(Repeat for additional subscribers)
may 6 (The following state ment was released by the rating agency)
Fitch Ratings has upgraded IM Gupo Banco Popular Empresas
1's class C notes and affir med the others, as follows:
EUR105 m Class A2 (ISIN ES0347843015): affir med at 'AA+sf'; Outlook Stable
EUR28.8 m Class B (ISIN ES0347843023): affir med at 'AA+sf'; Outlook Stable
EUR27.0 m Class C (ISIN ES0347843031): upgraded to 'AA+sf' fro m 'A+sf'; Outlook
EUR54.9 m Class D (ISIN ES0347843049): affir med at 'BBsf'; Outlook Stable
EUR32.4 m Class E (ISIN ES0347843056): affir med at 'CCsf'; RE 50 percent
I m Grupo Banco Popular E mpresas 1 is a cash flow securitisation of an initial
EUR1.8bn static pool of S mE loans granted by six entities of Grupo Banco
Popular, which have since merged with Bano Popular Espanol SA (BB+/Stable/B).
KEY RATING DRIVERS
The upgrade of the class C notes reflects the transaction's improved performance
over the past year and increase in credit enhance ment as the transaction has deleveraged.
Credit enhance ment for the class C notes has risen to 49 percent fro m 36 percent at the last
review allowing it to withstand stresses at the 'AA+sf' level.
Although the class C can defer interest once the class B beco mes
undercollateralised, this trigger is unlikely to be breached under the 'AA+sf'
stress due to the large credit enhance ment for the class B notes.
Credit enhancement has significantly improved for the two senior notes, rising
to 76 percent from 55 percent for the class A notes and to 62 percent fro m 59 percent for the
class B notes.
Both classes have been affirmed as the sovereign rating of Spain
(BBB+/Stable/F2) caps the highest achievable rating for the transaction at
The class E notes have been affirmed at 'CCsf' and the Recovery Estimate reduced
to 50 percent due to the increased reliance of the junior tranche on recoveries as
The portfolio has a mortised to 11 percent of its original outstanding balance down from
14 percent at the last review. The 90+ and 180+ arrears buckets have also continued to
decrease following a peak of 4.8 percent 90+ days in arrears in November 2012. 90+
arrears are currently 2 percent of the outstanding principal balance and 180+ arrears
1 percent. The decrease in arrears is due to the movement of delinquent loans into
Fitch ran two sensitivities. In the first the default probability (PD) was
increased by 25 percent and in the second the recovery rate was reduced by 25 percent. The
increase of the PD resulted in a one-notch downgrade for the class D notes. The
decrease of 25 percent to the recovery rates resulted in a two-notch downgrade for the
class D notes.
(Reporting by Arnab Sen in Bangalore)