Madrid, March 11, 2019 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of seven tranches and affirmed nine tranches in four
Spanish ABS-SME deals.
Issuer: FONCAIXA FTGENCAT 4, FTA
....EUR326M (current outstanding amount EUR49.9M)
Class A (G) Notes, Affirmed Aa1 (sf); previously on May 24,
2018 Affirmed Aa1 (sf)
....EUR9.6M (current outstanding amount
EUR7.6M) Class B Notes, Affirmed Aa1 (sf); previously
on May 24, 2018 Upgraded to Aa1 (sf)
....EUR7.2M (current outstanding amount
EUR5.7M) Class C Notes, Upgraded to A2 (sf); previously
on May 24, 2018 Upgraded to Baa1 (sf)
....EUR6M (current outstanding amount EUR5.2M)
Class D Notes, Upgraded to Ba2 (sf); previously on May 24,
2018 Confirmed at Ba3 (sf)
....EUR6M (current outstanding amount EUR5M)
Class E Notes, Affirmed C (sf); previously on May 24,
2018 Affirmed C (sf)
Issuer: FONCAIXA FTGENCAT 5, FTA
....EUR449.4M (current outstanding
amount EUR162.3M) Class A (G) Notes, Affirmed Aa1 (sf);
previously on May 24, 2018 Affirmed Aa1 (sf)
....EUR21M Class B Notes, Upgraded to
Aa1 (sf); previously on May 24, 2018 Upgraded to A1 (sf)
....EUR16.5M Class C Notes, Upgraded
to Ba1 (sf); previously on May 24, 2018 Upgraded to Ba2 (sf)
....EUR26.5M Class D Notes, Affirmed
C (sf); previously on May 24, 2018 Affirmed C (sf)
Issuer: GC FTGENCAT CAIXA TARRAGONA 1, FTA
....EUR25.7M (current outstanding amount
EUR13.6M) Class B Notes, Affirmed Aa1 (sf); previously
on May 17, 2018 Affirmed Aa1 (sf)
....EUR16.8M (current outstanding amount
EUR9.6M) Class C Notes, Upgraded to A3 (sf); previously
on May 17, 2018 Upgraded to Ba1 (sf)
....EUR13.8M (current outstanding amount
EUR6.9M) Class D Notes, Affirmed C (sf); previously
on May 17, 2018 Affirmed C (sf)
Issuer: SANTANDER EMPRESAS 3, FTA
....EUR117.3M (current outstanding
amount EUR69M) Class C Notes, Affirmed Aa1 (sf); previously
on May 28, 2018 Affirmed Aa1 (sf)
....EUR70M Class D Notes, Upgraded to
A1 (sf); previously on May 28, 2018 Upgraded to Baa1 (sf)
....EUR45.5M Class E Notes, Upgraded
to Caa1 (sf); previously on May 28, 2018 Upgraded to Caa2 (sf)
....EUR45.5M Class F Notes, Affirmed
C (sf); previously on May 28, 2018 Affirmed C (sf)
The four transactions are ABS backed by small to medium-sized Enterprise
(ABS SME) loans located in Spain. SANTANDER EMPRESAS 3, FTA
was originated by Banco Santander S.A. (Spain) (A2/P-1),
FONCAIXA FTGENCAT 4, FTA and FONCAIXA FTGENCAT 5, FTA were
originated by Caixabank, S.A. (Baa1/P-2) and
GC FTGENCAT CAIXA TARRAGONA 1, FTA was originated by Caixa Caixa
Catalunya, Tarragona i Manresa which was merged in 2010 with Catalunya
Banc SA, now part of Banco Bilbao Vizcaya Argentaria, S.A.
(A2/P-1).
RATINGS RATIONALE
The upgrades are prompted by the increase in the credit enhancement (CE)
available for the affected tranches due to portfolio amortization.
Credit Enhancement levels for Class B and C in FONCAIXA FTGENCAT 4,
FTA have increased to 23.3% and 15% from 20.1%
and 12.9% in the past 10 months. For Class B in FONCAIXA
FTGENCAT 5, FTA, the CE levels increased to 19.7%
from 17.5% at the last rating action in May 2018.
For Class C in GC FTGENCAT CAIXA TARRAGONA 1, FTA the CE levels
increased to 29.8% from 21.4% in the past
10 months. The CE increased for Class D in SANTANDER EMPRESAS 3,
FTA to 29.5% from 25.3%, also over the
past 10 months.
Revision of key collateral assumptions
As part of the review, Moody's reassessed its default probabilities
(DP) as well as recovery rate (RR) assumptions based on updated loan by
loan data on the underlying pools and delinquency, default and recovery
ratio update.
Moody's maintained its DP on current balance and recovery rate assumptions
as well as portfolio credit enhancement (PCE) due to observed pool performance
in line with expectations on SANTANDER EMPRESAS 3, FTA, FONCAIXA
FTGENCAT 4, FTA and GC FTGENCAT CAIXA TARRAGONA 1, FTA.
Moody's reduced its DP on current balance to 17% from 18.5%
on FONCAIXA FTGENCAT 5, FTA to reflect better than expected performance.
Recovery rate and PCE assumptions remained unchanged for this deal.
Exposure to counterparties
Today's rating action took into consideration the notes' exposure to relevant
counterparties, such as servicer, account banks or swap providers.
Moody's considered how the liquidity available in the transactions and
other mitigants support continuity of notes payments, in case of
servicer default, using the CR Assessment as a reference point for
servicers.
Moody's also matches banks' exposure in structured finance transactions
to the CR Assessment for commingling risk, with a recovery rate
assumption of 45%.
Moody's also assessed the default probability of the account bank providers
by referencing the bank's deposit rating.
Moody's assessed the exposure to the swap counterparties. Moody's
considered the risks of additional losses on the notes if they were to
become unhedged following a swap counterparty default by using CR Assessment
as reference point for swap counterparties.
Principal Methodology:
The principal methodology used in these ratings was "Moody's Global Approach
to Rating SME Balance Sheet Securitizations" published in August 2017.
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,
(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 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.
Angel Jimenez
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
Client Service: 44 20 7772 5454
Mehdi Ababou
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454
