Paris, March 31, 2021 -- Moody's Investors Service ("Moody's") has today
upgraded and confirmed the ratings of Notes in five RMBS transactions.
The rating actions follow Moody's review of the recent counterparty changes
to the transactions.
The rating actions reflects the effect of the merger of CaixaBank,
S.A. with Bankia, S.A. where credit
ratings of CaixaBank, S.A. are now the reference points
when assessing counterparty risk in the five transactions.
Issuer: BANCAJA 13, FTA
....EUR2583.7M Class A Notes,
Confirmed at Aa1 (sf); previously on Mar 14, 2021 Aa1 (sf)
Placed Under Review for Possible Downgrade
....EUR152M Class B Notes, Confirmed
at Aa2 (sf); previously on Mar 14, 2021 Aa2 (sf) Placed Under
Review for Possible Downgrade
Issuer: MBS BANCAJA 6, FTA
....EUR904M Class A Notes, Upgraded
to Aa1 (sf); previously on Nov 6, 2019 Affirmed Aa2 (sf)
....EUR37.5M Class B Notes, Upgraded
to Aa2 (sf); previously on Nov 6, 2019 Affirmed A1 (sf)
....EUR28.5M Class C Notes, Upgraded
to Aa2 (sf); previously on Nov 6, 2019 Affirmed A1 (sf)
....EUR30M Class D Notes, Upgraded to
Aa2 (sf); previously on Nov 6, 2019 Affirmed A1 (sf)
Issuer: Madrid Residencial I, FTA
....EUR607.7M Notes, Upgraded
to Aa1 (sf); previously on Nov 18, 2019 Affirmed Aa2 (sf)
Issuer: Madrid Residencial II, FTA
....EUR456M Class A Notes, Upgraded
to Aa1 (sf); previously on Nov 18, 2019 Affirmed Aa2 (sf)
Issuer: MADRID RMBS IV, FTA
....EUR835.2M Class A2 Notes,
Upgraded to Aa1 (sf); previously on Jan 10, 2020 Affirmed Aa2
(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
Moody's analysed the impact of CaixaBank, S.A. (A3/P-2;
A3(cr)/P-2(cr)) assuming roles previously held by Bankia,
S.A. in the affected transactions. According to our
methodology, the rating constraints due to exposure to CaixaBank,
S.A. are higher than they were when the Notes were exposed
to Bankia, S.A. before the merger.
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) BANCAJA 13, FTA, set at 7.78% from 8.10%.
(ii) MBS BANCAJA 6, FTA, set at 5.26% from 5.59%.
(iii) Madrid Residencial I, FTA, set at 5.63%
from 6.15%.
(iv) Madrid Residencial II, FTA, set at 5.58%
from 6.20%.
(v) MADRID RMBS IV, FTA, set at 11.12% from
11.60%.
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) BANCAJA 13, FTA, set at 15.0% from 16.0%.
(ii) MBS BANCAJA 6, FTA, set at 12.90%,
unchanged.
(iii) Madrid Residencial I, FTA, set at 14.0%,
unchanged.
(iv) Madrid Residencial II, FTA, set at 14.0%,
unchanged.
(v) MADRID RMBS IV, FTA, set at 16.0% from 20.0%.
The coronavirus pandemic has had a significant impact on economic activity.
Although global economies have shown a remarkable degree of resilience
to date and are returning to growth, the uneven effects on individual
businesses, sectors and regions will continue throughout 2021 and
will endure as a challenge to the world's economies well beyond
the end of the year. While persistent virus fears remain the main
risk for a recovery in demand, the economy will recover faster if
vaccines and further fiscal and monetary policy responses bring forward
a normalization of activity. As a result, there is a heightened
degree of uncertainty around our forecasts. Our analysis has considered
the effect on the performance of consumer assets from a gradual and unbalanced
recovery in Spain economic activity.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety.
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 https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
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
