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TEXT-Fitch cuts ICO Mediacion I AyT FTA, ICO Mediacion II AyT, FTA
September 26, 2012 / 2:26 PM / in 5 years

TEXT-Fitch cuts ICO Mediacion I AyT FTA, ICO Mediacion II AyT, FTA

Sept 26 - Fitch Ratings has downgraded ICO Mediacion I AyT FTA (ICO I) and
ICO Mediacion II AyT, FTA (ICO II), as follows:

ICO I:
Class A notes (ISIN ES0347524003) downgraded to 'BBBsf' from 'Asf'; off RWN;
Negative Outlook
Syndicated loan affirmed at 'B+sf'; off RWN; Stable Outlook

ICO II:
Class A notes (ISIN ES0347456008) downgraded to 'BBBsf' from 'Asf'; off RWN;
Negative Outlook

The downgrades of the senior tranches of ICO I and II reflect the excessive
exposure to Instituto de Credito Oficial (ICO, 'BBB'/Negative/'F2') as
counterparty, linking the ratings of the notes to ICO's rating.

ICO acts as account bank, financial agent and swap counterparty in both
transactions. The deals are in breach of their legal documents since the
downgrade of ICO in June 2012. None of the remedial actions formulated in the
documentation have been executed apart from the posting of collateral for the
swap of ICO I, which is posted in an account opened by the management company on
behalf of the fund at Barclays Bank plc ('A'/Stable/'F1'). The parties in the
transactions have not defined an action plan of remedial actions for the
ineligible counterparties.

A secondary driver for the rating actions is the uncertainty surrounding the
banking sector in Spain, as all the obligors in the pools are Spanish financial
institutions and this systemic risk cannot be fully isolated.

The Negative Outlook on the senior notes reflects Fitch's Outlook on the Spanish
sovereign rating and macroeconomic situation, which could lead to further
downgrades of ICO's rating and of the debt backing the transactions.

ICO I's class A notes benefit from credit enhancement of 37.2% provided by
overcollateralisation, the syndicated loan, which accounts for a 9.4% of the
deal and the EUR84.6m subordinated line of credit. ICO II's class A notes
benefit from credit enhancement of 91% provided by the EUR5,000m subordinated
credit line and overcollateralisation.

ICO I and II are cash-flow securitisations of static pools of 'mediation loans'
granted by ICO to Spanish financial institutions to lend mainly to small and
medium sized enterprises at rates below the market standard. The pools have a
weighted average rating of 'BBB-'/'BB+'.

Additional information is available at www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Sources of information: Investor reports and portfolio data as of 31 August 2012
provided by the management company.

Applicable criteria 'Global Rating Criteria for Corporate CDOs', dated 8 August
2012; 'Counterparty Criteria for Structured Finance Transactions', dated 30 May
2012; 'Counterparty Criteria for Structured Finance Transactions: Derivative
Addendum', dated 30 May 2012 and 'Criteria for Rating Caps in Global Structured
Finance Transactions', dated 2 August 2012 are available at
www.fitchratings.com.

Applicable Criteria and Related Research:
Global Rating Criteria for Corporate CDOs
Counterparty Criteria for Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
Criteria for Rating Caps in Global Structured Finance Transactions

Our Standards:The Thomson Reuters Trust Principles.
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