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26 Feb 2010
EUR 161.8 million of rated securities affected
Frankfurt, February 26, 2010 -- Moody's Investors Service has today taken the following rating actions
on the long-term credit ratings of the following notes issued by
FTPYME TDA 7, FTA:
- EUR130.4 million Class A1: Confirmed at Aaa;
previously on March 23 2009 placed under review for possible downgrade.
- EUR 20.2 million Class B: Downgraded to Baa3 from
A2; previously on March 23 2009 placed under review for possible
- EUR11.2 million Class C: Downgraded to Caa1 from
Ba1; previously on March 23 2009 placed under review for possible
Moody's initially assigned definitive ratings in December 2007.
The Aaa rating of Class A2(CA) notes were not placed under review for
downgrade given they benefit from a guarantee from the Kingdom of Spain
Today's rating action concludes the review for downgrade, which
was initiated on 23 March 2009 as a result of Moody's revision of its
methodology for SME granular portfolios in EMEA (published on 17 March
As a result of its revised methodology, Moody's has reviewed its
assumptions for FTPYME TDA 7, FTA's collateral portfolio,
taking into account anticipation of performance deterioration of the pool
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 Moody's negative sector outlook
for the Spanish SME securitisation transactions (see "EMEA ABS & RMBS:
2009 Review & 2010 Outlook", January 2010). Since
January 2009, this transaction has been performing in line with
the Spanish SME index published by Moody's ("Spanish SME Q3 2009 Indices",
November 2009). The reserve fund, which was drawn in Q3 2009,
was fully replenished in Q4 2009, and delinquencies of more than
90 days on current balance decreased to 1.74% in December
2009 from 3.23% in 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 debtors operating in the real estate sector,
and in the low Ba-range for non-real-estate debtors.
Also, the loans to micro SMEs and self employed individuals (60%
at closing) have been further notched down. Additionally,
loans in arrears have been notched down depending on their delinquency
status, and performing loans not in the building and real estate
sector with relatively long seasoning have been notched up depending on
their actual seasoning.
At the same time, Moody's estimated the remaining weighted-average
life of the portfolio to four years (assuming a 5% CPR).
These revised assumptions have translated into a cumulative mean default
assumption for this transaction of 18% of the current portfolio
balance (corresponding to 12.04% of the original pool balance).
Moody's original mean default assumption was 6.63% of original
portfolio balance, with a coefficient of variation of 50%.
Because of the relatively low effective number of borrowers in the portfolio
(283), Moody's used a Monte Carlo simulation to determine the probability
function of the defaults with a resulting coefficient of variation of
41.6%. The average recovery rate assumption was updated
at 60% (stochastic recovery rate) compared with 55% assumed
at closing based on actual recoveries observed so far in the transaction
and collateralisation level. The prepayment rate is assumed to
be 5%, which is comparable to recently observed levels for
In summary, Moody's concluded that the negative effects of the revised
default assumptions were not fully offset by the increased credit support
available for the outstanding Class B and C notes.
The Class A2(CA) notes benefit from a guarantee from the Kingdom of Spain
(Aaa) for interest and principal payments. Moody's has determined
that the expected loss associated with Class A2(CA) without the Kingdom
of Spain guarantee, which was consistent with Aaa at closing,
is still consistent with a Aaa rating.
FTPYME TDA 7, FTA is a securitisation fund, which purchased
a pool of loans granted to Spanish SMEs originated by Banco Guipuzcoano.
In December 2007, the portfolio consisted of 1,345 loans.
The loans were originated between 2004 and 2007, with a weighted-average
seasoning of 1.25 years and a weighted average remaining term of
11.4 years. The concentration in the "Building and Real
Estate sector" has increased to 37% of the portfolio as of December
2009 from 34% of the portfolio at closing (according to Moody's
industry classification), while the number of borrower stood at
871. The geographic breakdown of the pool has not significantly
changed since closing, with concentrations in the Basque Country
(35.5%), Madrid (24%) and Catalonia (10.7%).
On 25 February 2010, Moody's withdrew the rating of Banco
Guipuzcoano (formerly Baa1/ P-2). The ratings have been
withdrawn following Banco Guipuzcoano's request and Moody's consideration
that it lacks adequate information to maintain the ratings based solely
on publicly available data. Please refer to Moody's Withdrawal
Policy on www.moodys.com.
Moody's tested various scenarios related to potential commingling
risk in the transaction in the context of this review. Moody's
also considered that the liquidity ensured by the reserve fund,
which is currently at its target level amount of 5.77%,
was consistent with the revised ratings. The notes may suffer further
rating pressure in the future if the reserve fund is significantly depleted.
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: "Moody's Approach to
Rating Granular SME Transactions in Europe, Middle East and Africa",
June 2007 and "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. These reports
are available on www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies
in "Structured Finance Quick Check" at www.moodys.com/SFQuickCheck.
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades notes of FTPYME TDA 7, FTA Spanish SME ABS; senior notes are confirmed
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
No Related Data.
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