Paris, March 15, 2011 -- Moody's Investors Service has today downgraded to Aa2 (sf) from
Aa1 (sf) the ratings of the notes in six asset-backed securities
(ABS) transactions backed by loans to small and medium enterprises (SMEs)
and the ratings of two notes in an ABS transaction backed by payment rights
in relation with Spanish electricity tariff deficits.
Today's downgrades follow Moody's downgrade of Spain's
sovereign rating to Aa2 from Aa1 on 10 March 2011. Spain guarantees
the payments on the affected ABS notes.
Today's downgrades conclude the review for possible downgrade of
the affected notes. The detailed list of the affected notes is
included below.
RATINGS RATIONALE
Moody's rates the guaranteed notes in the SME ABS transactions at
the higher of (i) the intrinsic credit risk of the notes (i.e.,
their credit risk without the guarantee); and (ii) the rating of
Spain.
All the affected notes have an intrinsic credit risk of Aa2 or lower and
Moody's has therefore downgraded their ratings to Aa2 (sf).
The downgrade of Spain's rating does not affect the ratings of other
Spanish-sovereign guaranteed ABS notes whose intrinsic credit risk
Moody's assesses at Aaa or Aa1.
Although Moody's methodology is a joint default analysis (JDA),
the rating agency will not rate the senior notes higher than Spain's rating,
if the intrinsic credit risk of the notes is not higher than Spain's rating.
Moody's draws this conclusion because its JDA considers not only the intrinsic
credit risk of the senior notes and Spain's credit risk, but
also the high correlation between Spain's credit risk and that of
the SMEs.
Spain guarantees interest and principal due under the notes issued by
Fondo de Titulización del déficit del sistema eléctrico,
FTA. Given the specific nature of this transaction, which
presents various differences compared with other electricity tariff securitisations,
the ratings of the notes are fully linked to the rating of Spain.
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.
Affected Notes
Issuer: Bankinter 4 FTPYME, FTA
Series A2(G) Certificate, Downgraded to Aa2 (sf); previously
on Mar 9, 2011 Definitive Rating Assigned Aa1 (sf) and Remained
On Review for Possible Downgrade
Issuer: Fondo de Titulización del déficit del sistema
eléctrico, FTA
Series 1 Notes, Downgraded to Aa2 (sf); previously on Feb 24,
2011 Aa1 (sf) Remained On Review for Possible Downgrade
Series 2 Notes, Downgraded to Aa2 (sf); previously on Feb 24,
2011 Definitive Rating Assigned Aa1 (sf) and Remained On Review for Possible
Downgrade
Issuer: AYT FTPYME II Fondo de Titulización de Activos
T2 Certificate, Downgraded to Aa2 (sf); previously on Dec 17,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: BBVA-6 FTPYME, Fondo de Titulización
de Activos
A2(G) Certificate, Downgraded to Aa2 (sf); previously on Dec
17, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: FTPYME TDA CAM 4, Fondo de Titulizacion de Activos
A3(CA) Notes, Downgraded to Aa2 (sf); previously on Dec 17,
2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: GC FTPYME Sabadell 6, Fondo de Titulización
de Activos
A3(G) Certificate, Downgraded to Aa2 (sf); previously on Dec
17, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: IM Grupo Banco Popular FTPYME I, Fondo de Titulizacion
de Activos
A5(G) Certificate, Downgraded to Aa2 (sf); previously on Dec
17, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
The lead analyst and rating office for each of the affected transactions
are generally different from the contact and office listed at the end
of this press release. For each transaction, the lead analyst
name is available on the issuer page and the rating office is available
on the ratings tab of the issuer on www.moodys.com.
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 maintaining
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.
Paris
Ariel Weil
Vice President - Senior 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 downgrades ratings on notes with Spain's guarantee in 7 Spanish ABS