articles Ratings /ratings/en/research/articles/210225-im-pastor-2-spanish-rmbs-ratings-raised-on-two-classes-following-criteria-revision-two-classes-affirmed-11849982 content esgSubNav
Log in to other products

 /


Looking for more?

In This List
NEWS

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

NEWS

Turbo Finance 8 Class C U.K. ABS Notes Raised; Other Ratings Affirmed

Take Notes: How The Southern European Nonperforming Loan Market Is Performing

NEWS

AyT Genova Hipotecario IX Spanish RMBS Ratings Raised On Three Classes Following Criteria Revision; One Affirmed

NEWS

AyT Genova Hipotecario VI Spanish RMBS Ratings Raised On Three Classes Following Criteria Revision; One Affirmed


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

Overview

  • 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: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.

Related Criteria

Related Research

Primary Credit Analyst:Sandra Fronteau, Paris + 01.44.20.67.16;
Sandra.Fronteau@spglobal.com
Research Contributor:Kunal Khera, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.


Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back