Overview
- We have reviewed SapphireOne Mortgages FCT 2016-2 and SapphireOne Mortgages FCT 2016-3 following the extension of our global RMBS criteria's scope to include France.
- Following our review, we have taken various rating actions in both transactions.
- These are RMBS transactions backed by French debt consolidation residential mortgage loans, which GE Money Bank originated.
LONDON (S&P Global Ratings) Dec. 17, 2019--S&P Global Ratings today affirmed its credit ratings on SapphireOne Mortgages FCT 2016-2 and SapphireOne Mortgages FCT 2016-3's class A and B French RMBS notes. At the same time, we raised our ratings on the class C, D, and E notes in each transaction.
Today's rating actions follow the implementation of our revised criteria and assumptions for assessing pools of French residential loans (see "Related Criteria"). They also reflect our full analysis of the most recent transaction information that we have received and the transaction's structural features.
Upon republishing our global RMBS criteria following the extension of the criteria's scope to include France, we placed our ratings on SapphireOne Mortgages FCT 2016-3's class C, D, and E notes under criteria observation (see "Related Research"). Following our review of both transactions' performance and the application of our updated criteria for rating French RMBS transactions, our ratings on these notes are no longer under criteria observation.
After applying our updated French RMBS criteria, the overall effect in our credit analysis results in a decrease in the weighted-average foreclosure frequency (WAFF) and weighted-average loss severity (WALS). The WAFF has decreased mainly due to the loan-to-value (LTV) ratio we used for our foreclosure frequency analysis, which now reflects 80% of the original LTV ratio and 20% of the current LTV ratio, and the increased weighted-average seasoning.
Our WALS assumptions have decreased at all rating levels as a result of higher property prices throughout France.
SapphireOne 2016-2
| Credit Analysis Results | ||
|---|---|---|
| Rating level | WAFF (%) | WALS (%) |
| AAA | 23.51 | 7.00 |
| AA | 16.38 | 4.66 |
| A | 12.74 | 2.00 |
| BBB | 9.09 | 2.00 |
| BB | 5.43 | 2.00 |
| B | 4.52 | 2.00 |
SapphireOne 2016-3
| Credit Analysis Results | ||
|---|---|---|
| Rating level | WAFF (%) | WALS (%) |
| AAA | 27.91 | 9.71 |
| AA | 19.35 | 6.63 |
| A | 15.01 | 2.46 |
| BBB | 10.59 | 2.0 |
| BB | 6.10 | 2.0 |
| B | 4.97 | 2.0 |
The non-amortizing reserve fund is fully funded in both transactions.
Our conclusions on operational, counterparty, and legal risk analysis remain unchanged since closing. Therefore, no rating cap applies to these transactions.
We have affirmed our 'AAA (sf)' ratings on the class A and B notes in both transactions as our full analysis indicates that the available credit enhancement for these class of notes is commensurate with the currently assigned ratings.
We have raised to 'AAA (sf)' our ratings on the class C notes in both transactions as our full analysis indicates that the available credit enhancement is commensurate with a higher rating.
For the class D and E notes, our cash flow analysis indicates that these notes can achieve a higher ratings output. However, given the nonconforming nature of the assets (debt consolidation loans), the complexity of the cash flow structure, and the junior position of the notes in the capital structure, we have raised our 'AA- (sf)' and 'BBB (sf)' ratings to 'AA+ (sf)' and 'AA- (sf)' in Sapphire 2016-2, and to 'AA (sf)' and 'A+ (sf)' from 'A (sf)' and 'BBB (sf)' in Sapphire 2016-3.
SapphireOne Mortgages FCT 2016-2 and SapphireOne Mortgages FCT 2016-3 are RMBS transactions backed by French debt consolidation residential mortgage loans, which GE Money Bank originated.
Related Criteria
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 2014
- Criteria | Structured Finance | General: Global Derivative Agreement Criteria, June 24, 2013
- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Methodology: Credit Stability Criteria, May 3, 2010
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- Europe’s Housing Markets Lose Speed As The Economy Weakens, Sept. 24, 2019
- Certain French, Irish, And Dutch RMBS Ratings Placed Under Criteria Observation Due To Revised Global RMBS Criteria, Sept. 6, 2019
- Certain French, Irish, And Dutch RMBS Ratings Placed Under Criteria Observation Due To Revised Global RMBS Criteria, Sept. 6, 2019
- European Economic Snapshots: Domestic Demand Still A Safety Net, April 12, 2019
- Ratings Raised On French RMBS Transaction SapphireOne Mortgages FCT 2016-3's Class B To E Notes Following Review, Jan. 25, 2019
- Ratings Affirmed Or Raised In French RMBS Transactions SapphireOne Mortgages FCT 2016-1 And 2016-2 Following Review, May 19, 2018
- 2017 EMEA RMBS Scenario And Sensitivity Analysis, July 6, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
| Primary Credit Analyst: | Arnaud Checconi, London (44) 20-7176-3410; ChecconiA@spglobal.com |
| Secondary Contact: | Maxime Pontois, Paris; maxime.pontois@spglobal.com |
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