Fitch placed the ratings of 13 series of multi-cédulas on Rating Watch Positive yesterday (Thursday), on the back of changes to its covered bond criteria, with the potential for upgrades of up to two notches.

The rating actions are the latest to come as a result of changes Fitch made to its covered bond rating criteria on 26 October.

Fitch yesterday afternoon placed on Rating Watch Positive (RWP) 13 multi-cédulas, from the AyT Cédulas Cajas, AyT Cédulas Cajas Global, Cédulas TDA and IM Cédulas platforms.

The rating agency expects to resolve the RWP by February, with potential upgrades of up to two notches.

The probability of default assessment of cédulas hipotecarias (CH) portfolios is now lower because of the recognition of the CHs’ exemption from bail-in under a resolution scenario of any issuing bank – resulting in a two-notch uplift over the issuing bank’s Issuer Default Rating (IDR).

Liquidity coverage of multi-cédulas transactions has increased because of Fitch’s lower default estimate of the portfolios. Fitch said the 13 series are protected by liquidity facilities that cover more than one year of interest due under the corresponding stress scenarios.

New and lower refinancing spread assumptions for Spanish mortgages decrease the overcollateralisation (OC) between mortgage cover pools and CH balances that is compatible with full recovery of principal and interest in scenarios of CH defaulting, the rating agency said.