(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
-- 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
-- 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
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.
-- European Legal Criteria For Structured Finance Transactions, Aug. 28,
-- 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