TEXT-S&P rates Spanish FONCAIXA PYMES 3's class A notes
(The following statement was released by the rating agency)
Nov 23 -
-- We have assigned a 'A- (sf)' rating to FONCAIXA PYMES 3, Fondo de Titulizacion de Activos' class A notes.
-- This ABS transaction will securitize a pool of secured and unsecured loans, and draws of credit lines, granted to Spanish SMEs and self-employed borrowers. CaixaBank originated the pool in Spain.
Standard & Poor's Ratings Services today assigned its 'A- (sf)' credit rating to FONCAIXA PYMES 3, Fondo de Titulizacion de Activos' class A notes. FONCAIXA PYMES 3 has also issued class B notes to which we have not assigned a rating (see list below).
This asset-backed securities (ABS) transaction securitizes a pool of mainly unsecured loans (92% of the preliminary pool) granted by CaixaBank S.A. (BBB-/Watch Neg/A-3) to Spanish small and midsize enterprises (SMEs) and self-employed borrowers. CaixaBank will also act as servicer, paying agent, and treasury account provider.
The main features of the transaction are:
-- The issuer is established as a "fondo de titulizacion de activos" (a Spanish special-purpose entity with the sole purpose of issuing notes) FONCAIXA PYMES 3 has issued two tranches of notes: The rated class A notes and the unrated class B notes, which will be fully subordinated to the class A notes.
-- A reserve fund--representing 10% of the notes' initial balance-was fully funded at closing and provides credit support to the class A and B notes. The reserve fund is intended to pay interest shortfalls and principal payment for the class A and B notes during the life of the transaction.
-- There is only one counterparty in this transaction, CaixaBank, which acts as servicer, paying agent, and treasury account provider.
-- There is no interest rate swap agreement in this transaction.
-- As with other Spanish transactions, interest and principal has been combined into a single priority of payments. There is no interest-deferral trigger for the class B notes and its principal and interest payments are fully subordinated to the senior class A notes.
Our analysis has indicated the following key pool characteristics:
-- The pool comprises secured and unsecured loans, and draws of credit lines, granted to Spanish SMEs and self-employed borrowers. About 22% of the preliminary pool comprises loans granted to self-employed borrowers.
-- About 8% of the preliminary pool comprises secured loans backed by second-lien mortgages.
-- Of the pool, about 40% are fixed-rate loans, while the notes are paying a floating rate. Because there is no swap in the transaction to hedge this risk, we have applied additional stresses in our cash flow analysis.
-- There is no obligor concentration in the pool. The largest borrower represents 0.50% of the issuance amount and the largest 10 borrowers represent 3.27% of the issuance amount. The total number of loans is 72,497 and there are 63,469 borrowers in the preliminary pool.
-- The industry concentration in the pool is very low. The top sector--retail trade, excluding motor vehicles and motorcycles--represents 10.11% of the preliminary pool.
Our 'A- (sf)' rating on the class A notes reflects our assessment of the credit and cash flow characteristics of the underlying asset pool, as well as our analysis of the counterparty, legal, and operational risks of the transaction. Our analysis indicates that the credit enhancement available to the class A notes is sufficient to mitigate the credit and cash flow risks to an 'A' rating level. However, our rating is constrained at an 'A-' level because of the counterparty risk and the remedy action triggers in the documentation.
We consider that the transaction documents adequately mitigate the counterparty risk from the treasury account provider to a 'A-' rating level, in line with our 2012 counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on May 31, 2012).
RELATED CRITERIA AND RESEARCH
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Request For Comment: European SME CLO Methodology And Assumptions, Jan. 17, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Update To The Criteria For Rating European SME Securitizations, Jan. 6, 2009
-- European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008
-- Standard & Poor's Rating Methodology for CLOs Backed by European Small- and Midsize-Enterprise Loans, Jan. 30, 2003
FONCAIXA PYMES 3, Fondo de Titulizacion de Activos
EUR2.4 Billion Asset-Backed Floating-Rate Notes
A A- (sf) 2,040.0
B NR 360.0
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