Rating Actions Taken On 75 Tranches In 45 Italian, Spanish, And Portuguese ABS And RMBS Transactions


  • Following the implementation of our revised structured finance sovereign risk criteria and counterparty criteria, we placed several Italian, Spanish, and Portuguese RMBS and ABS ratings under criteria observation. Furthermore, on March 15, 2019, we raised our unsolicited foreign currency long-term sovereign rating on Portugal to 'BBB' from 'BBB-'.
  • Following the sovereign upgrade, on March 18, 2019, we raised our ratings on Santander Totta, Banco BPI, and its core subsidiary Banco Portugues de Investimento, which are counterparties for some of the transactions affected by today's actions.
  • Following the application of all our relevant structured finance criteria, we have taken rating actions on 75 tranches in 45 Italian, Spanish, and Portuguese RMBS and ABS transactions.
  
MADRID (S&P Global Ratings) April 4, 2019--S&P Global Ratings today took 
rating actions on 75 tranches in 45 Italian, Spanish, and Portuguese 
residential mortgage-backed securities (RMBS)and asset-backed securities (ABS) 
transactions (see list below). 

Today's rating actions follow the implementation of our revised structured 
finance sovereign risk criteria and counterparty criteria, the March 15, 2019 
upgrade of Portugal, and the subsequent raising of our issuer credit ratings 
(ICRs) on the counterparties in some of these transactions (see "Portugal 
Upgraded To 'BBB/A-2' From 'BBB-/A-3' On Declining Debt And Balanced Growth; 
Outlook Stable," and "Portugal-Based Banco BPI S.A. And Santander Totta S.A. 
Upgraded To 'BBB/A-2' After Similar Sovereign Rating Upgrade," published on 
March 18, 2019). 

We have applied our new sovereign risk criteria, which represent our global 
approach to rating structured finance securities above the foreign currency 
rating of the sovereign (see "Incorporating Sovereign Risk In Rating 
Structured Finance Securities: Methodology And Assumptions," published on Jan. 
30, 2019). The analytical framework consequently assesses the ability of a 
security to withstand a sovereign default scenario. These criteria classify 
the sensitivity of these transactions as low. Therefore, the highest rating 
that we can assign to the senior-most tranche in these transactions is six 
notches above the sovereign rating on the country in which the securitized 
assets are located, if certain conditions are met. 

Under our previous criteria, we could rate the senior most tranche up to six 
notches above the sovereign rating, while we could rate the remaining tranches 
in a transaction up to four notches above the sovereign. Additionally, under 
the previous criteria, in order to rate a tranche up to six notches, the 
tranche has to sustain an extreme stress (equivalent to 'AAA' benign 
stresses). Under the revised criteria, these particular conditions have been 
replaced with the introduction of the low sensitivity category. In order to 
rate a structured finance tranche above a sovereign that is rated 'A+' and 
below, we account for the impact of a sovereign default to determine if under 
such stress, the security continues to meet its obligations. For Italian, 
Spanish, and Portuguese transactions, we typically use asset-class specific 
assumptions from our standard 'A' run to replicate the impact of the sovereign 
default scenario. 

Our maximum potential ratings in transactions with underlying assets in Italy, 
Spain, and Portugal are now 'AA (sf)', 'AAA (sf)', and 'AA (sf)', 
respectively.

We have also applied our new structured finance counterparty criteria (see "
Counterparty Risk Framework: Methodology And Assumptions," published on March 
8, 2019). Following the sovereign upgrade of Portugal, on March 15, 2019, we 
raised our long-term ICRs on Santander Totta S.A., Banco BPI S.A., and its 
core subsidiary Banco Portugues de Investimento S.A., which are counterparties 
for some of the transactions affected by today's rating actions. The specific 
ratings cap depends on the replacement provisions and remedies described in 
the terms of their agreements.

Following the application of our criteria, we have taken the rating actions 
listed below. At the same time, we have placed on CreditWatch positive one 
rating in one transaction and placed on CreditWatch positive and kept under 
criteria observation our ratings on 10 tranches in four transactions. This is 
because we need to conduct a full analysis to determine the final impact of 
our new criteria on these transactions.

We will seek to resolve the CreditWatch placements within the next 90 days.
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