Madrid, December 01, 2017 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
seven tranches and affirmed seven tranches in three Spanish ABS-SME
deals.
Issuer: BANKINTER 2 PYME, FTA
....EUR682M Class A2 Notes, Affirmed
Aa2 (sf); previously on Jan 23, 2015 Upgraded to Aa2 (sf)
....EUR16.2M Class B Notes, Affirmed
Aa2 (sf); previously on Jan 23, 2015 Upgraded to Aa2 (sf)
....EUR27.5M Class C Notes, Upgraded
to Aa2 (sf); previously on Mar 10, 2017 Upgraded to A1 (sf)
....EUR10.7M Class D Notes, Upgraded
to Baa1 (sf); previously on Mar 10, 2017 Upgraded to Ba1 (sf)
....EUR14.6M Class E Notes, Affirmed
C (sf); previously on Jun 27, 2006 Definitive Rating Assigned
C (sf)
Issuer: BANKINTER 3 FTPYME, FTA
....EUR288.9M Class A2 Notes,
Affirmed Aa2 (sf); previously on Jun 13, 2016 Upgraded to Aa2
(sf)
....EUR91.2M Class A3 (G) Notes,
Affirmed Aa2 (sf); previously on Jun 13, 2016 Upgraded to Aa2
(sf)
....EUR23.1M Class B Notes, Upgraded
to Aa2 (sf); previously on Mar 10, 2017 Upgraded to A1 (sf)
....EUR6M Class C Notes, Upgraded to
Baa3 (sf); previously on Mar 10, 2017 Upgraded to Ba2 (sf)
....EUR10.8M Class D Notes, Upgraded
to B2 (sf); previously on Mar 10, 2017 Upgraded to B3 (sf)
....EUR17.4M Class E Notes, Affirmed
C (sf); previously on Nov 13, 2007 Definitive Rating Assigned
C (sf)
Issuer: GC FTGENCAT CAIXA TARRAGONA 1, FTA
....EUR25.7M Class B Notes, Upgraded
to Aa2 (sf); previously on Mar 10, 2017 Upgraded to A1 (sf)
....EUR16.8M Class C Notes, Upgraded
to Ba2 (sf); previously on Jan 23, 2015 Affirmed Caa3 (sf)
....EUR13.8M Class D Notes, Affirmed
C (sf); previously on Jul 1, 2008 Definitive Rating Assigned
C (sf)
The three transactions are ABS backed by small to medium-sized
enterprise (ABS SME) loans located in Spain and originated by Bankinter,
S.A. ("Bankinter") (Baa1/P-2) in BANKINTER 2 PYME,
FTA and BANKINTER 3 FTPYME, FTA and originated by Caixa Catalunya,
Tarragona i Manresa which was merged in 2010 with Catalunya Banc SA,
now part of Banco Bilbao Vizcaya Argentaria, S.A.
(A3/P-2) in GC FTGENCAT CAIXA TARRAGONA 1, FTA.
RATINGS RATIONALE
The ratings are prompted by the increase in the credit enhancement available
for the affected tranches due to portfolio amortization.
Credit Enhancement levels for Class C and Class D notes in BANKINTER 2
PYME, FTA have increased to 39.7% and 21.5%
from 28.9% and 14.5% respectively since last
rating action.
In the cases of Class B notes and Class C notes in BANKINTER 3 FTPYME,
FTA Credit Enhancement levels have increased to 36.2% and
29.4%, this compares with the observed Credit Enhancement
levels at latest rating actions taken on this deal which were at 26.3%
and 20.5% respectively.
In the case of GC FTGENCAT CAIXA TARRAGONA 1, FTA, Credit
Enhancement levels for Class B have increased to 64.8% from
38.4% since last rating action while in the case of Class
C notes it has increased up to 18.9% from 0%.
The sudden increase in Credit Enhancement is explained by a significant
increase in recoveries over the last months that has been capable to increase
Reserve Fund size which was fully depleted at last rating action last
March 2017.
Revision of key collateral assumptions
As part of the review, Moody's reassessed its default probabilities
(DP) as well as recovery rate (RR) assumptions based on updated loan by
loan data on the underlying pools and delinquency, default and recovery
ratio update.
Moody's maintained its DP on current balance and Recovery rate assumptions
as well as portfolio credit enhancement (PCE) due to observed pool performance
in line with expectations on BANKINTER 2 PYME, FTA and BANKINTER
3 FTPYME, FTA. In the case of GC FTGENCAT CAIXA TARRAGONA
1, FTA, we have maintained its DP on current balance as well
as portfolio credit enhancement but we have increased recovery rate assumption
to 60% from 35% to reflect significantly improved Recoveries
performance.
Exposure to counterparties
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer, account banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of notes payments, in case of
servicer default, using the CR Assessment as a reference point for
servicers.
Moody's also matches banks' exposure in structured finance transactions
to the CR Assessment for commingling risk, with a recovery rate
assumption of 45%.
Moody's also assessed the default probability of the account bank providers
by referencing the bank's deposit rating.
Moody's assessed the exposure to the swap counterparties. Moody's
considered the risks of additional losses on the notes if they were to
become unhedged following a swap counterparty default by using CR Assessment
as reference point for swap counterparties.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Global Approach
to Rating SME Balance Sheet Securitizations" published in August 2017.
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:
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) deleveraging of the capital structure,
(3) improvements in the credit quality of the transaction counterparties,
and (4) reduction in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (1) performance of the underlying collateral that is worse
than Moody's expected, (2) deterioration in the notes' available
credit enhancement, (3) deterioration in the credit quality of the
transaction counterparties, and (4) an increase in sovereign risk.
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 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 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.
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.
Angel Jimenez
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
Client Service: 44 20 7772 5454
Mehdi Ababou
VP - Senior Credit Officer
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
