Press Release

DBRS Morningstar Takes Rating Actions on 50 European Structured Finance Transactions Following Finalisation of European Legal Criteria

ABCP, Auto, RMBS

April 06, 2021

DBRS Ratings GmbH (DBRS Morningstar) took rating actions on 50 European Structured Finance transactions as follows:

-- AyT Goya Hipotecario IV, Fondo de Titulización de Activos, Series A Notes (ES0312275003) upgraded to AA (high) (sf) from AA (sf)
-- AyT Goya Hipotecario V, Fondo de Titulización de Activos, Series A upgraded to AA (high) (sf) from AA (sf)
-- BBVA Consumer Auto 2020-1 FT, Series A downgraded to AA (low) (sf) from AA (sf)
-- BBVA Empresas 4 FTA, Series of Notes upgraded to AA (low) (sf) from A (high) (sf)
-- BBVA RMBS 10 FTA, Series A upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 11 FTA, Series A upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 12 FTA, Series A upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 13 FTA, Series A Notes upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 15 FTA, Bonds upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 16 FT, Bonds upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 17 FT, Series A Notes upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 18 FT, Series A Notes upgraded to AA (high) (sf) from AA (sf)
-- BBVA RMBS 5 FTA, Series A upgraded to AA (sf) from A (high) (sf)
-- BBVA RMBS 9 FTA, Bonds upgraded to AA (sf) from A (high) (sf)
-- BCC SME Finance 1 S.r.l., Class A2 Notes upgraded to AAA (sf) from AA (high) (sf)
-- Caixabank Consumo 2, FT, Series A upgraded to AA (sf) from A (sf)
-- Caixabank Consumo 3 F.T., Series A upgraded to AA (high) (sf) from A (high) (sf)
-- Caixabank Consumo 4 F.T., Class A Notes upgraded to AA (high) (sf) from AA (sf)
-- CaixaBank PYMES 10, FT, Series A upgraded to AA (high) (sf) from AA (sf)
-- CaixaBank PYMES 8, FT, Series A Notes upgraded to AA (sf) from A (high) (sf)
-- CaixaBank PYMES 9, FT, Series A Notes upgraded to AA (sf) from A (high) (sf)
-- Caixabank RMBS 1, FT, Series A (ES0305117006) upgraded to AA (sf) from A (sf)
-- Caixabank RMBS 2, FT, Class A Notes (ES0305247001) upgraded to AA (low) (sf) from A (sf)
-- Caixabank RMBS 3, FT, Series A Notes (ES0305308001) upgraded to AA (low) (sf) from A (sf)
-- Clara Sec. S.r.l. , Class A Notes downgraded to A (sf) from A (high) (sf)
-- Eridano SPV S.r.l., Class A Notes upgraded to AA (sf) from AA (low) (sf)
-- FT PYMES Santander 13, Series A Notes upgraded to AA (low) (sf) from A (high) (sf)
-- FT RMBS Santander 4, Series A Notes upgraded to AA (high) (sf) from AA (sf)
-- FT RMBS Santander 5, Series A Notes upgraded to AA (high) (sf) from AA (sf)
-- FT Santander Consumer Spain Auto 2016-1, Series A upgraded to AA (high) (sf) from AA (sf)
-- FT Santander Consumer Spain Auto 2016-1, Series B upgraded to AA (high) (sf) from AA (sf)
-- FTA RMBS Santander 2, Series A Notes upgraded to AA (high) (sf) from AA (sf)
-- FTA Santander Consumer Spain Auto 2014-1, Class A Notes (ES0305053003) upgraded to AA (high) (sf) from A (high) (sf)
-- FTA Santander Consumer Spain Auto 2014-1, Class B Notes (ES0305053011) upgraded to AA (high) (sf) from A (high) (sf)
-- FTA Santander Consumer Spain Auto 2014-1, Class C Notes (ES0305053029) upgraded to AA (sf) from A (sf)
-- FTA Santander Consumer Spain Auto 2014-1, Class D Notes (ES0305053037) upgraded to A (sf) from A (low) (sf)
-- FTA, Santander Hipotecario 9, Series A upgraded to AA (high) (sf) from AA (sf)
-- GAMMA - Sociedade de Titularização de Créditos, S.A. (Hipototta No. 13), Class A Notes upgraded to A (high) (sf) from A (sf)
-- IM BCG RMBS 2, FONDO DE TITULIZACIÓN DE ACTIVOS, Class A upgraded to AAA (sf) from AA (high) (sf)
-- IM Cajamar 5 F.T.A., Class A Notes (ES0347566004) upgraded to AA (high) (sf) from A (high) (sf)
-- IM Cajamar 6 F.T.A., Class A Notes (ES0347559009) upgraded to AAA (sf) from AA (sf)
-- IM Sabadell PYME 11, FT, Series A Notes upgraded to AA (sf) from A (high) (sf)
-- Quinto Sistema Sec. 2017 S.r.l., Class A Notes upgraded to AA (low) (sf) from A (high) (sf)
-- Quinto Sistema Sec. 2017 S.r.l., Class B1 Notes upgraded to A (sf) from A (low) (sf)
-- Rural Hipotecario X, Fondo de Titulización de Activos, Series A (ES0374275008) upgraded to AAA (sf) from AA (high) (sf)
-- Rural Hipotecario XI, Fondo de Titulización de Activos, Series A (ES0323975005) upgraded to AA (high) (sf) from AA (sf)
-- Rural Hipotecario XII, Fondo de Titulización de Activos, Series A (ES0323976003) upgraded to AAA (sf) from AA (high) (sf)
-- Rural Hipotecario XIV, Fondo de Titulización de Activos, Series A (ES0374268003) upgraded to AAA (sf) from AA (high) (sf)
-- Rural Hipotecario XV, Fondo de Titulización de Activos, Series A upgraded to AAA (sf) from AA (high) (sf)
-- Rural Hipotecario XVI, Fondo de Titulización de Activos, Series A Notes upgraded to AAA (sf) from AA (high) (sf)
-- Rural Hipotecario XVII, Fondo de Titulización de Activos, Bonds upgraded to AAA (sf) from AA (high) (sf)
-- SAGRES - Sociedade de Titularização de Créditos, S.A. (Ulisses Finance No. 1), Class A Notes upgraded to AAA (sf) from AA (sf)
-- SC Germany Auto 2014-2 UG (haftungsbeschränkt), Class A Notes (XS1107063676) upgraded to AA (sf) from AA (low) (sf)
-- Tagus - Sociedade de Titularização de Créditos, S.A. (Aqua Finance No. 4), Class B Notes upgraded to AA (low) (sf) from A (high) (sf)
-- TDA Sabadell RMBS 4, Fondo de Titulización, Class A Notes upgraded to AA (low) (sf) from A (high) (sf)

The key driver for the rating actions is the finalisation of the “Legal Criteria for European Structured Finance Transactions” methodology, which includes a matrix to assess the risk of loss due to an account bank’s failure. For more information on changes in the methodology, please refer to “DBRS Morningstar Publishes Final Legal Criteria for European Structured Finance Transactions” at https://www.dbrsmorningstar.com/research/376312/dbrs-morningstar-publishes-final-legal-criteria-for-european-structured-finance-transactions.

For transaction performance, please refer to the latest Performance Analytics Report for each transaction, available at www.dbrsmorningstar.com.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

DBRS Morningstar analysed the transaction structures in Intex for ABS and RMBS transactions and in its proprietary cash flow engine for Structured Credit transactions.

Notes:
All figures are in euros unless otherwise noted.

The principal methodologies applicable to the ratings are the “Master European Structured Finance Surveillance Methodology” (8 February 2021) for ABS and RMBS transactions and “Rating CLOs Backed by Loans to European SMEs” (30 September 2020) for SME transactions.

In DBRS Morningstar’s opinion, the changes under consideration do not require the application of the entire principal methodologies. Therefore, DBRS Morningstar focused on the rating impact of the changes introduced by the updated “Legal Criteria for European Structured Finance Transactions” methodology.

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

A review of the transaction legal documents were not conducted as the legal documents have remained unchanged since the most recent rating action of each transaction.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include performance data provided in the most recent investor, servicer, and/or trustee reports as well as loan-by-loan information for each transaction provided by the issuer or its agents or the European Datawarehouse GmbH.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was supplied with one or more third-party assessments for all the transactions except BBVA Empresas 4 FTA; BBVA RMBS 5, 9, 10, 11, 12, and 13 FTA; BCC SME Finance 1 S.r.l.; IM BCG RMBS 2, FTA; IM Cajamar 5 and 6 FTA; and Rural Hipotecario X, XI, XII, XIV, XV, XVI, and XVII FTA. However, this did not impact the rating analysis in any case.

DBRS Morningstar considers the data and information available to it for the purpose of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies is available at www.dbrsmorningstar.com.

To assess the impact of changing the transaction parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):
Rating changes on the transaction’s account bank ratings could lead to changes on the rating of the notes in the same direction, in accordance with the “Legal Criteria for European Structured Finance Transactions” methodology. Similarly, amendments to the replacement triggers of the transactions or changes in the transaction account banks could also lead to changes on the ratings of the notes.

Among other rating factors that could lead to an upgrade or downgrade of the ratings, DBRS Morningstar notes: sovereign rating changes, increase or decrease in transaction credit enhancements, and improvement or deterioration in the performance of the underlying collateral for each transaction.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

The Lead Analyst, Rating Committee Chair, Initial Rating Date, and the Last Rating Action for each transaction are available at https://www.dbrsmorningstar.com/research/376346.

The lead analyst responsibilities for BBVA Consumer Auto 2020-1 FT and Clara Sec S.r.l. have been transferred to Petter Wettestad and Daniele Canestrari, respectively.

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500

Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at http://www.dbrsmorningstar.com/research/278375.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

Download This Press Release