Nov 21 - Fitch Ratings has downgraded Class A(G) of IM FTGENCAT SABADELL 2
(IM FTGENCAT) and GC FTGENCAT SABADELL 1 (GC FTGENCAT) transactions and removed
them from Rating Watch Negative (RWN), as follows:
EUR150.6m Class A(G) notes: downgraded to 'BBBsf' from 'Asf'; off RWN; Stable
EUR19.8m Class B notes: affirmed at 'CCCsf'; Recovery Rating (RR) 50%
EUR5.7m Class C notes: affirmed at 'CCsf', RR 0%
EUR81.8m Class A(G) notes: downgraded to 'Asf' from 'A+sf'; off RWN; Stable
Eur19.8m Class B notes: upgraded to 'BBsf' from 'Bsf'; Stable Outlook
EUR5.7m Class C notes: affirmed at 'CCCsf'; RR revised to 60% from 50%
The downgrades of the Class A(G) notes reflect the agency's assessment of the
potential payment interruption and commingling loss risk that noteholders could
be exposed to if there was a servicer disruption event, particularly as
collections from the collateral are swept to the SPV bank accounts on a monthly
basis and the sources of liquidity are below their target levels (the reserve
funds were partially funded at 37% of the required amount for IM FTGENCAT and
58% for GC FTGENCAT as of October 2012).
Fitch believes that although the transactions have mitigated the ineligible
counterparty risk on the SPV bank accounts, which are now held by Banco de
Espana (unrated) for IM FTGENCAT and Barclays Bank plc, Spanish Branch
('A'/Stable/'F1'/) for GC FTGENCAT, the direct exposure to Sabadell as
collateral servicer has not been mitigated.
For IM FTGENCAT, Fitch believes there is a material obligor concentration risk,
which was the rationale for the downgrade of the Class A(G) notes to the 'BBBsf'
category. The top 10 obligors in this transaction account for 14.5% of the
aggregated collateral balance as at end of October 2012, compared 16.5%
subordination available to this tranche.
Sabadell continues to be the interest rate swap provider in both transactions.
While Fitch has been made aware that Sabadell is implementing a weekly
collateralisation mechanism in GC FTGENCAT, no such arrangement is in place for
IM FTGENCAT. Fitch has taken into account this information and any impact of
Sabadell as the swap counterparty in line with its counterparty criteria for
structured finance transactions.
The upgrade of GC FTGENCAT's class B notes reflects the collateral performance
and continuing de-leveraging of the pool. The 90+ day delinquency ratio was 1%
and the cumulative loss was 2.3% of the outstanding portfolio as at September
2012. The portfolio is currently 24% of its original size.
Both transactions are securitisation of finance leases on real estate and
certain other assets originated in Spain by Sabadell. Only the lease receivables
portion of the lease contracts is securitised (excluding any residual value
component). All obligors are small and medium-sized enterprises located in the
region of Catalunya, the home region of the originator.
More performance data on IM and GC FTGENCAT is available at
Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.
The information used to assess the ratings was provided by Intermoney
Titulizacion S.G.F.T. and GestiCaixa Titulizacion S.G.F.T.
Applicable criteria, 'EMEA Consumer ABS Rating Criteria', dated 12 July 2012,
'Global Structured Finance Rating Criteria', dated 6 June 2012, 'Counterparty
Criteria for Structured Finance Transactions', dated 30 May 2012, 'Counterparty
Criteria for Structured Finance Transactions: Derivative Addendum', dated 30 May
2012, 'Criteria for Interest Rate Stresses in Structured Finance Transactions',
dated 20 March 2012 are available at www.fitchratings.com.
Applicable Criteria and Related Research:
EMEA Consumer ABS Rating Criteria
Global Structured Finance Rating Criteria
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
Criteria for Interest Rate Stresses in Structured Finance Transactions