Milan, February 24, 2020 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of four tranches, downgraded the ratings of
two tranches and affirmed nine tranches in three Spanish RMBS transactions.
The upgrade action reflects the increased levels of credit enhancement
for the affected notes in CAIXA PENEDES 2 TDA, FTA, TDA 19
MIXTO, FTA and TDA 22 MIXTO, FTA (backed by sub-pool
B). The downgrade action reflects the decreased levels of credit
enhancement for the affected notes in TDA 22 MIXTO, FTA (backed
by sub-pool A).
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain the current ratings on the affected Notes.
Issuer: CAIXA PENEDES 2 TDA, FTA
....EUR 726.3M Class A Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR 7.2M Class B Notes, Upgraded
to Aa3 (sf); previously on Jun 29, 2018 Upgraded to A3 (sf)
....EUR 16.5M Class C Notes,
Upgraded to Baa2 (sf); previously on Jun 29, 2018 Affirmed
Ba1 (sf)
Issuer: TDA 19 MIXTO, FTA
....EUR 567.3M Class A Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR 19.2M Class B Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR 6.0M Class C Notes, Affirmed
Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1 (sf)
....EUR 7.5M Class D Notes, Upgraded
to Aa3 (sf); previously on Jun 29, 2018 Upgraded to A2 (sf)
Issuer: TDA 22 MIXTO, FTA
....EUR 57.2M Class A1b Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Upgraded to Aa1
(sf)
....EUR 4.6M Class B1 Notes,
Affirmed Baa3 (sf); previously on Jun 29, 2018 Confirmed at
Baa3 (sf)
....EUR 3.7M Class C1 Notes,
Downgraded to Caa3 (sf); previously on Jun 29, 2018 Affirmed
Caa1 (sf)
....EUR 2.7M Class D1 Notes,
Downgraded to Ca (sf); previously on Jun 29, 2018 Affirmed
Caa3 (sf)
....EUR 48.8M Class A2b Notes,
Affirmed Aa1 (sf); previously on Jun 29, 2018 Affirmed Aa1
(sf)
....EUR 14.6M Class B2 Notes,
Affirmed Aa2 (sf); previously on Jun 29, 2018 Upgraded to Aa2
(sf)
....EUR 6.0M Class C2 Notes,
Upgraded to Baa1 (sf); previously on Jun 29, 2018 Confirmed
at Baa3 (sf)
....EUR 5.7M Class D2 Notes,
Affirmed B2 (sf); previously on Jun 29, 2018 Affirmed B2 (sf)
Maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
The rating action is prompted by the increased levels of credit enhancement
for the affected notes in CAIXA PENEDES 2 TDA, FTA, TDA 19
MIXTO, FTA and TDA 22 MIXTO, FTA (backed by sub-pool
B) and by the decreased levels of credit enhancement for the affected
notes in TDA 22 MIXTO, FTA (backed by sub-pool A).
Increase in Available Credit Enhancement for CAIXA PENEDES 2 TDA,
FTA, TDA 19 MIXTO, FTA and TDA 22 MIXTO, FTA (backed
by sub-pool B):
Non-amortizing reserve funds in CAIXA PENEDES 2 TDA, FTA
and TDA 19 MIXTO, FTA led to the increase in the credit enhancement
available for the affected notes. For instance, the credit
enhancement increased for the Class B and Class C notes in CAIXA PENEDES
2 TDA, FTA to 10.43% and 5.43% from
9.40% and 4.40%, respectively,
and for the Class D notes in TDA 19 MIXTO, FTA to 18.14%
from 13.58% since the last rating action in June 2018.
The notes are amortizing on a pro-rata basis in CAIXA PENEDES 2
TDA, FTA and for Class A to Class C notes in TDA 19 MIXTO,
FTA subject to certain triggers being met.
The reserve fund for TDA 22 MIXTO, FTA (backed by sub-pool
B) stands at 93% of the target amount. Sequential amortization
in this structure led to the increase in credit enhancement for Class
C2 notes to 17.17% from 15.46% since the last
rating action in June 2018. The notes amortization can switch to
pro rata subject to certain triggers being met.
Decrease in Available Credit Enhancement for TDA 22 MIXTO, FTA (backed
by sub-pool A):
In TDA 22 MIXTO, FTA (backed by sub-pool A) the credit enhancement
for Classes C1 and D1 notes decreased to -2.69% and
-11.91%, respectively, from -0.86%
and -8.08% since the last rating action in June 2018.
The notes principal is paid sequentially and the reserve fund is fully
drawn. The unpaid PDL in the structure backed by sub-pool
A has increased to EUR 3.49 million as of the last reporting date
in December 2019 from EUR 3.02 million since the last action in
June 2018, which compares with the outstanding balance of Class
D1 at EUR 2.70 million. Moody's considered different
scenarios for recoveries to be received in its analysis.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in July 2019.
Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see "Moody's Approach to Rating RMBS Using the MILAN Framework"
for further information on Moody's analysis at the initial rating
assignment and the on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include: (1) performance of the underlying collateral that is better
than Moody's expected; (2) an increase in available credit enhancement;
(3) improvements in the credit quality of the transaction counterparties;
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (1) an increase in sovereign risk; (2) performance
of the underlying collateral that is worse than Moody's expected;
(3) deterioration in the Notes' available credit enhancement; and
(4) deterioration in the credit quality of the transaction counterparties.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
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.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
The below contact information is provided for information purposes only.
Please see the ratings tab of the issuer page at www.moodys.com,
for each of the ratings covered, Moody's disclosures on the
lead rating analyst and the Moody's legal entity that has issued
the ratings.
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.
Sara Santagostino
Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Gaby Trinkaus, CFA
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Antonio Tena
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Yuezhen Wang
Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
