(The following statement was released by the rating agency)OVERVIEW
-- On Oct. 10, 2012, we lowered our long- and short-term sovereignratings on the Kingdom of Spain to 'BBB-/Negative/A-3' from'BBB+/Negative/A-2'.
-- Under our nonsovereign ratings criteria, the highest rating we wouldassign to a structured finance transaction is six notches above theinvestment-grade rating on the country in which the securitized assets arelocated.
-- Consequently, we have lowered our ratings on 116 tranches in 87Spanish securitizations.
MADRID (Standard & Poor's) Oct. 11, 2012--Standard & Poor's Ratings Servicestoday took various credit rating actions on 116 tranches in 87 Spanishsecuritizations.
Specifically, we have:
-- Lowered our ratings on 63 tranches in 51 residential mortgage-backedsecurities (RMBS) transactions;
-- Lowered our ratings on 37 tranches in 23 small and midsize enterprise(SME) collateralized loan obligation (CLO) transactions;
-- Lowered and kept on CreditWatch negative our ratings on five tranchesin three SME CLO transactions;
-- Lowered our ratings on nine tranches in eight asset-backed securities(ABS) transactions; and
-- Lowered our ratings on two tranches in two Spanish collateralized debtobligation (CDO) transactions.
For the full list of today's rating actions, see "List Of Spanish StructuredFinance Rating Actions Following Sovereign Downgrade--Oct. 11, 2012."
Today's rating actions follow the lowering of our long-term sovereign ratingon the Kingdom of Spain to 'BBB-' from 'BBB+' in light of Spain'sdeteriorating economic conditions (see "Spain Ratings Lowered To 'BBB-/A-3' OnMounting Economic And Political Risks; Outlook Negative," published on Oct.10, 2012).
Following the sovereign downgrade, we have based our subsequent rating actionsin Spanish securitizations on the application of our nonsovereign ratingscriteria (see "Nonsovereign Ratings That Exceed EMU Sovereign Ratings:Methodology And Assumptions," published on June 14, 2011). Under our criteria,the highest rating we would assign to a structured finance transaction is sixnotches above the investment-grade rating on the country in which thesecuritized assets are located. Therefore, our criteria now cap our ratings ontransactions with underlying assets in Spain at 'AA-'. Prior to our Oct. 10,2012 downgrade of Spain, the application of our criteria capped these ratingsat 'AA+'.
After today's rating actions, only two tranches in two SME CLO transactions(the class B notes in EDT FTPYME PASTOR 3, Fondo de Titulizacion de Activosand the class C notes in BBVA-5 FTPYME Fondo de Titulizacion de Activos),remain at a 'AAA' rating level, as these ratings benefit from the support of afinancial guarantee issued by the European Investment Fund (AAA/Stable/A-1+).
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit ratingrelating to an residential mortgage backed security as defined in the Rule, toinclude a description of the representations, warranties and enforcementmechanisms available to investors and a description of how they differ fromthe representations, warranties and enforcement mechanisms in issuances ofsimilar securities. The Rule applies to in-scope securities initially rated(including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Reports included in thiscredit rating report are available at
RELATED CRITERIA AND RESEARCH
-- List Of Spanish Structured Finance Rating Actions Following SovereignDowngrade--Oct. 11, 2012, Oct. 11, 2012
-- Spain Ratings Lowered To 'BBB-/A-3' On Mounting Economic And PoliticalRisks; Outlook Negative, Oct. 10, 2012
-- European Structured Finance Scenario and Sensitivity Analysis: TheEffects of The Top Five Macroeconomic Factors, March 14, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: TheEffects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: MethodologyAnd Assumptions, June 14, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
(New York Ratings Team)