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Spanish Multicedulas Covered Bonds Quarterly Reporting Data (June 2021): Programa Cedulas TDA, Fondo de Titulizacion de Activos (Series A5)

The program administrator has provided portfolio data as part of S&P Global Ratings' covered bond program surveillance process. The data for all the covered bond programs is presented in a standardized format.

Table 1

Program Overview And Rating Details
Cut-off date June 30, 2021
S&P issue ID 824396
Total outstanding liabilities (Mil. €) 1,310.00
Maturity profile Soft bullet
Credit/liquidity facility line (Mil. €) 41.77
Swap(s) in the transaction N
Maximum achievable multicedulas rating bbb+
Counterparty risk aaa
Country risk aaa
Multicedulas rating BBB+ (sf)

Table 2

Program Participants
Role Name Long-term rating CreditWatch/outlook Short-term rating Participation in program (%)
Issuer

Programa Cedulas TDA Series A5

-- -- -- --
Bank account provider BNP Paribas Securities Services A+ Stable A-1 --
Bank account provider/ liquidity line deposit account Citibank Europe PLC A+ Stable A-1 --
Originator 1 CaixaBank S.A. BBB+ Stable A-2 45.80
Originator 2 Liberbank, S.A. -- -- -- 26.72
Originator 3 Unicaja Banco, S.A. -- -- -- 27.48

Table 3

Cedulas Hipotecarias Creditworthiness
Originator number Originator name Cedulas hipotecarias ratings Available OC (%)* TCE
1 CaixaBank S.A. AA 103.92 31.38
2 Liberbank, S.A. -- 146.13 35.42
3 Unicaja Banco, S.A. -- 488.55 52.1
TCE--Target credit enhancement. *After our adjustments, deducting land, defaults, and employee loans. OC--Overcollateralization.

Table 4

Cover Pool Assets
Originator name Asset type Asset balance (Mil. €) Weighted-average seasoning (months) Weighted-average LTV Total arrears (%) WAFF (%) WALS (%) Credit analysis as of
CaixaBank, S.A. Residential 118,693.07 119.75 53.35 3.46 15.38 19.42 April-21
CaixaBank, S.A. Commercial 26,426.23 81.69 65.61 5.69 35.44 46.14 April-21
Liberbank, S.A. Residential 15,601.26 86.00 57.40 2.33 30.43 29.68 May-21
Liberbank, S.A. Commercial 2,099.41 65.00 55.29 10.16 50.85 56.03 May-21
Unicaja Banco, S.A. Residential 15,936.03 116.17 52.79 3.70 26.10 29.38 May-21
Unicaja Banco, S.A. Commercial 2,141.18 83.16 72.97 8.11 56.02 57.29 May-21
LTV--Loan-to-value. WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Asset data as of June 30, 2021 as reported by the issuer.

Table 5

Covered Bonds ISIN Codes
List of ISIN codes Currency Original principal balance Coupon rate Coupon index type Index margin Maturity date Legal maturity date
ES0371622046 EUR 1,310,000,000 4.25% --- --- March 28, 2027 March 28, 2030

This report does not constitute a rating action.

Primary Credit Analyst:Maria Luisa Gomez Grande, Madrid + 34 91 788 7208;
marisa.gomez@spglobal.com

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