Fitch Affirms Trade MAPS 1 Limited Series 2013-1 Notes

CHICAGO--()--Fitch Ratings has affirmed the following ratings for the series 2013-1 notes issued by Trade MAPS 1 Limited (Trade Maps):

--$874.44 million class A notes at 'AAAsf';

--$77.61 million class B notes at 'Asf';

--$31.34 million class C notes at 'BBBsf';

--$16.61 million class D notes at 'Bsf'.

The Rating Outlook is Stable.

Fitch's ratings address the timely payment of interest on a monthly basis and ultimate payment of principal at legal final maturity.

Collateral on the series 2013-1 floating-rate notes consists of local asset purchase entities (APEs) funding securities (or offshore trust certificates), which are included in two asset groups: Banco Santander, S.A. (Santander; Asset Group 1) and Citibank, N.A. (Citi; Asset Group 2). Each APE funding security is backed by a portfolio of dollar-denominated trade finance loan receivables originated by local branches of a specific asset group.

In addition, Citi, in its role as participating bank (PB), has requested that Fitch confirm its ratings on the notes upon execution of amendments to the Asset Group 2 servicing agreements and purchase agreements. These amendments provide the possibility to incorporate obligor jurisdictions through any existing booking center, and subject to the obligor and country concentration limits, without effecting any formal amendments to the agreements. Consistent with its commentary on rating confirmations in structured finance transactions (Oct. 9, 2013), Fitch is treating this request as a notification.

KEY RATING DRIVERS

Short Tenors: Trade finance assets are characterized by short tenors. During 2014, the weighted average (WA) remaining term has been stable, averaging 40 days with an average maximum tenor of 271 days.

No Defaults: Since transaction closing, the assets comprising the Trade MAPS portfolio have performed in line with expectations with no delinquencies or charge-offs.

Sufficient Credit Enhancement (CE): Since transaction closing, CE levels (16.01% for class A; 8.56% for class B; 5.55% for class C; and 3.95% for class D) remain unchanged and sufficient to cover historical default multiples for each stress scenario at the current ratings.

Diversified Portfolios: As of the November 2014 report date, the portfolio remains fairly diversified, comprised of 8,165 assets and 155 unique obligors versus 7,336 assets and 175 unique obligors on October 2013. Obligors are located in various geographic locations and correspond to various industries. The United States represents the largest country exposure at approximately 37% of the Trade MAPS portfolio, followed by Brazil and China with exposures of approximately 12% and 10%, respectively. These percentages have remained relatively stable during the past year and remain, on an individual basis, below the limits set for each participating bank. The largest exposure by industry is financial intermediaries (approximately 24%).

'BBB-/BBB' Equivalent Asset Risk Factor: During the past year, the portfolio's weighted average risk factor (WARF) has been stable, with an average WARF equivalent to 'BBB-'/'BBB'.

Negative Excess Spread Trigger: This three-consecutive-months trigger allows the termination of the revolving period for any asset group, protecting investors from portfolio deterioration that could cause the commencement of an amortization period with less than expected CE. During the first two months of the transaction's life, the excess spread (XS) was negative given the longer average term of the assets. But after the first three months of ramp-up, XS has been positive. During the second half of 2014, XS has been approximately 0.61% and 0.38%, respectively, for asset group 1 and asset group 2.

Experienced Underwriters and Servicers: Citi and Santander are top-tier banks with several years of experience originating and servicing trade finance loan portfolios. Fitch rates Citi and Santander's Issuer Default Ratings (IDRs) 'A' and 'A-', respectively, with Stable Outlooks.

Non-shared Equity: The transaction benefits from collateralized equity in the form of program subordinated notes provided by Santander and Citi, collectively referred to as PBs. The equity amount is determined on a PB-specific basis according to the credit quality of each PB's portfolio and can only be used to cover the losses of each PB. At closing, the equity portions of Citi and Santander represented 2.88% and 5.00% of their respective pool balances (equivalent to 1.42% and 2.53%, respectively, of the Trade MAPS portfolio balance) and have remained at that level during 2014.

RATING SENSITIVITIES

Ratings of 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; any downgrade to Citi's or Santander's ratings; and a breach of any concentration limit or transaction test.

RATING APPROACH

The initial credit analysis of Trade MAPS consisted of a three-step process. First, Fitch stressed the indicative portfolio designed in conjunction with the transaction's eligibility criteria and concentration requirements. Stress tests reflected sudden defaults from obligors with different equivalent ratings. In addition, Fitch ran deterministic stresses such as defaulting certain obligors and countries in line with Fitch's trade receivable and emerging markets methodologies. Second, the agency used Fitch's proprietary Portfolio Model (PCM) to analyze the stressed portfolio's probabilities of default; however, PCM was not used as the main tool to determine the ratings. Lastly, Fitch utilized a transaction-specific cash flow model to analyze the structure. A detailed description of the transaction and Fitch's initial rating analysis is provided in Fitch's new issue report titled 'Trade MAPS 1 Limited', available 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' (August 2014);

--'Global Rating Criteria for Trade Receivables Securitizations' (September 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);

--'Criteria for Rating Securitizations in Emerging Markets' (November 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Trade Receivables Securitisations

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=772589

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Rating Securitizations in Emerging Markets

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=809588

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=933435

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Contacts

Fitch Ratings
Cinthya Ortega, +1-312-606-2373
Director
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Secondary Analyst
Jose Pablo Zuniga, +1-312-368-2080
Director
or
Committee Chairperson
Greg Kabance, +1-312-368-2052
Managing Director
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Cinthya Ortega, +1-312-606-2373
Director
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Secondary Analyst
Jose Pablo Zuniga, +1-312-368-2080
Director
or
Committee Chairperson
Greg Kabance, +1-312-368-2052
Managing Director
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com