Various Rating Actions Taken In Spanish RMBS Transaction Bankinter 13 Following Sovereign Upgrade

Stocks and Financial Services Press Releases Wednesday January 27, 2016 16:43
MADRID--27 Jan--Standard & Poor's

MADRID (Standard & Poor's) Jan. 27, 2016--Standard & Poor's Ratings Servicestoday raised to 'AA+ (sf)' from 'AA (sf)' and removed from CreditWatchpositive its rating on Bankinter 13, Fondo de Titulizacion de Activos' classA2 notes. At the same time, we have affirmed and removed from CreditWatchpositive our 'BBB+ (sf)' rating on the class B notes (see list below).

Today's rating actions follow our Oct. 2, 2015 raising to 'BBB+' from 'BBB' ofour long-term sovereign rating on Spain and the application of our updatedcriteria for rating single-jurisdiction securitizations above the sovereignforeign currency rating (RAS criteria; see "Kingdom of Spain Upgraded To'BBB+' On Reforms; Outlook Stable," published on Oct. 2, 2015, and "MethodologyAnd Assumptions For Ratings Above The Sovereign--Single-JurisdictionStructured Finance," published on May 29, 2015).

On Oct. 30, 2015, we placed on CreditWatch positive our ratings on certainclasses of Spanish residential mortgage-backed securities (RMBS) andasset-backed securities (ABS) notes that could be affected by our upgrade ofSpain, including our ratings on Bankinter 13's class A2 and B notes (see "

Ratings On 88 Spanish RMBS And ABS Tranches Placed On CreditWatch PositiveFollowing Sovereign And Bank Rating Actions").
We have also applied our Spanish RMBS criteria as part of our credit and cashflow analysis (see "Italy And Spain RMBS Methodology And Assumptions,"published on Sept. 18, 2014).

Under our RAS criteria, we have applied a hypothetical sovereign defaultstress test to determine whether a tranche has sufficient credit andstructural support to withstand a sovereign default and so repay timelyinterest and principal by legal final maturity.

These criteria designate the country risk sensitivity for RMBS as moderate.The transaction's notes can therefore be rated four notches above thesovereign rating, if they have sufficient credit enhancement to pass a minimumof a severe stress. However, if all six of the conditions in paragraph 44 ofour RAS criteria are met, we can assign ratings up to a maximum of six notches(two additional notches of uplift) above the sovereign rating, subject tocredit enhancement being sufficient to pass an extreme stress (see "Understanding Standard & Poor's Rating Definitions," published on June 3, 2009for our definitions of severe and extreme levels of economic stress).

Following the application of our RAS criteria and our RMBS criteria, we havedetermined that our assigned rating on each class of notes in this transactionshould be the lower of (i) the rating as capped by our RAS criteria and (ii)the rating that the class of notes can attain under our RMBS criteria.

We consider the performance of Bankinter 13 to be stable since our previousperformance review (see "Various Rating Actions Taken In Spanish RMBSTransactions Bankinter 3, 4, 6, 11, And 13 Following Criteria Updates,"published on Feb. 18, 2015). Severe delinquencies of more than 90 days are at1.99% of the current non-defaulted collateral balance, compared with 1.88% inour previous review.

Our credit and cash flow analysis indicates that the available creditenhancement for the class A2 notes is sufficient to support a 'AAA (sf)'rating. However, our RAS criteria cap our rating on this class of notes at'AA+ (sf)'. We have therefore raised to 'AA+ (sf)' from 'AA (sf)' and removedfrom CreditWatch positive our rating on the class A2 notes.

Our analysis indicates that the available credit enhancement for the class Bnotes is commensurate with a 'A- (sf)' rating under the credit and cash flowstresses that we apply under our RMBS criteria. However, under our RAScriteria, the class B notes cannot be rated above the long-term rating on thesovereign. We have therefore affirmed and removed from CreditWatch positive

our 'BBB+ (sf)' rating on the class B notes.
Our ratings on the class C, D, and E notes are unaffected by today's ratingactions as we currently rate these classes below our long-term sovereignrating on Spain.

Bankinter 13 is a Spanish RMBS transaction, which closed in November 2006 andsecuritizes first-ranking mortgage loans. Bankinter S.A. originated the pool,which comprises loans granted to prime borrowers secured over owner-occupiedresidential properties in Spain.

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