at around 27% of the pool volume;
(ii) strong linkage to CaixaBank as it holds several roles in the transaction
(originator, servicer and accounts bank) and (iii) no interest rate
hedge mechanism being in place.
- Key collateral assumptions:
Mean default rate: Moody's assumed a mean default rate of 8.7%
over a weighted average life of 3.2 years (equivalent to a Ba3
proxy rating as per Moody's Idealized Default Rates). This assumption
is based on: (1) the available historical vintage data, (2)
the performance of the previous transactions originated by CaixaBank and
(3) the characteristics of the loan-by-loan portfolio information.
Moody's also took into account the current economic environment and its
potential impact on the portfolio's future performance, as well
as industry outlooks or past observed cyclicality of sector-specific
delinquency and default rates.
Default rate volatility: Moody's assumed a coefficient of variation
(i.e. the ratio of standard deviation over the mean default
rate explained above) of 44.2%, as a result of the
analysis of the portfolio concentrations in terms of single obligors and
industry sectors.
Recovery rate: Moody's assumed a stochastic recovery rate with a
38% mean, primarily based on the characteristics of the collateral-specific
loan-by-loan portfolio information, complemented by
the available historical vintage data.
Portfolio credit enhancement: the aforementioned assumptions correspond
to a portfolio credit enhancement of 19%, that take into
account the current local currency country risk ceiling (LCC) for Spain
of Aa1.
As of October 2020, the audited provisional portfolio was composed
of 31,024 contracts amounting to EUR 2,700 million.
The top industry sector in the pool, in terms of Moody's industry
classification, is the Beverage, Food & Tobacco sector
(24.7%). The top borrower group represents 1.19%
of the portfolio and the effective number of obligors is over 1,000.
The assets were originated mainly between 2019 and 2020 and have a weighted
average seasoning of 1.14 years and a weighted average remaining
term of 5.58 years. Only 0.55% of the portfolio
has an active payment moratorium due to coronavirus. The interest
rate is floating for 50.39% of the pool while the remaining
part of the pool bears a fixed interest rate. The weighted average
interest rate of the pool is 1.57%. Geographically,
the pool is concentrated mostly in the regions of Catalonia (27%)
and Madrid (12%). At closing, assets in arrears up
to 30 days will not exceed 5% of the pool balance, while
assets in arrears between 30 and 90 days will be limited to up to 1%
of the pool balance and assets in arrears for more than 90 days will be
excluded from the final pool.
Around 11% of the portfolio is secured by mortgages over different
types of properties.
-Key transaction structure features:
Reserve fund: The transaction benefits from a EUR 127.5 million
reserve fund, equivalent to 5% of the balance of the Series
A and Series B Notes at closing. The reserve fund provides both
credit and liquidity protection to the Notes.
-Counterparty risk analysis:
CaixaBank will act as servicer of the loans for the Issuer, while
CaixaBank Titulizacion S.G.F.T., S.A.U.
(NR) will be the management company (Gestora) of the transaction.
All of the payments under the assets in the securitised pool are paid
into the collection account at CaixaBank. There is a daily sweep
of the funds held in the collection account into the Issuer account.
The Issuer account is held at CaixaBank with a transfer requirement if
the rating of the account bank falls below Ba2.
-Principal Methodology:
The principal methodology used in these ratings was "Moody's Global Approach
to Rating SME Balance Sheet Securitizations" published in May 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1225856.
Alternatively, please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
-Factors that would lead to an upgrade or downgrade of the ratings:
The notes' ratings are sensitive to the performance of the underlying
portfolio, which in turn depends on economic and credit conditions
that may change. The evolution of the associated counterparties
risk, the level of credit enhancement and the Spain's country risk
could also impact the notes' ratings.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and
sensitivity analysis, see the sections Methodology Assumptions and
Sensitivity to Assumptions in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security or pursuant
to a program for which the ratings are derived exclusively from existing
ratings in accordance with Moody's rating practices. For ratings
issued on a support provider, this announcement provides certain
regulatory disclosures in relation to the credit rating action on the
support provider and in relation to each particular credit rating action
for securities that derive their credit ratings from the support provider's
credit rating. For provisional ratings, this announcement
provides certain regulatory disclosures in relation to the provisional
rating assigned, and in relation to a definitive rating that may
be assigned subsequent to the final issuance of the debt, in each
case where the transaction structure and terms have not changed prior
to the assignment of the definitive rating in a manner that would have
affected the rating. For further information please see the ratings
tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1133569.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Luis Mozos
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Volker Gulde
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Espana, S.A.
Calle Principe de Vergara, 131, 6 Planta
Madrid 28002
Spain
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
