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I AGREE
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
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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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