CHICAGO--(BUSINESS WIRE)--Fitch Ratings expects to rate the series 2013-1 notes issued by Trade Maps 1 Limited as follows:
--$874.44 million class A notes 'AAAsf(EXP)';
--$77.61 million class B notes 'Asf(EXP)';
--$31.34 million class C notes 'BBBsf(EXP)';
--$16.61 million class D notes 'Bsf(EXP)'.
The Rating Outlook on the expected ratings is Stable.
Collateral on Series 2013-1 notes is comprised by Asset Purchase Entity (APE) funding securities issued by local special purpose vehicles (SPVs) established for each participating bank (PB): Banco Santander, S.A. (Santander) and Citibank, N.A. (Citi) Each APE funding security is backed by a portfolio of dollar-denominated trade finance loan receivables originated by local branches of each PB. Fitch's expected ratings address the timely payment of interest on a monthly basis and ultimate payment of principal at legal final maturity.
KEY RATING DRIVERS
The expected ratings assigned to the notes reflect: (i) the favorable characteristics of trade finance assets (TFAs) that are reflected in the indicative portfolio, (ii) the structure's reasonable concentration limits and collateral quality tests that limit the potential deterioration of the portfolio during the revolving period; (ii) sufficient credit enhancement (CE) levels, including the non-shared collateralized equity provided by each PB; and (iii) structural features mitigating commingling and set-off exposures.
Fitch favorably views the short tenors and low historical default rates that are characteristic of TFAs. TFAs in the indicative portfolio have a remaining term of 43 days with a weighted average risk factor (WARF) equivalent to 'BBB-'/'BBB'. Since this is a revolving transaction, the credit quality of the assets could deteriorate; Fitch analyzed the worst possible portfolio allowed by the transaction. This stressed portfolio would have an implicit weighted average life (WAL) of no more than 150 days with a maximum tenor of one-year (or 183 days for US obligors). Based on the credit quality tests, the lowest WARF for the Trade Maps portfolio would be equivalent to 'BB'.
CE of 16.01% for the Class A, 8.56% for the Class B, 5.55% for the Class C and 3.95% for the Class D notes, in addition to excess spread, is sufficient to cover multiples of historic defaults commensurate with the ratings assigned to each of the notes. CE includes collateralized equity provided by Santander and Citi in the form of program subordinated notes (PSN). The amount of PSNs issued by each bank is based on the associated portfolio credit quality for such bank. PSNs will act as a first loss piece; however, each bank's equity can only be used to cover losses to the associated PB portfolio. At closing, Citi's and Santander's equity will be 2.88% and 5.00% of their respective pool balance, equivalent to 1.44% and 2.53% of the Trade Maps portfolio balance, respectively.
At closing, each PB's local branch will originate and service its own portfolio and transfer collections to the trust accounts. Although commingling is allowed, both PBs are eligible indirect support counterparties according to Fitch's Counterparty Criteria for Structured Finance Transactions. Therefore Fitch considers this risk immaterial.
The transaction benefits from a variety of tests and features that protect investors from a deteriorating portfolio that could cause a decrease in the available CE prior to the start of amortization. For example, negative excess spread triggers, minimum CE levels, rating downgrade triggers, increase in set-off exposure among others mitigate this potential risk.
RATING SENSITIVITIES
Ratings of the Series 2013-1 notes are sensitive to decreases in available CE as a result of higher default rates on the TFAs than those assumed for Fitch's analysis; downgrade of Citi's and Santander's ratings; an increase on the obligors or countries concentrations of the Trade Maps portfolio; a breach of any concentration limit or transaction test.
A detailed description of the transaction and Fitch's rating analysis will be provided in Fitch's pre-sale report titled 'Trade Maps 1 Limited', which will be available shortly at 'www.fitchratings.com'.
Fitch considers the securitization of trade loan receivables a new structured finance asset class and has followed its internal rating procedure for a new structured finance product. The purpose of this transaction is to achieve funding and risk transfer for the originator.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013).
Applicable Criteria and Related Research: Trade MAPS 1 Limited
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=713303
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=808818
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