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02 Sep 2009
Euro 34 million of rated securities affected
Milan, September 02, 2009 -- Moody's Investors Service has today downgraded the long-term
credit ratings of the following notes issued by AyT FTPYME II, FTA
("AyT FTPYME II"):
- EUR34 million series F3 notes due 2032, downgraded to Ba3
from Baa3. This rating action concludes the review for possible
downgrade initiated on 23 March 2009.
Moody's initially assigned definitive ratings in December 2004.
Today's rating action concludes the rating review resulting from
Moody's revision of its methodology for granular SME portfolios
in Europe, the Middle East and Africa (EMEA). This revised
methodology was introduced on 17 March 2009 and the affected transactions
were subsequently placed on review for possible downgrade on 23 March
As a result of its revised methodology, Moody's has reviewed
its assumptions for AyT FTPYME II's collateral portfolio,
taking into account anticipation of performance deterioration in the current
down cycle and, the exposure of the transaction to the real estate
sector (either through security in the form of a mortgage or debtors operating
in the real estate sector). The deterioration of the Spanish economy
has been reflected in the Moody's negative sector outlook Moody's
published on the Spanish SME securitisation transactions ("EMEA
ABS, CMBS & RMBS Asset Performance Outlooks", July
2009). To date, this transaction has been performing better
than the Spanish SME index published by Moody's ("Spanish SME Q2 2009
Indices", September 2009).
As a result of the above, Moody's has revised its assumption
of the default probability of the SME debtors to an equivalent rating
in the single B-range for the debtors operating in the real estate
sector, and in the low Ba-range for the non-real-estate
debtors. At the same time, Moody's estimated the remaining
weighted average life of the portfolio to equal 5.6 years.
As a consequence, these revised assumptions have translated into
an increase of the cumulative mean default assumption for this transaction
to 13.0% of the current portfolio balance. Moody's
original mean default assumption was 4.8% (as a percentage
of original balance), with a coefficient of variation of 40%.
Given the relatively low effective number of borrowers in the portfolio
(578), the rating agency used a Monte-Carlo simulation to
determine the probability function of the defaults, with a resulting
coefficient of variation of 38%. The recovery rate assumption
is now 40% while values in the 33% to 43% range were
tested at closing. The revised constant prepayment rate (CPR) assumption
is now 5%, which is comparable to values observed throughout
the last reporting periods, while the CPR assumption was 15%
In summary, Moody's concluded that the negative effects of
the revised default and recovery assumptions were not fully offset by
the increased credit support available for the outstanding series F3 notes
and the limited reduction in the remaining life of the portfolio and notes.
AyT FTPYME II is a securitisation fund, which purchased a pool of
loans granted by Caja de Ahorros y Monte de Piedad de Madrid, Caja
de Ahorros de Vitoria y Alava, Caixa d'Estalvis de Terrassa,
Caja de Ahorros y Monte de Piedad de Navarra, Monte de Piedad Caja
Ahorros Huelva, Jerez y Sevilla, and Caja de Ahorros de Granada
to Spanish SMEs. At closing, in December 2004, the
portfolio consisted of 6,132 loans. The loans were originated
between 1993 and 2004, with a weighted average seasoning of 2.8
years and a weighted average remaining term of 11.5 years.
Geographically, the pool was concentrated in Madrid (28%),
Andalucia (27%) and Navarra (9.0%). At closing,
the concentration in the real estate sector was 14% of the original
As of July 2009, the number of loans in the portfolio amounted to
2,021 and the weighted average remaining term was 10 years.
The concentration levels per industry and regions are similar to their
levels at closing with around a 15% exposure in the building and
real estate sector, which is lower than the average concentration
in this sector in the SME ABS portfolios. The pool factor was 32%.
Moody's ratings address the expected loss posed to investors by
the legal final maturity of the notes. Moody's ratings address
only the credit risks associated with the transaction. Other non-credit
risks have not been addressed, but may have a significant effect
on yield to investors.
Moody's initially analysed and currently monitors this transaction
using the rating methodology for granular SME transactions in EMEA as
described in the following Rating Methodology reports: "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", March 2009; and "Moody's
Approach to Jointly Supported Obligations", January 1998.
Moody's is closely monitoring the transaction. To obtain
a copy of Moody's New Issue Report or periodic Performance Overviews,
please visit Moody's website at www.moodys.com or
contact our Client Service Desk in London (+44-20-7772
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades junior notes of Spanish SME ABS AyT FTPYME II, FTA
Structured Finance Group
Moody's Investors Service
No Related Data.
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