London, 01 February 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings on
Series A and Series B in CAIXABANK CONSUMO 2, FONDO DE TITULIZACION:
....EUR 1170M Series A Notes, Upgraded
to Aa2 (sf); previously on Jun 27, 2016 Definitive Rating Assigned
Aa3 (sf)
....EUR 130M Series B Notes, Upgraded
to B2 (sf); previously on Jun 27, 2016 Definitive Rating Assigned
B3 (sf)
Today's rating action reflects (1) the deleveraging of the transaction
and the build-up of credit enhancement since the closing date of
the transaction, as well as (2) better-than-expected
collateral performance.
CAIXABANK CONSUMO 2, FONDO DE TITULIZACION is a static cash securitisation
of unsecured consumer loans as well as consumer loans backed by first
lien and second lien consumer mortgages and consumer drawdowns of related
mortgage lines of credit extended to obligors in Spain by CaixaBank,
S.A. (Caixabank) (Baa1(cr)/P-2(cr), Baa2 LT
Bank Deposits).
RATINGS RATIONALE
Today's upgrades primarily reflect deleveraging since closing and the
better-than-expected collateral performance.
INCREASED CREDIT ENHANCEMENT LEVELS
Credit enhancement available to Series B Notes has increased substantially
since closing: from 14.0% to 24.85%
in Series A Notes, and from 4.0% to 7.1%
in Series B Notes. Credit enhancement takes the form of subordination
as well as a reserve fund, which is funded at its target level.
This reserve fund is available for shortfalls in interest and principal
for Series A during the life of the deal and for interest and principal
shortfalls for Series B, when Series A is fully amortised.
REASSESSMENT OF LIFETIME LOSS EXPECTATION
Collateral performance has been better than expected, with relatively
low levels of 90+ delinquencies slightly below 2% of the current
balance in recent observations, and cumulative defaults at 0.7%
of the original balance as of January 2018. As a result,
Moody's has lowered its lifetime default expectation. The lifetime
default expectation is a combination of default assumption on the current
balance and actual defaults to date.
Moody's default assumption for the current portfolio remains unchanged
at 6.5% of the current balance, translating into a
lower default assumption of 4.4% as of the original balance.
Moody's portfolio credit enhancement was left unchanged at 18.0%,
lowering the coefficient of variation to 53.0% from 55.7%.Moody's
recovery assumption was left unchanged as well, at 35%.
EXPOSURE TO COUNTERPARTY RISK
Today's rating action took into consideration the notes' exposure to Caixabank
as relevant counterparty, acting as originator, servicer,
collection account bank, issuer account bank, calculation
agent and paying agent of the transaction. The ratings on Series
A and Series B reflect counterparty exposure in the transaction.
The rating of the notes are constrained by Spain's country ceiling at
Aa2.
METHODOLOGY
The principal methodology used in these ratings was "Moody's Approach
to Rating Consumer Loan-Backed ABS", published in September
2015. Please see the Rating Methodologies 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 and
(3) improvements in the credit quality of the transaction counterparties
and (4) a decrease in sovereign risk.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) an increase in sovereign risk (2) performance of the underlying
collateral that is worse than Moody's expected, (3) deterioration
in the notes' available credit enhancement and (4) 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 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 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.
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.
Christopher Chambers
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
Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Antonio Tena
VP - Senior Analyst
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
