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AyT Caja Murcia I And II Spanish RMBS Ratings Raised Following Revised RMBS Criteria Revision


European RMBS Index Report Q1 2021


French Covered Bond Market Insights 2021


Table Of Contents: S&P Global Ratings Credit Rating Models


Sestante Finance's Series 4 Class A2 Notes Upgraded; Class B And C Notes Affirmed

AyT Caja Murcia I And II Spanish RMBS Ratings Raised Following Revised RMBS Criteria Revision


  • We have reviewed Ayt Caja Murcia Hipotecario I and II following the expansion of the global RMBS criteria's scope to include Spain, among other countries.
  • Following our review of these transactions under our relevant criteria, we have raised our ratings on all classes of notes.
  • AyT Caja Murcia Hipotecario I and II are Spanish RMBS transactions that closed in December 2005 and November 2006. They securitize a pool of first-ranking mortgage loans that Caja Murcia originated.

MADRID (S&P Global Ratings) April 29, 2021--S&P Global Ratings today raised to 'AAA (sf)', 'AA (sf)', and 'BBB+ (sf)' its credit ratings on AyT Caja Murcia Hipotecario I, Fondo de Titulización de Activos' class A, B, and C notes, respectively. At the same time, we have raised to 'AAA (sf)', 'AA (sf)', and 'BBB (sf)' our credit ratings on AyT Caja Murcia Hipotecario II, Fondo de Titulización de Activos' class A, B, and C notes, respectively.

Today's upgrades 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 transactions' current structural features.

Upon expanding our global RMBS criteria, we placed our ratings on all classes of notes in these transactions under criteria observation. Following our review of the transactions' 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 primarily due to the calculation of the effective loan-to-value (LTV) ratio, which is based on 80% of the original LTV (OLTV) and 20% of the current LTV (CLTV). Under our previous criteria, we used only the OLTV. Additionally, under our Spanish RMBS criteria, we apply an adjustment where the pool exceeds the geographic concentration limit, which contributes to a lower WAFF. Our weighted-average loss severity (WALS) assumptions have decreased, due to the lower CLTV and lower market value declines. The reduction in our WALS is partially offset by the increase in our foreclosure cost assumptions.

Table 1

Credit Analysis Results: AyT Caja Murcia Hipotecario I, Fondo de Titulización de Activos
Rating WAFF (%) WALS (%)
AAA 9.77 2.00
AA 6.88 2.00
A 5.43 2.00
BBB 4.28 2.00
BB 3.07 2.00
B 2.23 2.00
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

Table 2

Credit Analysis Results: AyT Caja Murcia Hipotecario II, Fondo de Titulización de Activos
Rating WAFF (%) WALS (%)
AAA 8.29 2.00
AA 5.83 2.00
A 4.60 2.00
BBB 3.63 2.00
BB 2.61 2.00
B 1.89 2.00
WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity.

The credit enhancement for all classes of notes has increased since our previous full reviews, due to the collateral amortization and the floored reserve fund.

The notes are currently repaying sequentially for both transactions due to certain triggers being breached. The pool factor in each transaction is low, 9.3% and 11.9% for AyT Caja Murcia Hipotecario I and II respectively, which may expose the transactions to tail risk. The reserve fund is at target in AyT Caja Murcia Hipotecario I and almost at target in AyT Caja Murcia Hipotecario II (99.2% of its target level).

Our operational, sovereign, and legal risk analysis remains unchanged since our previous reviews, so the ratings assigned are not capped by any of these criteria. There are no rating caps due to counterparty risk either.

Our analysis considers the transactions' sensitivity to the potential repercussions of the coronavirus outbreak. Of the pool, close to 6.7% of loans were on payment holidays in AyT Caja Murcia Hipotecario I and 7.1% in AyT Caja Murcia Hipotecario II under the Spanish sectorial moratorium schemes during the COVID-19 outbreak. In our analysis, we considered the potential effect of this extension and the liquidity risk the payment holidays could present should they become arrears in the future. We have also considered the transactions' ability to withstand increased defaults and extended foreclosure timing assumptions, and the ratings remain robust.

Loan-level arrears currently stand at 1.5% in Ayt Caja Murcia Hipotecario I and 1.0% in AyT Caja Murcia Hipotecario II, and they have started stabilizing after increasing in April 2020. Overall delinquencies remain well below our Spanish RMBS index (see "Related Research").

Neither transaction has breached its interest deferral triggers, and we do not expect them to do so in the medium term.

Following our review, we have raised to 'AAA (sf)' from 'AA (sf)' our ratings on the class A notes in both transactions. These notes are able to withstand extreme stresses commensurate with a 'AAA' scenario, including COVID-related sensitivities and stability runs.

We have raised to 'AA (sf)' from 'A (sf)' our ratings on the class B notes in both transactions, and to 'BBB+ (sf)' and 'BBB (sf)' from 'BB+ (sf)' our ratings on AyT Murcia Hipotecario I's and AyT Murcia Hipotecario II's class C notes. These notes could withstand stresses at higher ratings than those assigned. However, we have limited our upgrades to reflect their overall credit enhancement and position in the waterfall, the deteriorating macroeconomic environment, and potential exposure to increased defaults and the low pool factor that may expose the transactions to tail risk.

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:Nicolas Cabrera, CFA, Madrid + 34 91 788 7241;
Secondary Contact:Arianna Maino, London;

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