(The following statement was released by the rating agency)
Nov 19 -
-- We have reviewed the performance of Madrid Ftpyme I, performing our credit and cash flow
analysis using the latest available trustee reports.
-- We have also reviewed counterparty and sovereign risk in the transaction, and have
concluded that the rating on the notes is constrained under our 2012 counterparty criteria,
based on our review of the support provided by the account bank, Banco Santander
-- As a result, we have lowered to 'A (sf)' from 'AA- (sf)' our rating on the class A2 (G)
Standard & Poor's Ratings Services today lowered to 'A (sf)' from 'AA- (sf)' its credit
rating on Madrid Ftpyme I, Fondo de Titulizacion de Activos' class A2 (G) notes.
Today's rating action follows our assessment of the transaction's performance since our
previous review in 2011 (see "Related Criteria and Research"). We have applied our criteria for
rating European SME securitizations, our nonsovereign ratings criteria, and our 2012
counterparty criteria (see "Update To the Criteria For Rating European SME Securitizations,"
published on Jan. 6, 2009, "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology
And Assumptions," published on June 14, 2011, and "Counterparty Risk Framework Methodology And
Assumptions," published on May 31, 2012).
Our 2012 counterparty criteria state that bank account providers that provide "limited"
support are required to be adequately rated (absent other mitigants) in order to achieve the
maximum potential rating on a supported security (see table 1 in "Counterparty Risk Framework
Methodology And Assumptions"). This includes counterparties that commit to replace themselves
within the remedy period as outlined by our criteria.
Banco Santander (BBB/Negative/A-2) currently acts as bank account provider for this
transaction. Following our analysis of the transaction documents and the application of our 2012
counterparty criteria, we have concluded that the rating on the class A2 (G) notes is
constrained by the long-term rating on Banco Santander as bank account provider in this
transaction. Under our criteria, the maximum potential rating achievable on the class A2 (G)
notes is 'A (sf)' (see table 1 in "Counterparty Risk Framework Methodology And Assumptions"). We
have therefore lowered to 'A (sf)' from 'AA- (sf)' our rating on the class A2 (G) notes.
Part of our performance review of the transaction also included a credit and cash flow
analysis. We subjected the transaction's capital structure to our cash flow analysis, based on
the methodology and assumptions as outlined in our European SMEs criteria. We used the reported
portfolio balances that we considered to be performing and the current weighted-average
collateral pool margins. The transaction also benefits from a reserve fund, which was fully
funded at issuance, representing around 22% of the portfolio balance, up from 14.20% at closing.
The notional balance of the reserve fund remains unchanged.
Our analysis shows that currently 59% of the outstanding loans since origination remain in
the pool. The transaction has continued to amortize, whereby the deleveraging of the class A2
(G) notes has led to higher subordination levels. At the same time, however, the amortization of
the underlying pool has also meant an increase in obligor concentration since closing.
Specifically, according to our analysis:
-- The top 10 obligors now represent 9.67% of the portfolio balance, up from 8.33% at
-- The top 20 obligors represent 14.95%, up from 12.53% at closing:
-- The top 30 obligors represent 18.96%, up from 15.81% at closing; and
-- The top 40 obligors represent 22.11%, up from 18.49% at closing.
We factored into our analysis the increase in obligor concentration and concluded that the
portfolio remains sufficiently diverse to the extent that our rating on the class A2 (G) notes
was not affected.
Although our credit and cash flow analysis shows that the class A2 (G) notes are able to
attain ratings higher than their current 'AA- (sf)' rating, the notes are not able to attain
ratings higher than 'AA- (sf)' as a result of the application of our nonsovereign ratings
criteria. Under these criteria, the highest rating we would assign to a structured finance
transaction is six notches above the investment-grade rating on the country in which the
securitized assets are located (Kingdom of Spain; BBB-/Negative/A-3). However, we have today
downgraded these notes due to the application of our 2012 counterparty criteria, which means
that the maximum rating on the notes is 'A (sf)'.
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
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five
Macroeconomic Factors, Nov. 4, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June
-- Ratings List Resolving European Structured Finance Counterparty CreditWatch
Placements-June 14, 2011 Review, June 14, 2011
-- Principles of Credit Ratings, Feb. 16, 2011
-- Update To The Criteria For Rating European SME Securitizations, Jan. 6, 2009