Fitch: No Impact on AyT Cedulas Cajas Global's Ratings from Series XX Amortisation
While each of the notes issued by the programme is collateralised by a specific pool of CHs, the programme as a whole is protected by two liquidity facilities, one for fixed-rate notes, and another for floating-rate notes. Each liquidity facility is shared by all the notes of the same interest rate type (ie fixed or floating). When a series of notes is paid in full, the total amount in the liquidity facilities is reduced by the contribution of that particular series.
Fitch has received information from the SPV management company indicating that the maximum drawable amount under the liquidity facility for the floating interest-rate notes would be EUR25.2m after the scheduled amortisation of Series XX, down from EUR44.2m. The agency considers such amount to sufficiently mitigate the liquidity risk that may arise in the notes' current rating scenario, and consequently Fitch believes the amortisation of Series XX does not impact the existing ratings of the other floating-rate notes of the programme (ie. Series 4, 7, 14 and 16).
Fitch compares the liquidity available against the expected liquidity needs in scenarios of stress, when some CHs are expected to default. The agency believes that one year of available liquidity protection is a reasonable timeframe to redirect cash flows and transfer them into an alternative collection agent.
Fitch uses its Portfolio Credit Model to analyse the default rate of the underlying CHs. In our analysis, we assume that the probability of default (PD) of a CH is equal to the PD of the issuing bank with an IDR uplift of one notch, or two notches for systemically important banks, and we capture a stressed obligor correlation assumption as all CH issuers belong to the same industry, the banking sector.
We believe obligor concentration is a material risk that impacts the expected default rate on the collateral. However, changes to concentrations at the programme level after the amortisation of Series XX do not have any rating impact.
The programme's ratings are as follows:
AyT Cedulas Cajas Global, F.T.A. - Serie IV: 'Asf'; Stable Outlook
AyT Cedulas Cajas Global, F.T.A. - Serie VII: 'A-sf'; Stable Outlook
AyT Cedulas Cajas Global, F.T.A. - Serie XIV: 'BBB+sf'; Stable Outlook
AyT Cedulas Cajas Global, F.T.A. - Serie XVI: 'BBB+sf'; Stable Outlook.