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Rating Action:

Moody's upgrades two and affirms two tranches in two Spanish ABS-SME deals

28 May 2019

Madrid, May 28, 2019 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of two tranches and affirmed the rating of two tranches in two Spanish ABS-SME deals:

Issuer: CAIXABANK PYMES 9, FONDO DE TITULIZACION

....EUR1628M (current outstanding amount EUR1075.9M) Class A Notes, Upgraded to Aa1 (sf); previously on Mar 25, 2019 Upgraded to Aa2 (sf)

....EUR222M Class B Notes, Upgraded to B3 (sf); previously on Mar 25, 2019 Upgraded to Caa1 (sf)

Issuer: CAIXABANK PYMES 10, FONDO DE TITULIZACION

....EUR2793M (current outstanding amount EUR2439M) Class A Notes, Affirmed Aa2 (sf); previously on Nov 23, 2018 Definitive Rating Assigned Aa2 (sf)

....EUR532M Class B Notes, Affirmed Caa2 (sf); previously on Nov 23, 2018 Definitive Rating Assigned Caa2 (sf)

The two transactions are ABS backed by small to medium-sized enterprise (ABS SME) loans located in Spain. CAIXABANK PYMES 9, FONDO DE TITULIZACION and CAIXABANK PYMES 10, FONDO DE TITULIZACION were originated by CaixaBank, S.A.

RATINGS RATIONALE

Today's rating actions are prompted by the upgrade of CaixaBank, S.A. deposit rating to A3 from Baa1. Please see "Moody's upgrades CaixaBank's long-term deposit and junior senior debt ratings" (http://www.moodys.com/viewresearchdoc.aspx?docid=PR_400490). CaixaBank, S.A. acts as the issuer account bank and servicer in CAIXABANK PYMES 9, FONDO DE TITULIZACION and CAIXABANK PYMES 10, FONDO DE TITULIZACION.

The rating actions are also prompted by the increase in the credit enhancement (CE) available for the affected tranches due to portfolio amortization.

Credit enhancement levels for Class A and B Notes in CAIXABANK PYMES 9, FONDO DE TITULIZACION have increased to 23.6% and 6.5% from 21.7% and 5.9% since last rating action in March 2019. In the case of Class A Notes in CAIXABANK PYMES 10, FONDO DE TITULIZACION, CE levels have increased to 23.2% from 20.7% since closing last November 2018.

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 at 9.40% for CAIXABANK PYMES 9, FONDO DE TITULIZACION and at 10.0% for CAIXABANK PYMES 10, FONDO DE TITULIZACION. Recovery rate assumptions has been maintained at 33% for CAIXABANK PYMES 9, FONDO DE TITULIZACION and reduced to a fixed recovery rate assumption of 37% from stochastic for CAIXABANK PYMES 10, FONDO DE TITULIZACION . The Portfolio credit enhancement (PCE) has been maintained at 19% for CAIXABANK PYMES 9, FONDO DE TITULIZACION and maintained at 20% for CAIXABANK PYMES 10, FONDO DE TITULIZACION . Observed pool performance is in line with expectations on CAIXABANK PYMES 9, FONDO DE TITULIZACION while only one performance report was issued since closing on Nov 23 2018 for CAIXABANK PYMES 10, FONDO DE TITULIZACION.

Exposure to counterparties

Today's rating action took into consideration the notes' exposure to relevant counterparties, such as servicer or account banks.

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.

Principal Methodology:

The principal methodology used in these ratings was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in March 2019. 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

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