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IM Pastor 2 Spanish RMBS Ratings Raised on Two Classes Following Criteria Revision; Two Classes Affirmed


  • We have reviewed IM Pastor 2 following the implementation of our revised Spanish RMBS criteria.
  • We have raised our ratings on the class C and D notes. At the same time, we have affirmed our ratings on the class A and B notes.
  • IM Pastor 2 is a Spanish RMBS transaction that securitizes a pool of prime residential mortgage loans. It closed in June 2004.

PARIS (S&P Global Ratings) Feb. 25, 2021--S&P Global Ratings today raised its credit ratings on IM PASTOR 2, Fondo de Titulizacion Hipotecaria's class C and D notes to 'AA+ (sf)' and 'A+ (sf)', respectively, from 'AA (sf)' and 'A (sf)'. At the same time, we have affirmed our 'AAA (sf)' ratings on the class A and B notes.

Today's rating actions follow the implementation of our revised criteria and assumptions for assessing pools of Spanish residential loans (see "Related Criteria"). They also reflect our full analysis of the most recent information that we have received and the transaction's current structural features.

Upon revising our Spanish RMBS criteria, we placed our ratings on the class C and D notes under criteria observation. Following our review of the transaction's performance and the application of our updated criteria for rating Spanish RMBS transactions, the ratings are no longer under criteria observation.

Our weighted-average foreclosure frequency (WAFF) assumptions have decreased due to the calculation of the effective loan-to-value (LTV) ratio, which is based on 80% original LTV (OLTV) and 20% current LTV (CLTV). Under our previous criteria, we used only the OLTV. Our WAFF assumptions also declined because of the transaction's decrease in arrears and a reduced share of second homes. Our weighted-average loss severity (WALS) assumptions remain unchanged at the 2% floor at all levels.

Table 1

Credit Analysis Results
Rating WAFF (%) WALS (%) Credit coverage (%)
AAA 9.07 2.00 0.18
AA 6.35 2.00 0.13
A 4.99 2.00 0.10
BBB 3.91 2.00 0.08
BB 2.78 2.00 0.06
B 1.98 2.00 0.04
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Loan-level arrears decreased over the past two years and now stand at 0.64%. Overall delinquencies remain well below our Spanish RMBS index (see "Related Research").

Cumulative defaults, defined as loans in arrears for a period equal to or greater than 12 months, represent 1.09% of the closing pool balance. The first interest deferral trigger is for class D notes. At 8.78% it is not at risk of being breached, and we do not expect that this level will be reached in the near term.

Our analysis also considers the transaction's sensitivity to the potential repercussions of the coronavirus outbreak. As of the pool cut-off date (November 2020), no loans are on payment holidays under the Spanish moratorium schemes. The government announced it will approve a new payment holiday scheme available until March 31, 2021, where the payment holidays could last up to three months. In our analysis, we considered the potential effect of this extension.

Our operational, sovereign, and legal risk analyses remain unchanged since our previous review. Therefore, the ratings assigned are not capped by any of these criteria.

The servicer, Banco Santander S.A., has a standardized, integrated, and centralized servicing platform. It is a servicer for many Spanish RMBS transactions.

The swap counterparty is Banco Santander S.A. Considering the remedial actions defined in the swap counterparty agreement, which are not in line with our current counterparty criteria, the maximum rating the notes can achieve in this transaction is 'A+ (sf)', the resolution counterparty rating (RCR) on the swap counterparty, unless we delink our ratings on this transaction from the counterparty. The results of our cash flows without the benefit of the hedge are above the RCR on the swap counterparty, that is, 'A+ (sf)'. Therefore, we have delinked our ratings on the notes from the swap counterparty RCR.

The available credit enhancement for all classes of notes has increased since our previous review due to the notes amortizing sequentially and the nonamortizing reserve fund, which is at 98.9% of its target (€5,000,000) and has remained stable over the past few years.

Our analysis indicates that the credit enhancement available for the class A and B notes is still commensurate with our 'AAA' rating. We have therefore affirmed our 'AAA (sf)' ratings on these classes of notes.

We have raised to 'AA+ (sf)' and 'A+ (sf)' from 'AA (sf)' and 'A (sf)' our ratings on the class C and D notes, respectively. These notes could withstand stresses at a higher rating than the current ratings assigned. However, we have limited our upgrades based on their overall credit enhancement, position in the waterfall, and the deterioration of the macroeconomic environment.

S&P Global Ratings believes there remains high, albeit moderating, uncertainty about the evolution of the coronavirus pandemic and its economic effects. Vaccine production is ramping up and rollouts are gathering pace around the world. Widespread immunization, which will help pave the way for a return to more normal levels of social and economic activity, looks to be achievable by most developed economies by the end of the third quarter. However, some emerging markets may only be able to achieve widespread immunization by year-end or later. We use these assumptions about vaccine timing in assessing the economic and credit implications associated with the pandemic (see our research here: As the situation evolves, we will update our assumptions and estimates accordingly.

Related Criteria

Related Research

Primary Credit Analyst:Sandra Fronteau, Paris +;
Research Contributor:Kunal Khera, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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