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Rating Action:

Moody's upgrades ratings in 10 Spanish ABS SME deals

10 Nov 2015

Madrid, November 10, 2015 -- Moody's Investors Service has today upgraded the ratings of 13 subordinated tranches in 10 Spanish asset-backed securities (ABS) transactions. All of the transactions are backed by loans to small and medium-sized enterprises (ABS SMEs) loans located in Spain.

Please click on the following link to access the full list of affected credit ratings. This list is an integral part of this press release and identifies each affected issuer: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF420882.

RATINGS RATIONALE

Today's upgrades reflect (1) the affected tranches' increased credit enhancement following the deals' deleveraging; and (2) the stable performance observed.

Moody's has incorporated the results of its sensitivity analysis regarding borrower concentration in the affected deals. In the cases of IM Grupo Banco Popular Empresas 1, FTA, FTPYME TDA CAM 2, FTA and GAT FTGENCAT 2006, FTA, an increase in credit enhancement since January 2015 provides a higher coverage of largest debtors. Borrower concentration has constrained the upgrades in 5 tranches.

Key collateral assumptions

Default probabilities (DP) have remained unchanged given the stable performance of the transactions with the exceptions of DP being decreased in CAIXA PENEDES PYMES 1 TDA, FTA and IM Grupo Banco Popular Empresas 1, FTA to reflect the improvement in performance terms.

CAIXA PENEDES PYMES 1 TDA, FTA 90+ days arrears now stands at 1.52% while in the case of IM Grupo Banco Popular Empresas 1, FTA at 0.95%. 90-360 day trend remain below the average index for Spanish SME deals for both transactions.

In addition, the recovery rate (RR) assumption increased in AyT FTPYME II, FTA because of the high recoveries observed. RR has been increased to 50% from 37.5%. Combined with the DP of 13% and unchanged portfolio credit enhancement of 21.5% this results in a volatility of 59.7%.

In CAIXA PENEDES PYMES 1 TDA, FTA, Moody's now assumes a DP of 20% of the current pool balance from 22.6% and portfolio credit enhancement of 27% from 28.4%. Combined with the recovery rate of 52.5% this results in a volatility of 51.9%.

In IM Grupo Banco Popular Empresas 1, FTA, Moody's now assumes a DP of 14% of the current pool balance, from 16.5% as well as portfolio credit enhancement of 21.5% from 22.8%. Combined with the recovery rate of 60% this results in a volatility of 66.9%.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations," published in October 2015. 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) 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 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.

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 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.

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

Angel Jimenez
Associate Analyst
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 upgrades ratings in 10 Spanish ABS SME deals
No Related Data.
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​
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