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Related Issuers
Announcement:

Moody's confirms four classes of FTPYME Santander 1 SME ABS notes

27 Nov 2012

Frankfurt am Main, November 27, 2012 -- Moody's Investors Service has today confirmed the ratings of four classes of notes issued by FTPYME Santander 1, FTA, a Spanish SME ABS transaction originated by Banco Santander S.A. (Baa2/P-2). This action was primarily driven by the deal's robust performance thus far. Today's rating action concludes the review initiated by Moody's on 2 July 2012. A detailed list of affected ratings is available towards the end of this press release.

RATINGS RATIONALE

"Today's rating action reflects the good performance of this deal to date and the sufficient levels of available credit enhancement," says Anne-Sophie Spirito, a Moody's Assistant Vice President -- Analyst and lead analyst for the issuer. "The confirmations also take into account our negative forecast for Spanish SME performance," adds Ms. Spirito.

Moody's downgraded these notes in July 2012 because of the application of the Spanish country ceiling. At that time, the rating agency also placed the notes on review as the rating of the Kingdom of Spain was on review and because of the need to assess counterparty risk and reassess credit enhancement levels needed, in light of the deteriorating credit conditions in Spain.

Considering the deteriorating credit environment in Spain, the rating agency has updated its default assumption to 10% of the current pool balance (corresponding to 1% of original pool balance plus replenishments given the low pool factor of 15% for this deal).

Moody's decreased its recovery rate assumption to a 40% fixed recovery rate from 45%. This change reflects the ongoing and increasing difficulty in liquidating the real estate collateral of the loans backed by a mortgage guarantee, which represent 99% of the pool.

Moody's has finally increased volatility levels in its default scenarios. To reflect the instability and deteriorating situation in Spain, the rating agency has increased its volatility assumptions to 83%.

Despite lower recovery and higher volatility expectations for the transaction, Moody's was able to confirm the ratings of the four classes of notes in this deal as it shows good performance and credit enhancement levels are sufficient to offset these negative factors. It is also important to note that, although the pool factor is low, there is no particular debtor concentration issue in this deal as the junior notes are well covered by credit enhancement (credit enhancement below the Class D notes is higher than the percentage of the pool represented by the 20 biggest debtors).

-- PERFORMANCE

Historically, FTPYME Santander 1 performed better than Moody's Spanish SME delinquency index, and this has remained the case over recent periods, during which the index sharply increased while the delinquency level of the deal rose at a much more moderate pace. Over the last six months, 90+ day delinquency levels increased by 0.3% in FTPYME Santander 1 versus a 1.5% increase for the index over the same period. As of September 2012, 90+ day delinquencies stood at 1.2% of current pool balance, versus the index at 4.9%.

-- COUNTERPARTY RISK

The issuer accounts were transferred in June 2012 to Santander UK Plc (A2/P-1) from Banco Santander S.A.. Banco Santander S.A. (Baa2/P-2) has remained the swap counterparty in the transaction, which is neutral for the transaction ratings. The swap provides support to the notes by guaranteeing a certain level of excess spread.

-- SENSITIVITY ANALYSIS

Moody's analysed various sensitivities of default rate and volatility levels to test the robustness of the ratings. In particular, if the revised levels of volatility were to be increased to 97%, the ratings of the four tranches would remain unchanged. An increase of the default rate to 14% of current balance would also have no impact on the ratings. As such, Moody's analysis encompasses the assessment of stressed scenarios.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today's rating action should not be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

METHODOLOGIES

The methodologies used in this rating were "Moody's Approach to Rating CDOs of SMEs in Europe", published in February 2007, "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. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's used its excel-based cash flow model, Moody's ABSROM?, as part of its quantitative analysis of the transaction. Moody's ABSROM? model enables users to model various features of a standard European ABS transaction including (1) the specifics of the default distribution of the assets, their portfolio amortisation profile, yield or recoveries; and (2) the specific priority of payments, triggers, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM? User Guide is available on Moody's website and covers the model's functionality as well as providing a comprehensive index of the user inputs and outputs

List of Ratings:

Issuer: FTPYME Santander I, Fondo de Titulizaci?n de Activos

....EUR537.1M B1(G) Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR134.3M B2 Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR27M C Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR87.3M D Notes, Confirmed at Ba3 (sf); previously on Jul 2, 2012 Ba3 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, and public information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a 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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history. The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Ludovic?Thebault
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Anne-Sophie Spirito
Asst Vice President - Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's confirms four classes of FTPYME Santander 1 SME ABS notes
No Related Data.
© 2021 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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