Rating Action Commentary
ֳ Assigns Miravet S.A R.L., Compartment 2019-1 Final Ratings
Fri 13 Dec, 2019 - 12:19 PM ET
Related Content:
Miravet S.a r.l. Compartment 2019-1 - ESG Navigator
Miravet S.a.r.l Compartment 2019-1 - Appendix
Miravet S.a r.l. Compartment 2019-1
ֳ - Madrid - 13 Dec 2019: ֳ has assigned Miravet S.A. R.L., Compartment 2019-1 final ratings as detailed below.
Transaction Summary
This is a cash flow securitisation of a static EUR349.8 million portfolio of Spanish residential mortgages originated by Catalunya Banc, Caixa Catalunya, Caixa Tarragona and Caixa Manresa, entities that are fully owned and were integrated into Banco Bilbao Vizcaya Argentaria, S.A. (BBVA, A-/Negative/F2) in 2016. The portfolio securitised includes mortgages that were previously securitised under the SRF RMBS transactions, recently paid in full, and other loans owned by Odiel Asset Co S.a.r.l., an investment fund managed by CarVal Investors, L.P.
KEY RATING DRIVERS
Large Share of Re-performing Loans (RPL)
Around 77% of the portfolio was restructured by the originators to support borrowers facing financial hardship, which included strategies such as principal grace periods and parallel financing, even in cases where the borrower had not been compliant with performance conditions. ֳ views these strategies as inadequate, although they are mitigated by the portfolio's average clean payment history of 7.9 years and also by the significant portfolio seasoning of 11.8 years.
Default Rate on RPL
The default rate of each RPL is derived from the assessment of the payment track record since the most recent date they were last in arrears and the restructuring end-date. The weighted average (WA) lifetime foreclosure frequency (WAFF) on the portfolio under a 'B' rating stress scenario is 19.4%.
Servicer Migration Risk Mitigated
The portfolio is serviced by Anticipa Real Estate, S.L.U. (Anticipa), with an expected migration to long-term servicer Pepper Asset Services, S.L.U. in 2020 (Pepper Servicing Spain, PSS). ֳ views the risk of a servicer migration as being adequately mitigated by Pepper European Servicing's proven portfolio on-boarding expertise both internationally and in Spain, a detailed migration plan that is not conditioned by any hard deadline for migration, and required approval of BBVA as master servicer.
Comparable to SRF Transactions
This transaction is highly comparable to previous SRF securitisations. Around 68% of the portfolio balance is linked to mortgages previously securitised within the SRF transactions in 2017.
Regional Concentration Risk
Around 71.9% of the portfolio is exposed to Catalonia. ֳ's central expectation is for Catalonia to remain part of Spain and that political uncertainty will not significantly compromise economic growth prospects. ֳ has applied a higher set of rating multiples to the base foreclosure frequency (FF) assumption to the share of the portfolio located in Catalonia that exceeds 2.5x the population of the region relative to the national total (ie. 28.7% by property count).
RATING SENSITIVITIES
Material increases in FF and loss severity on defaults could produce losses larger than ֳ's base case expectations, which in turn may result in negative rating action on the notes.
Model-implied rating sensitivities to increased default and decreased recovery assumptions by 15% and 30% are summarised below. These are designed to provide information about the sensitivity of the ratings to model assumptions. These should not be used as an indicator of possible future performance.
Class A notes: 'BBBsf' and 'B+sf'
Class B notes: 'BBsf' and 'CCCsf'
Class C notes: 'CCCsf' and 'NRsf'
Class D notes: 'CCCsf' and 'NRsf'
Class E notes: 'NRsf' and 'NRsf'
CRITERIA VARIATION
Treatment of Further Drawdowns
In ֳ's credit analysis of the portfolio, potential further drawdowns of the underlying mortgages were not considered when estimating portfolio loan-to-value (LTV) trends. This is substantiated by the zero instances registered to date since Anticipa serviced the portfolio in April 2015, driven by stringent conditions that discourage debtors from requesting further advances.
This variation to ֳ's European RMBS Rating Criteria, according to which potential further advances should be considered during asset analysis impacting weighted-average FF and recovery outputs, has a model-implied rating impact of one notch for the class A, B, C and E notes and two notches for the class D notes.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, ֳ in relation to this rating action.
DATA ADEQUACY
ֳ analysed the risk of borrower default using its European RMBS Rating Criteria. The agency was provided with loan-by-loan level information on the portfolio as of 31 October 2019.
ֳ analysed the portfolio using its ResiGlobal model that implements the agency's criteria for Spanish RMBS on a loan-by-loan basis, and used its proprietary cash flow model to complete the rating analysis and simulate the transaction's cash flows and capital structure.
Overall, ֳ's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the arranger as at October 2019
- Transaction contracts and documents provided by the arranger as at December 2019
ֳ was not provided with loan-by-loan DTI or employment status information of the borrowers. ֳ has assumed all loans to be class 3 DTI, and that 80% of the borrowers in the pool are full-time employees with a fixed contract, while the remaining 20% are assumed to be self-employed. These assumptions are consistent with the DTI and the presence of fixed contract employees in the comparable Hipocat securitisations that were originated by Catalunya Banc in the past and are equivalent to the assumptions made by ֳ for the two SRF transactions (SRF 2017-1 and SRF 2017-2) rated in 2017.
MODELS
The model below was used in the analysis. Click on the link for a description of the model.
ResiEMEA:
/site/structuredfinance/rmbs/resiemea
EMEA Cash Flow Model:
/site/structuredfinance/emeacfm
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those ֳ considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of Environmental, Social and Governance (ESG) credit relevance is a score of 3. This means ESG issues are credit-neutral or have only a minimal credit impact on the transaction, either due to their nature or to the way in which they are being managed. For more information on our ESG Relevance Scores, visit
Additional information is available on
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer’s available public disclosure.