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27 Dec 2004
MOODY'S ASSIGNS DEFINITIVE RATINGS TO 4 CLASSES OF AYT FTPYME II FONDO DE TITULIZACIÓN DE ACTIVOS
EUR 500 MILLION OF DEBT SECURITIES AFFECTED
Madrid, December 27, 2004 -- Moody's Investors Service has assigned the following definitive ratings
to the debt issued by AYT FTPYME II, Fondo de Titulización
Aaa to the EUR 353.3 million Series F1 notes
Aa2 to the EUR 22.6 million Series F2 notes
Aaa to the EUR 90.1 million Series T2 notes
Baa3 to the EUR 34.0 million Series F3 notes
The definitive ratings address the expected loss posed to investors by
the legal final maturity (20 October 2032). In addition,
Moody's believes that the structure allows for timely payment of interest
and ultimate payment of principal at par on or before the final legal
AyT FTPYME II, FTA, a securitisation of small- and
medium-sized entreprises (SMEs) loans under the FTPYME programme
carried out by Caja Madrid (Aa2/P-1) and 5 unrated originators,
comes after the concession by the Spanish Ministry of Economy of a new
budgetary endowment amounting approximately EUR 1.8 billion for
the current year, for the purpose of guaranteing part of the notes
issued by the well-known FTPYME securitisation funds. The
exhaustion of previous guarantee budgets, combined with the increase
in demand for guarantees on the part of financial institutions,
justifies the concession of this new budgetary endowment. As opposite
to previous occasions, the legal framework has not experienced any
Strong features within this deal include among others: (1) swaps
agreement; (2) a 3.50% reserve fund to cover potential
shortfalls in interest or principal; (3) a 12-month artificial
write-off mechanism; and (4) the guarantee of the Kingdom
of Spain (Aaa/P-1), as concerns the Series T2 notes.
Weaker features include: (1) Limited historical data (2) Caps on
interest rates (this risk being mitigated by interest rate swaps) (3)
limited excess spread in the transaction, although the reserve fund
and the subordination have been sized accordingly. These increased
risks were reflected in the credit enhancement calculation.
The provisional pool of underlying assets was, as of November 2004,
made up of a portfolio of 6,132 loans and 5,846 borrowers
granted to Spanish SMEs. The loans have been originated between
1993 and 2004, with a weighted average seasoning of 2.8 years
and a weighted average remaining life of 11.5 years. The
weighted average interest rate is 3.62%, with all
the loans linked to floating reference rates. Around 80%
of the portfolio is composed of loans secured by a mortgage. Geographically
the pool is concentrated in Madrid (28%) Andalusia (27%)
and Navarra (9.0%). At closing, there will
not be no loans more than 30 days in arrears.
Moody's based the definitive ratings primarily on: (i) an evaluation
of the underlying portfolio of loans; (ii) historical performance
information; (iii) the swap agreement hedging the interest rate risk;
(iv) the cash reserve and the subordination of the notes; and (v)
the legal and structural integrity of the transaction.
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Juan Pablo Soriano
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.
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