Madrid, January 19, 2021 -- Moody's Investors Service ("Moody's") has today
upgraded the rating of Class C Notes in CAIXA PENEDES PYMES 1 TDA,
FTA. This rating action reflects the correction of an error in
the cash flow modelling together with the increased level of credit enhancement
for the affected Notes and better than expected pool performance.
Moody's also affirmed the rating of the Notes that had sufficient credit
enhancement to maintain their respective current rating.
....EUR 44.6M Class B (Current outstanding
amount EUR 11.6M) Notes, Affirmed Aa1 (sf); previously
on May 28, 2018 Affirmed Aa1 (sf)
....EUR 19.4M Class C Notes,
Upgraded to Baa1 (sf); previously on May 28, 2018 Confirmed
at B1 (sf)
Maximum achievable rating is Aa1 (sf) for structured finance transactions
in Spain, driven by the corresponding local currency country ceiling
of the country.
RATINGS RATIONALE
Today´s rating action is prompted by the correction of an error,
an increase in credit enhancement for the affected tranches, and
the better-than-expected performance of the collateral pool.
Correction of an error in the cash flow modelling
Today's rating action reflects, in part, the correction
of an error by Moody's in the specification of the consequences
of the breach of Interest Deferral Triggers in the cash flow modelling.
In prior rating actions, Moody's had not reflected in the
waterfall the ranking of interest due on Class C notes after a trigger
breach, and instead considered that no interest was paid on Class
C, which constrained the rating. As per the priority of payments,
following a trigger breach, interest on Class C is moved to a more
junior position but before the replenishment of the reserve fund,
and can also be paid by any excess spread available. The correction
of the error has a positive impact on the rating of Class C as it reduces
significantly the likelihood of an interest shortfall, even in the
case of a trigger breach.
Increase in Available Credit Enhancement
Sequential amortization and non-amortizing reserve fund (already
at the floor level) led to an increase of the credit enhancement available
in this transaction. For instance, the credit enhancement
for the tranche C has increased to 22.42% from 20.66%
since the last rating action.
Revision of Key Collateral Assumptions
As part of the rating action, Moody's reassessed its default probability
and recovery rate assumptions for the portfolio reflecting the collateral
performance to date.
The performance of the transaction has continued to be stable since last
rating action in terms of delinquencies and defaults. Total delinquencies
have decreased in the past year, with 90 days plus arrears currently
standing at 0.29% of current pool balance. Cumulative
defaults currently stand at 6.83% of original pool balance
slightly up from 6.81% a year earlier.
The current default probability is 17.50% of the current
portfolio balance and the assumption for the fixed recovery rate is 60%.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
As a result, Moody's has decreased the CoV to 55.59%
from 58.40%, which, combined with the revised
key collateral assumptions, corresponds to a portfolio credit enhancement
of 21% versus 27% prior assumption.
The coronavirus outbreak, the government measures put in place to
contain it, and the weak global economic outlook continue to disrupt
economies and credit markets across sectors and regions. Our analysis
has considered the effect on the performance of corporate assets from
the current weak global economic activity and a gradual recovery for the
coming months. Although an economic recovery is underway,
it is tenuous and its continuation will be closely tied to containment
of the virus. As a result, the degree of uncertainty around
our forecasts is unusually high.
We regard the coronavirus outbreak as a social risk under our ESG framework,
given the substantial implications for public health and safety
Principal methodology:
The principal methodology used in these ratings was "Moody's Global
Approach to Rating SME Balance Sheet Securitizations" published in May
2020 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1225856.
Alternatively, 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) an increase in available credit enhancement;
(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 in the disclosure form. Moody's
Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or note of the
same series, category/class of debt, security 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.
The ratings have been disclosed to the rated entity or its designated
agent(s) and issued with no amendment resulting from that disclosure.
These ratings are solicited. Please refer to Moody's Policy
for Designating and Assigning Unsolicited Credit Ratings available on
its website www.moodys.com.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Moody's general principles for assessing environmental, social
and governance (ESG) risks in our credit analysis can be found at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1243406.
At least one ESG consideration was material to the credit rating action(s)
announced and described above.
The Global Scale Credit Rating on this Credit Rating Announcement was
issued by one of Moody's affiliates outside the UK and is endorsed
by Moody's Investors Service Limited, One Canada Square,
Canary Wharf, London E14 5FA under the law applicable to credit
rating agencies in the UK. Further information on the UK endorsement
status and on the Moody's office that issued the credit rating is
available on www.moodys.com.
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.
Cristina Quintana Poves
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
Javier Hevia Portocarrero
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
