Standard & Poor’s yesterday (Thursday) downgraded 10 multi-cédulas, affirmed nine, and upgraded two of the Spanish covered bonds, after taking into account rating actions on the participating institutions, new ratings, maturing transactions, and the restructuring of Spain’s financial sector.

All but one of the multi-cédulas affected were AyT Cédulas Cajas Global transactions, with the other being Cédulas TDA 15, which was affirmed at AA+.

The biggest downgrade was six notches, with the series XIV notes cut from AA- to BBB-. Series XIX and XX were upgraded to AA, from AA- and A+, respectively.

Other AyT series downgraded, and their rating changes were: IV, from AA to A; VI, from A- to BBB; VII, from A- to BBB; VIII, from BBB+ to BBB-; IX, from A+ to A; X, from A- to BBB; XI, from A+ to A; XII, from BBB to BBB-; and XXV, from AA+ to AA.

The multi-cédulas were among 43 put on CreditWatch negative on 23 May and following yesterday’s rating actions are no longer under review.

“Today’s rating actions reflect mainly an increase in credit risk that we have seen in the multi-cédulas transactions driven by the rating actions or credit estimate revisions on Spanish financial institutions issuing the cédulas that have taken place in the first half of 2012,” said S&P yesterday. “Another trigger was the positive effect of newly assigned ratings to some cédulas issued by several of the underlying participants in these transactions.”

The rating agency said that in 10 of the transactions it considered credit enhancement insufficient to cover possible interest shortfalls on all bonds to prevailing rating levels if an issuer of one of the cédulas in a multi-cédulas were to default.

The rationales for the rating actions are the same as those cited by S&P when it downgraded six multi-cédulas, upgraded three, and affirmed three on Wednesday of last week (25 July). (See related article here.)

Following the conclusion of the reviews of the 21 multi-cédulas yesterday and last week’s 12, nine further transactions remain on CreditWatch negative, with one of the 43 transactions put on review by S&P in May having matured. The rating agency said that it expects to conclude its reviews of the remaining nine transactions this month.

All the ratings carry S&P’s “sf” modifier.