Madrid, October 27, 2014 -- Moody's Investors Service has today upgraded the ratings on seven notes,
confirmed the rating on one note and downgraded the ratings on four notes
in four Spanish asset-backed securities (ABS) transactions:
CAIXA PENEDES PYMES 1 TDA, FTA (CAIXA PENEDES PYMES 1), GAT
FTGENCAT 2006, FTA (GAT FTGENCAT 2006), GC FTGENCAT CAIXA
TARRAGONA 1, FTA (GC CAIXA TARRAGONA 1), and PYME VALENCIA
1, FTA (PYME VALENCIA 1).
Today's rating action concludes the review of 11 notes initiated on 17
March 2014, following the upgrade of the Spanish sovereign rating
to Baa2 from Baa3 and the resulting increase of the local-currency
country ceiling to A1 from A3 (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_292078).
The sovereign rating upgrade reflected improvements in institutional strength
and reduced susceptibility to event risk associated with lower government
liquidity and banking sector risks.
Please refer to the end of the Ratings Rationale section for a list of
affected ratings.
RATINGS RATIONALE
Today's upgrades reflect (1) the increase in the Spanish local-currency
country ceiling to A1 and (2) sufficiency of credit enhancement in the
affected transactions. The downgrade of four tranches in three
transactions (CAIXA PENEDES PYMES 1, GC CAIXA TARRAGONA 1 and PYME
VALENCIA 1) was due to the continued weak performance of those transactions,
which reduced the credit enhancement available to those tranches,
and increased borrower concentration issues.
-- Reduced sovereign risk
Moody's upgraded the Spanish sovereign rating to Baa2 in February
2014, which resulted in an increase in the local-currency
country ceiling to A1. The Spanish country ceiling, and therefore
the maximum rating that Moody's will assign to a domestic Spanish issuer,
including structured finance transactions backed by Spanish receivables,
is A1 (sf).
The increase of credit enhancement, combined with the reduction
in sovereign risk, has prompted the upgrade of seven notes.
Weak performance in CAIXA PENEDES PYMES 1, GC CAIXA TARRAGONA 1
and PYME VALENCIA 1, resulting in reduced credit enhancement,
and increased borrower concentration risk, prompted a downgrade
of some tranches.
-- Key collateral assumptions
Moody's has updated some of the key collateral assumptions as part
of this review. In CAIXA PENEDES PYMES 1 and GC CAIXA TARRAGONA
1, the performance of the underlying asset portfolio was worse than
expected by Moody's, prompting the increase in the default
probability assumption over the remaining life of the transaction.
For the two other transactions, the performance of the underlying
asset portfolios remains in line with Moody's assumptions. Moody's
also has a stable outlook for Spanish ABS and RMBS transactions (http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF373727).
In CAIXA PENEDES PYMES 1, the updated default probability (DP) on
the current balance of 22.6% (corresponding to a DP on the
original balance of 20.7%), together with an unchanged
recovery rate of 52.5% and an updated volatility of 59.8%,
corresponds to an updated portfolio credit enhancement of 28.4%.
The increased credit enhancement available to class A and B prompted their
upgrade while the credit enhancement reduction of class C prompted its
downgrade.
In GAT FTGENCAT 2006, the unchanged DP on the current balance of
20.0% (corresponding to a DP on the original balance of
15.2%), together with an unchanged recovery rate of
50.0% and an updated volatility of 51.0%,
corresponds to an updated portfolio credit enhancement of 25.8%.
Borrower concentration risk constrained class C's rating,
with its credit enhancement covering for the six largest borrowers.
In GC CAIXA TARRAGONA 1, the updated DP on the current balance of
30.3% (corresponding to a DP on the original balance of
30.7%), together with an updated recovery rate of
50.0% and an updated volatility of 48.9%,
corresponds to an updated portfolio credit enhancement of 34.3%.
In PYME VALENCIA 1, the unchanged DP on the current balance of 25.0%
(corresponding to a DP on the original balance of 21.6%),
together with an unchanged recovery rate of 45.0% and an
updated volatility of 46.3%, corresponds to an unchanged
portfolio credit enhancement of 34.4%. Borrower concentration
risk constrained class B's rating, with its credit enhancement
covering for the five largest borrowers.
-- Exposure to counterparties
Moody's rating analysis also took into consideration the exposure to key
transaction counterparties. In CAIXA PENEDES PYMES 1, the
servicer is Banco Sabadell S.A. (Ba2 / NP); in GAT
FTGENCAT 2006 and GC CAIXA TARRAGONA 1, it is Catalunya Banc SA
(B3 / NP); and in PYME VALENCIA 1, it is Caixabank (Baa3 /
P-3). BNP Paribas Securities Services (A1 / P-1)
holds the reserve fund in CAIXA PENEDES PYMES 1, while Barclays
Bank (A2 / P-1) holds it in all three other transactions.
All four transactions have interest rate swaps: the counterparties
are JP Morgan Chase Bank, N.A., London Branch
(Aa3 / P-1) in CAIXA PENEDES PYMES 1, Catalunya Banc SA in
GAT FTGENCAT 2006, CECABANK S.A. (Ba3 / NP) in GC
CAIXA TARRAGONA 1 and Banco Bilbao Vizcaya Argentaria S.A.
(BBVA, Baa2 / P-2) in PYME VALENCIA 1. Moody's
notes that the ratings on class B notes in GC CAIXA TARRAGONA 1 and on
class B notes in PYME VALENCIA 1 are strongly linked to the respective
swap counterparty's given the structure of the swap agreement.
Indeed, in those two transactions, the special purpose vehicle
pays the interest amounts received under the portfolio of assets to the
counterparty and receives the weighted average coupon on a notional equal
to the notes outstanding balance, including the unpaid principal
deficiency ledger (PDL ) if any, plus some guaranteed excess spread.
Therefore, in the presence of PDL, the special purpose vehicle
will receive interests on a notional, which is greater than the
actual notional of performing assets, increasing the actual excess
spread available to the structure.
In its analysis, Moody's has taken into account the linkage
to the swap counterparty given the benefit the swap provides to the transaction.
PRINCIPAL METHODOLOGY
The principal methodology used was "Moody's Global Approach to Rating
SME Balance Sheet Securitizations", published in January 2014.
Please see the Credit Policy page on www.moodys.com for
a copy of this methodology.
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) further reduction in sovereign risk, (2) better-than-expected
performance of the underlying collateral, (3) deleveraging of the
capital structure and (4) improvements in the credit quality of the transaction
counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk, (2) worse-than-expected
performance of the underlying collateral, (3) deterioration in the
notes' available credit enhancement and (4) deterioration in the credit
quality of the transaction counterparties.
LIST OF AFFECTED RATINGS
Issuer: CAIXA PENEDES PYMES 1 TDA, FTA
....EUR726M A Notes, Upgraded to A1
(sf); previously on Mar 17, 2014 A3 (sf) Placed Under Review
for Possible Upgrade
....EUR44.6M B Notes, Upgraded
to Ba2 (sf); previously on Mar 17, 2014 Ba3 (sf) Placed Under
Review for Possible Upgrade
....EUR19.4M C Notes, Downgraded
to Caa3 (sf); previously on Apr 18, 2013 Upgraded to Caa1 (sf)
Issuer: GAT FTGENCAT 2006, FTA
....EUR239.1M A2(G) Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR5.1M B Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR12.3M C Notes, Confirmed
at Ba2 (sf); previously on Mar 17, 2014 Ba2 (sf) Placed Under
Review for Possible Upgrade
Issuer: GC FTGENCAT CAIXA TARRAGONA 1, FTA
....EUR93.2M AG Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR104.3M AS Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR25.7M B Notes, Downgraded
to Ba2 (sf); previously on Mar 17, 2014 Baa1 (sf) Placed Under
Review for Possible Upgrade
....EUR16.8M C Notes, Downgraded
to Caa3 (sf); previously on Mar 17, 2014 B3 (sf) Placed Under
Review for Possible Upgrade
Issuer: PYME VALENCIA 1, FTA
....EUR574.8M A2 Notes, Upgraded
to A1 (sf); previously on Mar 17, 2014 A3 (sf) Placed Under
Review for Possible Upgrade
....EUR47.6M B Notes, Downgraded
to Ba1 (sf); previously on Mar 17, 2014 Baa3 (sf) Placed Under
Review for Possible Upgrade
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.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments related to the monitoring of these transactions
in the past six months.
The analysis includes an assessment of collateral characteristics and
performance to determine the expected collateral loss or a range of expected
collateral losses or cash flows to the rated instruments. As a
second step, Moody's estimates expected collateral losses or cash
flows using a quantitative tool that takes into account credit enhancement,
loss allocation and other structural features, to derive the expected
loss for each rated instrument.
As the section on loss and cash flow analysis describes, 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 or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt 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 rating action on the support provider and in relation to each particular
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 rating action, and
whose ratings may change as a result of this 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.
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.
Antonio Tena
Asst Vice President - Analyst
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
SUBSCRIBERS: 44 20 7772 5454
Carole Gintz
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 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
SUBSCRIBERS: 44 20 7772 5454
Moody's takes rating actions on four Spanish SME ABS transactions
