(Repeat for additional subscribers)
March 22 () - (The following statement was released by the rating agency)
Fitch Ratings has assigned Foncaixa Leasings 2,
FTA's class A notes due December 2035 a final rating, as follows:
EUR977.5m class A (ISIN ES0315661001): 'A-sf'; Outlook Stable
EUR172.5m class B (ISIN ES0315661019): 'NRsf'
The transaction is a securitisation of a static EUR1.15bn portfolio of credit
rights associated to leasing contracts originated by CaixaBank
('BBB'/Negative/'F2') in Spain. A large share of the portfolio (c. 68% of the
assets in the preliminary portfolio analysed by Fitch) was previously
securitised in Foncaixa Leasings 1, FTA and has been refinanced in this
The leasing contracts have been underwritten by Spanish small and medium
enterprises domiciled in Spain. CaixaBank is Spain's largest commercial bank by
Spanish assets. The credits were originated in the course of the bank's ordinary
The rating is based on Fitch's assessment of origination and servicing
procedures of CaixaBank, the agency's expectations for asset performance in
light of the current recessionary economic environment in Spain, available
credit enhancement, the transaction's legal structure, counterparty risk, and
the capacity of the management company.
KEY RATING DRIVERS
Fitch has applied its unsecured recovery assumptions for the entire portfolio
despite the claim that the SPV has over the liquidation value of the underlying
real estate (RE) of some leasing contracts. Under Spanish law, the SPV would
only have an unsecured claim against the insolvency estate of CaixaBank upon
insolvency of the bank and default on its obligations under the assignment
agreement and the administrator agreement.
Internal Ratings by CaixaBank:
Fitch has relied on the discriminatory power of the internal rating models and
back-testing data provided by CaixaBank. The agency relied on historically
observed default rates by rating category.
RE and Building & Materials Sectors:
Fitch credited the better than market performance of CaixaBank's book exposed to
RE risk (37% of the final pool) by considering an annual average PD of 7% over
the next five years (Fitch's sector benchmark PD for Spain is an annual average
of 10%). Only a small proportion of the RE exposure is related to obligors with
development and construction activities.
Interest Rate Risk:
The notes are exposed to interest rate risk as there is no hedging agreement in
the structure. 15% of the portfolio pays a fixed rate of interest. Fitch has
considered the reset and basis risk associated with the mismatches between the
rates of assets and liabilities in the cash flow analysis.
Fitch based its analysis on a preliminary pool, dated 15 February 2013, of
23,976 leasing contracts with a principal balance of EUR1.22bn. The management
company randomly selected 22,676 contracts (EUR1.15bn) for transfer to the
issuer at closing. The pool has a WA seasoning of 49 months, and WA life of 49
CaixaBank provided loan-by-loan information on the collateral, and performance
data including vintages of historical defaults and recoveries for both RE and
non-RE leasing contracts. CaixaBank is an IRB bank and also provided
comprehensive information about its internal rating models which allowed Fitch
to use them in its analysis.
CaixaBank assumes all counterparty roles in the transaction (account bank,
financial agent, servicer) subject to structural triggers considered adequate by
Fitch to support the rating.
The notes would maintain investment grade status under significant stress.
Increasing the default rate by 15%, 30% and 45% would result in 'BBB+sf',
'BBB-sf', and 'BB+sf' best-pass rating levels. Fitch has assumed all lease
contracts to be unsecured during the analysis. Given the already low recovery
assumptions the notes rating shows very limited sensitivity to the recovery