On May 25, 2012, we lowered our long- and short-term ratings on Bankinter to 'BB+/B' from 'BBB-/A-3' after our review of the Spanish banking sector (see "Related Criteria And Research"). Bankinter is not considered an eligible counterparty under our 2012 counterparty criteria at the current rating level of the notes.
Bankinter complies with its obligations as swap provider under the transaction documents, which do not reflect our 2012 counterparty criteria. Under our 2012 counterparty criteria, our ratings on Bankinter 3's class C notes and Bankinter 4's class B and C notes are constrained to the issuer credit rating on Bankinter (acting as swap provider) plus one notch.
On July 26, 2012, Barclays Bank PLC, Sucursal en Espana replaced Bankinter as treasury account provider and paying agent. Barclays Bank PLC (A+/Negative/A-1) is considered an eligible counterparty under our 2012 counterparty criteria at the current rating level of the notes. Therefore, our ratings on Bankinter 3 and 4's notes are not constrained by our ICR on the treasury account provider.
We have today placed on CreditWatch negative our ratings on Bankinter 3's class C notes and Bankinter 4's class B and C notes due to the link between the ratings on the notes and the rating on the downgraded swap counterparty under our 2012 counterparty criteria.
We will conduct further analysis without giving benefit to the swap agreement in order to resolve the CreditWatch negative placements.
Bankinter originated the Spanish mortgage loans that back these residential mortgage-backed securities (RMBS) transactions, which closed in October 2001 and September 2002, respectively.
-- Various Rating Actions On Spanish Financial Institutions Following
-- Sovereign Downgrade, Oct. 15, 2012
-- Various Rating Actions Taken On 116 Tranches In 87 Spanish
-- Securitizations Following Sovereign Downgrade, Oct. 11, 2012
-- Spain Ratings Lowered To 'BBB-/A-3' On Mounting Economic And Political Risks; Outlook Negative, Oct. 10, 2012
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- Bankinter Ratings Lowered To 'BB+/B' After Review Of Spanish Banking Sector; Outlook Negative, May 25, 2012
-- Negative Rating Actions On 16 Spanish Banks Following Sovereign Downgrade, April 30, 2012
-- Ratings On Spain Lowered To 'BBB+/A-2' On Debt Concerns; Outlook Negative, April 26, 2012
-- European Structured Finance Scenario And Sensitivity Analysis: The
-- Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Rating Actions Taken On 41 Tranches In 21 Spanish RMBS Transactions Following Rating Actions On Counterparties, Feb. 23, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
Ratings Placed On CreditWatch Negative
Bankinter 3 Fondo de Titulizacion Hipotecaria
EUR1.323 Billion Mortgage-Backed Floating-Rate Notes
C BBB+ (sf)/Watch Neg BBB+ (sf)
Bankinter 4 Fondo de Titulizacion Hipotecaria
EUR1.025 Billion Mortgage-Backed Floating-Rate Notes
B BBB+ (sf)/Watch Neg BBB+ (sf)
C BBB+ (sf)/Watch Neg BBB+ (sf)