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.

KEY RATING DRIVERS

Short Tenors: Trade finance assets are characterized by short tenors. During 2015, the weighted average (WA) remaining term has been stable, averaging 40 days with an average maximum tenor of 290 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 2015 report date, the portfolio remains fairly diversified, comprised of 7,052 assets and 164 obligors versus 8,165 assets and 155 unique obligors on November 2014. Obligors are located in various geographic locations and correspond to various industries. The United States represents the largest country exposure at approximately 30% of the Trade MAPS portfolio, followed by China and Brazil with exposures of approximately 14% 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 34%).

'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 2015, XS has been approximately 0.40% and 0.42%, 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 2015.

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

DUE DILIGENCE USAGE

No third-party due diligence was provided to or reviewed by Fitch in relation to this rating action.

RATING APPROACH

For the annual review of the transaction, Fitch analyzed the reported performance and current status of the portfolio, including levels of arrears, defaults and losses and credit enhancements and determined that there have been no losses and performance has been better than expected, and Fitch believes that original assumptions are still applicable

Expected losses for the portfolio were originally derived by analyzing obligor concentration limitations of the transaction through the deterministic obligor concentration table included in Global Rating Criteria for Trade Receivables Securitisations.

Fitch also considered the country concentration limitations of the transaction through a version of the Minimum Country Default Coverage Test included in the Criteria for Rating Securitization in Emerging Markets which is described in Fitch's New Issue Report titled 'Trade MAPS 1 Limited'. Finally, Fitch used its proprietary PCM as a supporting tool to complement its concentration test analysis. Expected losses were driven by Fitch's concentration test analysis.

Additional information is available at www.fitchratings.com.

Sources of Information:

In addition to the source(s) of information identified in Fitch's master criteria, this action was additionally informed by information from Santander and Citi.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

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

Criteria for Rating Securitizations in Emerging Markets (pub. 06 Nov 2014)

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

Global Rating Criteria for Trade Receivables Securitisations (pub. 05 Oct 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=871449

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

Trade MAPS 1 Limited -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=786468

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=995162

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=995162

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Jose Pablo Zuniga
Director
+1-312-368-2080
Fitch Ratings, Inc.
70 W. Madison St.
Chicago, IL 60602
or
Committee Chairperson
Jayme Bartling
Senior Director
+55 (11) 4504-2602
or
Media Relations:
Alyssa Castelli, New York, +1 212-908-0540
Email: alyssa.castelli@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Jose Pablo Zuniga
Director
+1-312-368-2080
Fitch Ratings, Inc.
70 W. Madison St.
Chicago, IL 60602
or
Committee Chairperson
Jayme Bartling
Senior Director
+55 (11) 4504-2602
or
Media Relations:
Alyssa Castelli, New York, +1 212-908-0540
Email: alyssa.castelli@fitchratings.com