Jul
25
July 25 – Fitch Ratings has affirmed AyT Caixa Galicia Empresas I,
F.T.A.’s notes, as follows:
EUR164.6m Class A (ISINES0384955003): affirmed at ‘AA-sf’; removed from Rating
Watch Negative (RWN); Outlook Negative
EUR41.6m Class B (ISIN ES0384955011): affirmed at ‘Asf’; removed from RWN;
Outlook Stable
EUR27.1m Class C (ISIN ES0384955029): affirmed at ‘BBBsf’; Outlook Stable
EUR24.5m Class D (ISIN ES0384955037): affirmed at ‘Bsf’; Outlook Negative
EUR5.0m Class E1 (ISIN ES0384955045): affirmed at ‘Csf’; Recovery Estimate is RE
0%
EUR24.3m Class E2 (ISIN ES0384955052): affirmed at ‘Csf’; RE 0%
The affirmation is based on the portfolio’s stable performance. Loans more than
90 days in arrears represent 2.4% of the portfolio balance, up from 1.7% in
April 2011. Obligor concentration has increased slightly since the last review
with the ten largest obligors accounting for 11.8% of the portfolio notional, up
from 10.7% in April 2011. The removal of the class A and B notes from RWN
follows the transfer of the treasury account to Barclays Bank plc
(‘A’/Negative/’F1’), which is an eligible counterparty according to the
transaction documentation.
The rating of the class A notes and Outlook are limited by the rating of the
Kingdom of Spain (‘BBB’/Negative/’F2’; see”Fitch: SF Impact of Spanish, Italian
Irish Sovereign Rating Actions”, dated 1 February 2012 at www.fitchratings.com
for details of Fitch’s view on the link between sovereign Issuer Default Ratings
and structured finance ratings for eurozone countries).
The Negative Outlook on the class D notes reflects their vulnerability to a
front-loaded default timing distribution. In this scenario, defaults peak in the
short term leading to a deferral of class D interest payments. Following a
default in the portfolio, a mismatch is created between the performing
collateral balance and the balance of the liabilities. The transaction relies on
the reserve fund and excess spread to amortise liabilities to eliminate the
mismatch. If defaults peak early, the class D notes will be exposed to the risk
that the transaction is not able to capture enough excess spread to repay all
the accrued interest on the note. Fitch believes the current credit enhancement
of the note provides a limited cushion against this risk.
Fitch notes that the loan-by-loan data provided by the management company for
this review contained only a subset of the data received at closing. In
particular, the data lacked obligor information as well as details of any
collateral underlying secured loans in the portfolio. Fitch was able to retrieve
the missing data points from the portfolio data used during the initial rating
based on the loan and borrower identifiers provided. Fitch was unable to extract
missing obligor information for approximately 5% of the portfolio, mainly due to
changes in the loan identifier. When analysing the portfolio, Fitch modelled
these loans as granted to a single obligor. Fitch considered loans with missing
collateral valuation amounts unsecured in its analysis.
AyT Caixa Galicia Empresas I, F.T.A. (the issuer) is a static cash flow SME CLO
originated by Caja de Ahorros de Galicia (Caixa Galicia), now part of NCG Banco
S.A. (‘BB+’/Stable/’B’). At closing, the issuer used the note proceeds to
purchase a EUR874.9m portfolio of secured and unsecured loans granted to Spanish
small and medium enterprises and self-employed individuals. The transaction is
managed by Ahorro y Titulizacion, S.G.F.T., S.A.
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