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TEXT-Fitch affirms AyT Colaterales Global Empresas, F.T.A., Serie Caixa Galicia I
July 25, 2012 / 11:07 AM / 5 years ago

TEXT-Fitch affirms AyT Colaterales Global Empresas, F.T.A., Serie Caixa Galicia I

(The following statement was released by the rating agency)

July 25 - Fitch Ratings has affirmed AyT Colaterales Global Empresas, F.T.A., Serie Caixa Galicia I’s notes, as follows:

EUR206.1m Class A (ISIN ES0312214168): affirm at ‘AA-sf’; removed from Rating Watch Negative (RWN); Outlook Negative

EUR44.5m Class B (ISIN ES0312214176): affirm at ‘AA-sf’; removed from RWN; Outlook Negative

EUR5.0m Class C (ISIN ES0312214184): affirm at ‘AA-sf’; removed from RWN; Outlook Negative

EUR28.5m Class D (ISIN ES0312214192): affirm at ‘BBBsf’; Outlook Stable

The affirmation is based on the portfolio’s stable performance. Loans more than 90 days in arrears represent 1.88% of the portfolio balance, down from 2.02% in September 2011. Obligor concentration has increased slightly since the last review with the ten largest obligors accounting for 28.0% of the portfolio notional, up from 26.6% in September 2011. The removal of the class A, B and C 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 ratings of the class A, B, and C 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 for details of Fitch’s view on the link between sovereign Issuer Default Ratings and structured finance ratings for eurozone countries.

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 previous reviews of the transaction based on the loan identifiers provided. Fitch was unable to extract missing obligor information for approximately 1.6% 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.

AyT Colaterales Global Empresas, F.T.A., Serie Caixa Galicia I (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 EUR500m 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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