EUR 400 million of debt securities rated
Madrid, February 23, 2011 -- Moody's Investors Service has assigned provisional ratings to Notes issued
by Bankinter 4 FTPYME, Fondo de Titulización de Activos :
Issuer: Bankinter 4 FTPYME, FTA
....EUR160M Series A1 Notes, Assigned
(P)Aaa (sf) (currently EUR31.16M outstanding)
....EUR174.4M Series A2(G) Notes,
Assigned (P)Aa1 (sf) and Placed Under Review for Possible Downgrade
....EUR19.6M Series A3 Notes,
Assigned (P)Aa3 (sf)
....EUR30M Series B Notes, Assigned
(P)B1 (sf)
....EUR16M Series C Notes, Assigned
(P)B3 (sf)
RATINGS RATIONALE
Bankinter FTPYME 4 is a securitization of loans granted to small-
and medium-sized enterprises (SME) by Bankinter (A1/P-1,
Rating under review for possible downgrade). Bankinter is acting
as Servicer of the loans while Europea de Titulización S.G.F.T.,
S.A. is the Management Company ("Gestora").
The transaction closed in September 2008 and was initially not rated by
Moody's. The initial notes balance issued at closing (shown above
next to the assigned rating) amounted to EUR 400.0 million.
The outstanding notes balance as of the last payment date in January 2011
amounts to EUR 271.16 million.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in January 2011. The next payment date
will take place in April 2011.
The pool of underlying assets was, as of December 2010, composed
of a portfolio of 1,207 non-written off contracts (originated
between 1997 and 2008) granted to obligors located in Spain.,
The portfolio has a weighted average seasoning of 3.8 years and
a weighted average remaining term of 12.3 years. Around
88.24% of the outstanding of the portfolio is secured by
first-lien mortgage guarantees over different types of properties(mainly
residential and commercial). Geographically, the pool is
located mostly in Madrid (30.18%), Andalucia (14.4%),
Catalonia (12.2%) and Valencia (11.3%).
According to Moody's, this deal benefits from several credit strengths.
(i) 88.24% of the portfolio is secured over first-lien
real estate properties; (ii) there is a swap hedging interest rate
risks; (iii) Series A2(G) benefits from the guarantee of the Kingdom
of Spain for interest and principal payments.The expected loss
associated with Series A2(G) notes is consistent with a Aa3 (sf) rating
regardless of the Spanish Treasury guarantee.
Moody's notes that the transaction features a number of credit weaknesses,
including: (a) According to Moody's industry classification
there is 37% exposure to the Construction and Building sector;
(b) 5.51% of the pool is more than 30 days in arrears.
These characteristics were reflected in Moody's analysis and ratings,
where several simulations tested the available 30.50% total
credit enhancement and reserve fund (as of January 2011) to cover potential
shortfalls in interest or principal envisioned in the transaction structure.
Moody's analysis focused primarily on (i) an evaluation of the underlying
portfolio of loans; (ii) historical performance information and other
statistical information; (iii) the credit enhancement provided via
excess-spread, the cash reserve and the subordination of
the notes.
The resulting key assumptions of Moody's analysis for this transaction
are a mean default rate between a range of 22.2%-23.5%
and a stochastic mean recovery rate of 61%.
The principal methodologies used in this rating were Refining the ABS
SME Approach: Moody's Probability of Default assumptions in the
rating analysis of granular Small and Mid-sized Enterprise portfolios
in EMEA published in March 2009, and Moody's Approach to Rating
Granular SME Transactions in Europe, Middle East and Africa published
in June 2007.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck
Moody's Investors Service did not receive or take into account a
third party due diligence report on the underlying assets or financial
instruments in this transaction.
The V Score for this transaction is Medium/High, which is in line
with the score assigned for the Spanish SME sector and representative
of the volatility and uncertainty in the Spanish SME sector. V-Scores
are a relative assessment of the quality of available credit information
and of the degree of dependence on various assumptions used in determining
the rating. For more information, the V-Score has
been assigned accordingly to the report " V Scores and Parameter Sensitivities
in the EMEA Small-to-Medium Enterprise ABS Sector " published
in June 2009.
Moody's also ran sensitivities around key parameters for the rated notes.
For instance, if the assumed default probability range of 22.2%-23.5%
used in determining the initial rating was changed to 31.9%-34.0%
and the recovery rate of 61% was changed to 41%, the
model-indicated rating for the Series A1 would have remained Aaa
(sf), while Series A2(G), Series A3, Series B and Series
C ratings of Aa3 (sf), Aa3 (sf), B1 (sf) and B3 (sf) would
have changed to Ba3 (sf), Ba3 (sf), Caa3 (sf) and C (sf).
The sensitivity analysis for Series A2(G) does not take into consideration
the benefit from the Spanish government guarantee.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, public information and confidential
and proprietary Moody's Investors Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Madrid
Javier Hevia Portocarrero
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Stefan Augustin
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's assigns provisional ratings to notes issued by Bankinter 4 FTPYME, FTA
