Sept 13 - Fitch Ratings has affirmed all tranches of TDA Pastor 1 (Pastor), a Spanish RMBS transaction. The agency has also removed three tranches from Rating Watch Negative (RWN). The rating actions are as follows:
Class A1 (ISIN ES0377980000): affirmed at ‘AA-sf’; Outlook Negative; RWN off
Class A2 (ISIN ES0377980018): affirmed at ‘AA-sf’; Outlook Negative; RWN off
Class B (ISIN ES0377980026): affirmed at ‘Asf’; Outlook Stable; RWN off
Class C (ISIN ES0377980034): affirmed at ‘BBBsf’; Outlook revised to Negative from Stable
The removal of the RWN follows the implementation of remedial actions on ineligible counterparties. The role of account bank and paying agent has been transferred from Instituto de Credito Oficial (‘BBB’/Negative/‘F2’) to Barclays Bank Plc (‘A’/Stable/‘F1’) in this deal.
The deal’s performance has been positive to date, however the arrear levels are beginning to marginally trend upwards as a result of the difficult macro-economic conditions in Spain. As of August 2012, the amount of loans in arrears Pastor by more than three months (3M+ arrear) as a percentage of collateral balance was 0.14% compared to 0.03% 12 months ago.
The transaction is also exposed to the TDA 13 Mixto RMBS transaction, with part of the Pastor collateral composing of a subordinated loan granted to this deal. Although 3M+ arrear levels remain low at 0.03% of collateral balance as of August 2012, this deal is also exposed to the difficult conditions affecting the Spanish mortgage market.
With the arrear levels in the deal trending upward and recent macro-economic statistics suggesting a negative outlook for the Spanish housing market, Fitch believes that credit enhancement levels for the junior notes are likely to come under pressure. These concerns are reflected by the revision of the Outlook to Negative on the class C notes.