Moody's also affirms the ratings of two multi-cedulas
London, 04 May 2018 -- Moody's Investors Service ("Moody's") announced today that it has upgraded
the ratings of eighteen series of Spanish multi-issuer covered
bonds (SMICBs) and one associated subordinated loan. Moody's
also affirmed the ratings of two series.
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF470921
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and identifies each affected issuer.
RATINGS RATIONALE
Moody's said today's rating actions are a result of (i) recent change
in Spain's long term country ceiling from Aa2 to Aa1, (ii)
the rating actions on several Spanish banking groups following the upgrade
of Spain's government bond rating to Baa1, and (iii) the upgrade
of Unicaja Banco. For full details, please see the following:
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_381868
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_382149
http://www.moodys.com/viewresearchdoc.aspx?docid=PR_382512
In summary, the CR Assessments (CRA) of the following banks have
been changed as detailed below:
Kutxabank, S.A. CRA upgraded from Baa1(cr) to A3(cr)
on 17th April 2018
Banca March S.A. CRA upgraded from Baa1(cr) to A3(cr) on
17th April 2018
Banco Sabadell, S.A. CRA upgraded from Baa2(cr) to
Baa1(cr) on 17th April 2018
Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) CRA upgraded
from Baa1(cr) to A3(cr) on 17th April 2018
Bankia, S.A. CRA upgraded from Baa2(cr) to Baa1(cr)
on 17th April 2018
Unicaja Banco CRA upgraded from Baa3(cr) to Baa2(cr) on 19th April 2018
Upgrade to private monitored CRAs of one bank in April 2018
The CB anchor for these issuers is the CR Assessment plus one notch.
Today's actions also take into account updated information on the underlying
mortgage pools of participating issuers.
Moody's has upgraded the rating of thirteen series (including one subordinated
loan) because of improvements in expected loss (EL) and/or probability
of default of the SMICBs and/or weighted average CB anchor since our last
rating action in January 2018. For six series, the driver
for the upgrade is the revised country ceiling for Spain.
Moody's has affirmed the ratings of two series where there was no
change to the EL or probability of default of the SMICBs.
Loss and Cash Flow Analysis:
The ratings assigned by Moody's address the expected loss posed to investors.
The rating of an SMICB is based primarily on the EL of the SMICB,
which, in turn, is based on the EL of the Cédulas backing
the SMICB and the size of the reserve fund in the transaction, if
any. However, the rating may be limited by two additional
considerations: (1) the liquidity of the SMICB and (2) the risk
that defaults by the issuers of the Cédulas may interfere with
the timely payment on the bonds.
To assess the liquidity, we assume that, upon a Cédula
default, no interest payments will be made to the SMICB from the
defaulted Cédula for two years. Given that assumption,
we assess whether the liquidity fund is large enough so that the likelihood
that the SMICB will have sufficient funds to make its required payments
is consistent with a rating of up to four notches lower than the SMICB's
target rating.
Our rating on an SMICB includes an assessment of the risk that defaults
by the issuers of the Cédulas may interfere with the timely payment
of the SMICB's obligations. To incorporate the assessment
of that risk, we limit (i.e., place a cap on)
the SMICB rating based on the weighted average CB anchor (i.e.,
the rating representing the probability of issuer default on the Cédulas)
and our assessment of the likelihood of timely payment on the Cédulas
following a CB anchor event.
Factors that would lead to an upgrade or downgrade of the ratings:
The robustness of a structured multi-issuer covered bond rating
largely depends on the underlying issuers' credit strength as reflected
in their CB anchors, and the support provided by the liquidity facility
and reserve fund, if any.
A multiple-notch downgrade of the SMICBs might occur in certain
limited circumstances, such as (i) a sovereign downgrade negatively
affecting the issuers' CB anchor and our assessment of the likelihood
of timely payment on the Cédulas following a CB anchor event;
(ii) a multiple-notch lowering of the CB anchor or (iii) a material
reduction of the value of the cover pool.
Methodology Underlying the Rating Action:
The principal methodology used in these ratings was "Moody's Approach
to Rating SF CDOs" published in June 2017. Please see the Rating
Methodologies page on www.moodys.com for a copy of this
methodology.
REGULATORY DISCLOSURES
Please click on this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF470921
for the List of Affected Credit Ratings. This list is an integral
part of this Press Release and provides, for each of the credit
ratings covered, Moody's disclosures on the following items:
• Releasing Office
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 describes its loss and cash flow analysis in the section
"Ratings Rationale" of this press release.
Moody's did not use any stress scenario simulations in its analysis.
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.
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.
Hemal Shah
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Ian Perrin
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454