Dec 20 - Fitch Ratings has assigned IM CFS RMBS 1, Fondo de Titulizacion de Activos’ mortgage-backed floating-rate notes due October 2051 a final rating, as follows:
EUR283,500,000 Class A notes ‘Asf’; Outlook Stable
The rating addresses the timely payment of interest on the notes, according to the terms and conditions of the documentation, as well as the repayment of principal by the final maturity date. The rating is based on the assessment of the underlying collateral, available credit enhancement (CE), the origination and servicing procedures for the mortgage loans, the transaction’s sound legal structure, and InterMoney Titulizacion, S.G.F.T, S.A.’s administrative capabilities, whose function is to manage the asset-backed notes on behalf of the fund.
The transaction is an unhedged cash flow securitisation of a EUR378m static pool of Spanish residential mortgage loans originated and serviced by Citifin, S.A, E.F.C (not rated, fully owned by Citibank N.A. (‘A’/Stable/‘F1’)). This is Citifin’s first RMBS securitisation and it represents around 81% of its mortgage portfolio in volume terms. Citifin provided Fitch with a loan-by-loan pool data template. The data quality and availability was solid, with no material data fields missing.
The main performance drivers of the pool are a very high level of broker-originated loans (75.4%), a high share of foreign borrowers (37.5%), and a moderate to high weighted average original loan to value (OLTV, 76.0%). CE for the notes totals 28.0%, which is provided by the subordination of class B notes (25%) and the non-amortising reserve fund (3%). In assigning the rating, Fitch applied a rating cap at ‘Asf’ due to the weaker than market average collateral composition and the high level of lifetime base case expected defaults (21.1% of initial collateral balance).
As of December 2012, the pool comprised 6.983 mortgage loans granted to individuals backed by properties in Spain. While the underlying portfolio is geographically distributed and well-seasoned (8.8 years), Fitch has identified subsets of the pool with risky credit characteristics such as broker originated loans (75.4%), non-Spanish borrowers (37.5%), high OLTV (>80%) loans (38.7%), loans in arrears up to 90 days (12,3%), and borrowers with adverse credit history (13.8%). These risk attributes have been captured within Fitch’s credit analysis.
Class A benefits from sequential pay-down, with class B interest and principal payments subordinated to class A payments. Prior to final legal maturity or an early termination event, the reserve fund will be available to cover for senior costs and class A interest shortfalls only.
Fitch believes a potential servicer disruption event is mitigated by the cash reserve available to the issuer, daily sweeps of collateral collections into the issuer bank account, and a first demand and unconditional guarantee provided by Citibank N.A. to the issuer on Citifin’s obligations as servicer and provider of the SPV bank account. In addition, the transaction documentation incorporates pre-established procedures to facilitate servicer substitution if needed.
The securitisation fund is regulated by Spanish Securitisation Law 19/1992 and Royal Decree 926/1998. Its sole purpose is to transform into fixed-income securities a portfolio of mortgage certificates (certificados de transmision hipotecaria, CTHs) acquired from the seller. The CTHs have been subscribed by Intermoney Titulizacion S.G.F.T, S.A. on behalf of the fund.