Transaction Update: Abanca Corporacion Bancaria S.A. (Mortgage Covered Bonds)

The asset-liability mismatch in the covered bond program has improved since our last analysis. Positive evolution of delinquent and restructured loans in the portfolio. The program benefits from an overcollateralization commitment, which is commensurate with the maximum potential notches of collateral-based uplift. Relatively high concentration of mortgage loans in a single region (Galicia). The structure does not benefit from an interest rate swap. 180 days of liquidity risk are not covered. S&P Global Ratings' positive outlook on its ratings on the mortgage covered bonds ("cedulas hipotecarias" or CHs) issued by Spain-based Abanca Corporacion Bancaria S.A. (Abanca; BB-/Positive/B) reflects the positive outlook on our unsolicited long-term sovereign rating on Spain (A-/Positive/A-2). This reflects that a rating action on the sovereign would

...+ The asset-liability mismatch in the covered bond program has improved since our last analysis. + Positive evolution of delinquent and restructured loans in the portfolio. + The program benefits from an overcollateralization commitment, which is commensurate with the maximum potential notches of collateral-based uplift....

Transaction Update Report