26.11.2012 19:01
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Moody's downgrades seven classes of Bankinter SME ABS notes

Frankfurt am Main, November 26, 2012 -- Moody's Investors Service has today downgraded the ratings of seven classes of notes in BANKINTER 2 PYME, FTA and BANKINTER 3 FTPYME, FTA, primarily due to insufficient levels of credit enhancement given increased uncertainties in the current negative economic environment of Spain and expected performance deterioration. The two transactions are Spanish small and medium-sized enterprise asset-backed securities (SME ABS) originated by Bankinter, S.A. (Ba1/NP). At the same time, Moody's confirmed the ratings of two classes of notes in BANKINTER 2 PYME, FTA. This rating action concludes the various downgrade reviews initiated by Moody's between September 2011 and July 2012 on the various rated tranches. A detailed list of affected ratings is available towards the end of this press release.

RATINGS RATIONALE

"Today's rating action reflects the low levels of credit enhancement in both transactions given our negative forecast and severe downside scenarios for Spanish SME performance, as well as deteriorating performance in BANKINTER 3 FTPYME , FTA," said Yuezhen Wang, a Moody's Associate Analyst and lead analyst for the issuer. "Our decision follows the placement of the ratings on review because of counterparty risk, our reassessment of the needed credit enhancement levels in both transactions and worse-than-expected performance in BANKINTER 3 FTPYME , FTA," adds Ms. Wang.

-- PERFORMANCE

The two Bankinter SME ABS transactions have generally performed better than Moody's Spanish SME index in terms of delinquency. As of September 2012, Moody's Spanish SME 90- to 360-day delinquencies index stood at 4.6% (see "Spanish SME ABS Indices -- September 2012 ", 21 November 2012). This compares to 90- to 360-day delinquency levels of 2.1% in BANKINTER 2 PYME , FTA and 2.9% in BANKINTER 3 FTPYME , FTA. In terms of cumulative defaults, BANKINTER 2 PYME , FTA stood at 1.9% over the original pool balance in September 2012, while BANKINTER 3 FTPYME , FTA reached 3.1%, thereby underperforming Moody's Spanish SME cumulative default index of 2.3%.

-- KEY REVISED ASSUMPTIONS: CUMULATIVE DEFAULT, VOLATILITY AND RECOVERY

For BANKINTER 2 PYME , FTA, Moody's has maintained its default assumptions at 10% of the current portfolio given the stable performance and pool characteristics. However, Moody's has decreased its recovery rate assumptions to a 55% fixed recovery rate from a 65% stochastic recovery rate. This change reflects the ongoing and increasing difficulty in liquidating the real estate collateral of the loans backed by a mortgage guarantee. Moody's has also increased its volatility assumption to 115% to reflect the instability and deteriorating situation in Spain. Despite the revised assumptions, Moody's confirmed the ratings of the Class A2 and D notes in BANKINTER 2 PYME, FTA as credit enhancement levels were sufficient to off-set the lower recovery rate and higher volatility assumptions while class B and C were downgraded to Baa1 (sf) and Ba3(sf) from A3 (sf) and Ba2 (sf), respectively.

For BANKINTER 3 FTPYME, FTA, Moody's conducted a detailed analysis of performance, which has been worse than expected. At the end of October 2012, 90-day to 18-month delinquencies were equal to 4.1% of the current pool balance, cumulative 90+ day delinquencies stood at 9.7% of the original balance, compared to a current default assumption of 12% over the life of the transaction. Meanwhile, the pool factor of total securitised assets was 41% and the reserve fund was drawn. Moody's has increased the mean default assumption to 15.5% of the current portfolio, corresponding to an average rating proxy of B1+ for the portfolio quality with an estimation of remaining weighted-average life (WAL) of 5.6 years. When converting this number into a cumulative mean default rate of original balance, the revised expected cumulative default rate is 16.4%. The pool features an effective number of 630 borrowers and a 35% exposure to the real estate sector, while 98% of the loans benefit from a mortgage guarantee. The recovery rate assumption is now 60% (fixed recovery rate), compared to the currently assumed 70% stochastic recovery rate, reflecting ongoing and increasing difficulty in liquidating the real estate collateral of the loans. Moody's has also increased volatility to 98%, considering the increased uncertainties for further performance deterioration in the current economic cycle.

-- SENSITIVITY ANALYSIS

Moody's analysed various sensitivities of default rate, recovery rates and volatility levels to test the robustness of its revised ratings. In particular, if the revised levels of volatility were to be increased by a further 10% (to 125% in BANKINTER 2 PYME , FTA and 108% in BANKINTER 3 FTPYME , FTA, respectively), the rating of the senior tranche in both deals would remain unchanged. As such, Moody's analysis encompasses the assessment of stressed scenarios.

-- COUNTERPARTY RISK

Following the downgrade of Spanish banks, some remedies have been put in place in order to mitigate the increased counterparty risk in both transactions. In BANKINTER 2 PYME , FTA, the issuer account bank is held at Bankinter while a guarantee has been provided by Credit Agricole Corporate and Investment Bank (A2/P-1). In BANKINTER 3 FTPYME , FTA, the issuer account bank was transferred to Barclays Bank PLC (A2/P-1) from Banco Santander S.A. (Spain) (Baa2/P-2) in July 2012. Besides, Banco Bilbao Vizcaya Argentaria, S.A. (BBVA, Baa3/P-3) acts as swap counterparty in both transactions and provides a basis interest rate swap covering the interest rate risk. Based on the provided information, BBVA has been posting cash collateral on a weekly basis.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today's rating action should not be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

LIST OF AFFECTED RATINGS

Issuer: BANKINTER 2 PYME, FTA

....EUR682M A2 Notes, Confirmed at A3 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Remained On Review for Possible Downgrade

....EUR16.2M B Notes, Downgraded to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Placed Under Review for Possible Downgrade

....EUR27.5M C Notes, Downgraded to Ba3 (sf); previously on Jul 2, 2012 Ba2 (sf) Placed Under Review for Possible Downgrade

....EUR10.7M D Notes, Confirmed at Caa2 (sf); previously on Jul 2, 2012 Caa2 (sf) Placed Under Review for Possible Downgrade

Issuer: BANKINTER 3 FTPYME, Fondo de Titulización de Activos

....EUR288.9M A2 Notes, Downgraded to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Remained On Review for Possible Downgrade

....EUR91.2M A3 (G) Notes, Downgraded to Baa1 (sf); previously on Jul 2, 2012 Downgraded to A3 (sf) and Remained On Review for Possible Downgrade

....EUR23.1M B Notes, Downgraded to Ba3 (sf); previously on Sep 22, 2011 Baa3 (sf) Placed Under Review for Possible Downgrade

....EUR6M C Notes, Downgraded to B2 (sf); previously on Sep 22, 2011 Ba2 (sf) Placed Under Review for Possible Downgrade

....EUR10.8M D Notes, Downgraded to Caa2 (sf); previously on Sep 22, 2011 B3 (sf) Placed Under Review for Possible Downgrade

PRINCIPAL METHODOLOGIES

The methodologies used in these ratings were "Moody's Approach to Rating CDOs of SMEs in Europe", published in February 2007, "Refining the ABS SME Approach: Moody's Probability of Default assumptions in the rating analysis of granular Small and Mid-sized Enterprise portfolios in EMEA", published in March 2009, and "Moody's Approach to Rating Granular SME Transactions in Europe, Middle East and Africa", published in June 2007. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

Moody's used its excel-based cash flow model, Moody's ABSROM[TM], as part of its quantitative analysis of the transaction. Moody's ABSROM[TM] model enables users to model various features of a standard European ABS transaction including: (1) the specifics of the default distribution of the assets, their portfolio amortisation profile, yield or recoveries; and (2) the specific priority of payments, triggers, swaps and reserve funds on the liability side of the ABS structure. Moody's ABSROM[TM] User Guide is available on Moody's website and covers the model's functionality, as well as providing a comprehensive index of the user inputs and outputs.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The ratings have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare each of the ratings are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings 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.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entities or their related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's 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 www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Yuezhen Wang Associate Analyst Structured Finance Group Moody'sDeutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Carole Gintz VP - Senior Credit Officer Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Deutschland GmbH An der Welle 5 Frankfurt am Main 60322 Germany JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY'S IN ANY FORM OR MANNER WHATSOEVER.

MIS, a wholly-owned credit rating agency subsidiary of Moody's Corporation ("MCO"), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS's ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading "Shareholder Relations -- Corporate Governance -- Director and Shareholder Affiliation Policy."

Any publication into Australia of this document is by MOODY'S affiliate, Moody's Investors Service Pty Limited ABN 61 003 399 657, which holds Australian Financial Services License no. 336969. This document is intended to be provided only to "wholesale clients" within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY'S that you are, or are accessing the document as a representative of, a "wholesale client" and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to "retail clients" within the meaning of section 761G of the Corporations Act 2001.

Notwithstanding the foregoing, credit ratings assigned on and after October 1, 2010 by Moody's Japan K.K. ("MJKK") are MJKK's current opinions of the relative future credit risk of entities, credit commitments, or debt or debt-like securities. In such a case, "MIS" in the foregoing statements shall be deemed to be replaced with "MJKK". MJKK is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly owned by Moody's Overseas Holdings Inc., a wholly-owned subsidiary of MCO.

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21.03.2013Bankinter, verkaufenMerrill Lynch & Co., Inc.
06.11.2012Bankinter, reduceNomura
30.10.2012Bankinter, holdDeutsche Bank AG
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