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TEXT-Fitch affirms FTPYME TDA CAM 2, F.T.A.
Aug 28 - Fitch Ratings has affirmed FTPYME TDA CAM 2, F.T.A.'s notes, as follows:
EUR58.2m Class 1CA(G) (ISIN ES0339758015): affirmed at 'AA-sf'; Outlook Negative
EUR27.8m Class 2SA (ISIN ES0339758023): affirmed at 'Asf'; Outlook Negative
EUR7.7m Class 3SA (ISIN ES033975031): affirmed at 'BB-sf'; Outlook Negative
Fitch has removed the class 1CA(G) and 2SA notes from Rating Watch Negative following the transfer of the treasury account to Barclays Bank plc ('A'/Stable/'F1'). Barclays Bank plc is an eligible counterparty according to the transaction documentation.
The affirmation is based on the credit enhancement (CE) available to the notes. The class 1CA(G) and 2SA notes continue to accumulate additional CE as the transaction deleverages.
Fitch notes the credit quality of the portfolio has deteriorated markedly in 2012. Loans more than 90 days in arrears represent 9.2% of the portfolio balance, up from 3.6% in December 2011.
The class 1CA(G) notes' rating and Outlook is limited by the rating of the Kingdom of Spain ('BBB'/Negative/'F2'). The highest achievable rating for Spanish structured finance transactions is 'AA-sf', five notches above the rating of the sovereign. See "Fitch: SF Impact of Spanish, Italian & Irish Sovereign Rating Actions", dated 1 Feb 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 for the class 2SA and 3SA notes reflects the notes' sensitivity to a sudden spike in defaults which would deplete the reserve fund.
Rising arrears and default levels have already started to erode the reserve fund, which declined to EUR7.1m from EUR8.2m in December 2011. Fitch expects further drawings on the reserve fund given the sizable arrears pipeline. The transaction considers loans more than 12 months in arrears as defaulted.
FTPYME TDA CAM 2, F.T.A., is a static cash flow SME CLO originated by Caja de Ahorros del Mediterraneo (CAM), now part of Banco de Sabadell ('BB+'/Stable/'B'). At closing, the issuer used the note proceeds to purchase a EUR750m 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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