Paris, July 27, 2021 -- Moody's Investors Service ("Moody's") has today
upgraded and affirmed the ratings of Notes in VALENCIA HIPOTECARIO 2,
FTH, TDA CAM 6, FTA, CAIXA PENEDES 2 TDA, FTA
and CAIXABANK RMBS 1, FT, RMBS transactions. The upgrades
reflect the better than expected collateral performances and increased
levels of credit enhancement for the affected Notes.
Issuer: VALENCIA HIPOTECARIO 2, FTH
....EUR909.5M Class A Notes,
Affirmed Aa1 (sf); previously on Jul 16, 2018 Affirmed Aa1
(sf)
....EUR21.2M Class B Notes, Upgraded
to Baa1 (sf); previously on Jul 16, 2018 Downgraded to Baa3
(sf)
....EUR9.4M Class C Notes, Upgraded
to Ba2 (sf); previously on Jul 16, 2018 Downgraded to Ba3 (sf)
Issuer: TDA CAM 6, FTA
....EUR752M Class A3 Notes, Affirmed
Aa1 (sf); previously on Apr 16, 2019 Affirmed Aa1 (sf)
....EUR50M Class B Notes, Upgraded to
B1 (sf); previously on Apr 16, 2019 Upgraded to B3 (sf)
Issuer: CAIXA PENEDES 2 TDA, FTA
....EUR726.3M Class A Notes,
Affirmed Aa1 (sf); previously on Dec 1, 2020 Affirmed Aa1 (sf)
....EUR7.2M Class B Notes, Affirmed
Aa1 (sf); previously on Dec 1, 2020 Upgraded to Aa1 (sf)
....EUR16.5M Class C Notes, Upgraded
to A2 (sf); previously on Dec 1, 2020 Upgraded to A3 (sf)
Issuer: CAIXABANK RMBS 1, FT
....EUR12851M Class A Notes, Upgraded
to Aa1 (sf); previously on Jan 24, 2020 Upgraded to Aa2 (sf)
....EUR1349M Class B Notes, Upgraded
to B2 (sf); previously on Jan 24, 2020 Upgraded to Caa1 (sf)
The 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 upgrades of the ratings of the Notes are prompted by the better than
expected collateral performances and increase in credit enhancements for
the affected tranches. For instance, cumulative defaults
have remained largely unchanged in the past year, below are the
exact figures for each transaction:
(i) CAIXA PENEDES 2 TDA, FTA, to 2.29% from
2.27%.
(ii) CAIXABANK RMBS 1, FT, to 1.21% from 1.04%.
(iii) TDA CAM 6, FTA, to 13.36% from 13.29%.
(iv) VALENCIA HIPOTECARIO 2, FTH, to 3.41% from
3.40%.
Moody's confirmed the ratings of the classes of Notes that had sufficient
credit enhancements to maintain their current ratings.
Key Collateral Assumption Revised
As part of the rating actions, Moody's reassessed its lifetime loss
expectations and recovery rates for the portfolios reflecting their collateral
performances to date.
Moody's revised its expected loss assumptions as follows:
(i) CAIXA PENEDES 2 TDA, FTA, to 0.94% from
1.15%.
(ii) CAIXABANK RMBS 1, FT, to 2.65% from 3.48%.
(iii) TDA CAM 6, FTA, to 6.93% from 7.79%.
(iv) VALENCIA HIPOTECARIO 2, FTH, to 1.55% from
1.70%.
All as a percentage of the original pool balance for each transaction.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target ratings levels and the volatility of future losses.
As a result, Moody's has revised the MILAN CE assumptions of each
transaction as follows:
(i) CAIXA PENEDES 2 TDA, FTA, 7.20% unchanged.
(ii) CAIXABANK RMBS 1, FT, to 10.0% from 15.80%.
(iii) TDA CAM 6, FTA, to 11.0% from 14.0%.
(iv) VALENCIA HIPOTECARIO 2, FTH, to 8.0% from
9.0%.
PRINCIPAL METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in December 2020 and
available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1248130.
Alternatively, 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: (i) performance of the underlying collateral that is better
than Moody's expected; (ii) an increase in the Notes' available credit
enhancement; (iii) improvements in the credit quality of the transaction
counterparties; and (iv) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include: (i) an increase in sovereign risk; (ii) performance
of the underlying collateral that is worse than Moody's expected;
(iii) deterioration in the Notes' available credit enhancement; and
(iv) 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 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 http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288435.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
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.
Bongani Dlamini
Asst Vice President - Analyst
Structured Finance Group
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
