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I AGREE
02 Aug 2011
Paris, August 02, 2011 -- Moody's Investors Service has today confirmed at Aaa(sf) the ratings
of the senior notes in GC FTPYME SABADELL 4, FTA and GC FTPYME SABADELL
5, FTA. Today's rating announcement concludes the rating
review of the transactions, which followed the implementation on
2 March 2011 of Moody's rating implementation guidance entitled "Global
Structured Finance Operational Risk Guidelines: Moody's Approach
to Analyzing Performance Disruption Risk." A detailed list of affected
ratings appears at the end of this press release.
RATINGS RATIONALE
Today's rating announcement reflects GC FTPYME SABADELL 4,
FTA and GC FTPYME SABADELL 5, FTA's compliance with Moody's
new operational risk guidance. The servicer is Banco Sabadell (rated
A3/P-2) and there is sufficient liquidity available to support
payments on the rated tranches in the event of a servicer disruption.
--SUFFICIENT LIQUIDITY
GC FTPYME SABADELL 4, FTA and GC FTPYME SABADELL 5, FTA both
have sufficient liquidity levels. As the two transactions have
no liquidity facility, their reserve fund is the sole source of
external liquidity to ensure continuity of payment on the notes in the
case of servicer disruption. The reserve funds currently represent
1.95% and 2.3%, respectively,
of current pool balance for GC FTPYME SABADELL 4, FTA and GC FTPYME
SABADELL 5, FTA. Both reserve funds are partially depleted
and currently stand at 41.7% and 54.6% of
their target, respectively. However, Moody's
does not anticipate a further depletion of the reserve fund in the coming
months. Indeed, stable transaction performance in the last
six months has allowed partial replenishment of the reserve funds.
Under the revised operational guidance, 6-9 months of senior
interest and costs, approximately equal to 2% of pool balance,
is sufficient for payment continuity on highly rated securities.
--SENIOR RATINGS REMAINING EXPOSED TO BANCO SABADELL'S RATING
Under Moody's operational risks guidance, a downgrade of the servicer
into the Baa3/Ba range will affect the ratings of the senior notes in
GC FTPYME SABADELL 4, FTA and GC FTPYME SABADELL 5, FTA.
--BANCO SABADELL ACTING AS A SWAP COUNTERPARTY AND BANK
ACCOUNT PROVIDER
Banco Sabadell acts as a swap counterparty and bank account provider in
GC FTPYME SABADELL 4, FTA and GC FTPYME SABADELL 5, FTA.
Following Banco Sabadell's downgrade to A3/P-2 on 24 March 2011,
the swap agreement requires Banco Sabadell to post collateral in compliance
with the current Moody's framework (see "Framework for De-Linking
Hedge Counterparty Risks from Global Structured Finance Cash Flow Transactions
Moody's Methodology", published 18 October 2010). Moody's
will monitor the compliance of the transactions with the current Moody's
framework for de-linking hedge counterparty risks. In addition,
Banco Sabadell informed Moody's that Banco Santander (Aa2 under review
for downgrade/P-1) has replaced Banco Sabadell as bank account
provider as of 21 July 2011.
Moody's sector outlook for Spanish small and medium-sized enterprise
asset-backed securities (SME ABS) is negative (as stated in Moody's
report entitled " EMEA ABS & RMBS Asset Performance Outlooks --
July 2011 Update ", published in July 2011).
The prinipal methodology used in rating was Moody's Approach to Rating
CDOs of SMEs in Europe, published in February 2007. Please
see the Credit Policy page on www.moodys.com for a copy
of this methodology .
Moody's ratings address the expected loss posed to investors by the legal
final maturity of the notes. The rating agency's ratings address
only the credit risks associated with the transaction. Moody's
has not addressed non-credit risks, which may have a significant
effect on yield to investors.
LIST OF AFFECTED RATINGS
Issuer: GC FTPYME SABADELL 4, FTA
Class A(G) Notes, Confirmed at Aaa(sf); previously on 2 March
2011, Aaa(sf) Placed on Review for Downgrade
Issuer: GC FTPYME SABADELL 5, FTA
Class A2 Notes, Confirmed at Aaa(sf); previously on 2 March
2011, Aaa(sf) Placed on Review for Downgrade
Class A3(G) Notes, Confirmed at Aaa(sf); previously on 2 March
2011, Aaa(sf) Placed on Review for Downgrade
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
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JOURNALISTS: 44 20 7772 5456
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Paris
Caroline Pichon
Associate Analyst
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Carole Gintz
VP - Senior Credit Officer
Structured Finance Group
Moody's France SAS
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's France SAS
96 Boulevard Haussmann
Paris 75008
France
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's confirms ratings on senior notes issued by GC FTPYME SABADELL 4, FTA and GC FTPYME SABADELL 5, FTA, Spanish SME ABS
No Related Data.
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