Overview
- On May 1, 2020, we revised our residential mortgage market outlooks for 13 European jurisdictions to reflect changing economic conditions and increased credit risk.
- These residential mortgage market outlook revisions follow our macroeconomic updates and our current projection of the impact that COVID-19 is likely to have on certain European economies and their residential mortgage markets.
- This affected our 'B' to 'AA+' foreclosure frequency assumptions for the archetypal pool in each impacted country.
- Following the application of all our relevant structured finance criteria, we have placed on CreditWatch negative our ratings on 17 tranches in 14 Spanish, Portuguese, Dutch, and U.K. RMBS transactions.
MADRID (S&P Global Ratings) May 6, 2020--S&P Global Ratings today placed on CreditWatch negative its ratings on 17 tranches in 14 Spanish, Portuguese, Dutch, and U.K. RMBS transactions (see list below).
Today's rating actions follow the May 1, 2020, update of our residential mortgage market outlooks for 13 European jurisdictions. These updates followed our macroeconomic updates and our current projection of the impact that COVID-19 is likely to have on certain European economies and their residential mortgage markets (see "Residential Mortgage Market Outlooks Updated For 13 European Jurisdictions Following Revised Economic Forecasts," published on May 1, 2020). This affected our 'B' to 'AA+' foreclosure frequency assumptions for the archetypal pool in each impacted country.
Based on our current projection of the likely impact on Europe (see "Economic Research: Europe Braces For A Deeper Recession In 2020," published April 20, 2020), we have applied our relevant criteria to revise the 'B' assumptions for an archetypal pool in each affected country. These revisions reflect our views of various factors, including:
- The increased unemployment level forecasts given consumer demand constraints related to COVID-19;
- The level of government support related to the health pandemic in each jurisdiction, including fiscal support to both businesses and borrowers, which should offset some income curtailment;
- The implementation of temporary forbearance plans for mortgagors, for which some forbearance may manifest in increased credit losses affecting the pools backing RMBS.
We have also updated our related guidance and criteria to include our explanation of how we analyze payment holidays that are not contractual, which create additional liquidity risks and arise from forbearance initiatives led by governments or lenders, or both.
For RMBS tranches rated 'B-' and below, in addition to the above factors, we apply our 'CCC' criteria (see "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published on Oct. 1, 2012). Our rating analysis makes additional considerations before assigning ratings in the 'CCC' category or 'B-' ratings, in particular collateral performance and levels of available credit enhancement.
S&P Global Ratings acknowledges a high degree of uncertainty about the rate of spread and peak of the coronavirus outbreak. Some government authorities estimate the pandemic will peak about midyear, and we are using this assumption in assessing the economic and credit implications. We believe the measures adopted to contain COVID-19 have pushed the global economy into recession (see our macroeconomic and credit updates here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.
Following the application of our criteria, we have placed on CreditWatch negative 17 ratings in 14 transactions. We will conduct a full credit and cash flow analysis to determine the final impact of our revised foreclosure frequency assumptions on these transactions. We will seek to resolve the CreditWatch placements within the next 90 days.
We will continue to review the ratings on our remaining transactions in light of these macroeconomic events and transaction performance. We will take further rating actions, including CreditWatch placements, as we deem appropriate.
Related Criteria
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
- Criteria | Structured Finance | General: Methodology And Assumptions: Assessing Pools Of European Residential Loans, Aug. 4, 2017
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- General Criteria: Post-Default Ratings Methodology: When Does S&P Global Ratings Raise A Rating From 'D' Or 'SD'?, March 23, 2015
- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured Finance Transactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD, March 2, 2015
- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 2014
- General Criteria: Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- Criteria | Structured Finance | General: Global Derivative Agreement Criteria, June 24, 2013
- General Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
- Criteria | Structured Finance | General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Methodology: Credit Stability Criteria, May 3, 2010
- General Criteria: Use Of CreditWatch And Outlooks, Sept. 14, 2009
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- European Economic Snapshots: Larger Risks To Growth Loom Ahead, May 5, 2020
- Residential Mortgage Market Outlooks Updated For 13 European Jurisdictions Following Revised Economic Forecasts, May 1, 2020
- Economic Research: Europe Braces For A Deeper Recession In 2020, April 20, 2020
- S&P Global Ratings Is Assessing The Impact Of COVID-19 On Mortgage Market Outlooks For Global RMBS, April 17, 2020
- European ABS And RMBS: Assessing The Credit Effects Of COVID-19, March 30, 2020
- Economic Research: Europe's Housing Market Inflation Is Losing Pace, March 2, 2020
- European RMBS Index Report 2019, Feb. 26, 2020
- Scenario and Sensitivity Analysis: 2017 EMEA RMBS Scenario And Sensitivity Analysis, July 6, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
| Ratings List | |||
|---|---|---|---|
| Issuer name | Class | Rating to | Rating from |
|
Mansard Mortgages 2006-1 PLC |
B2a | B (sf)/Watch Neg | B (sf) |
|
Towd Point Mortgage Funding 2019 Vantage2 PLC |
F-Dfrd | BBB (sf)/Watch Neg | BBB (sf) |
|
MADRID RMBS I, Fondo de Titulizacion de Activos |
C | BBB (sf)/Watch Neg | BBB (sf) |
|
MADRID RMBS I, Fondo de Titulizacion de Activos |
D | B (sf)/Watch Neg | B (sf) |
|
MADRID RMBS IV, Fondo de Titulizacion de Activos |
C | BBB (sf)/Watch Neg | BBB (sf) |
|
Landmark Mortgage Securities No.1 PLC |
D | B (sf)/Watch Neg | B (sf) |
|
Landmark Mortgage Securities No.3 PLC |
D | B+ (sf)/Watch Neg | B+ (sf) |
|
E-MAC Program III B.V. Compartment NL 2008-II |
C | BB (sf)/Watch Neg | BB (sf) |
|
AyT Kutxa Hipotecario II |
C | B (sf)/Watch Neg | B (sf) |
|
Fondo de Titulizacion de Activos UCI 9 |
B | BB (sf)/Watch Neg | BB (sf) |
|
Fondo de Titulizacion de Activos UCI 9 |
C | B (sf)/Watch Neg | B (sf) |
|
Bankinter 13, Fondo de Titulizacion de Activos |
D | BB+ (sf)/Watch Neg | BB+ (sf) |
|
HipoTotta No. 5 PLC |
E | BBB (sf)/Watch Neg | BBB (sf) |
|
CAIXA PENEDES 1 TDA Fondo de Titulizacion de Activos |
A | A- (sf)/Watch Neg | A- (sf) |
|
Lusitano Mortgages No. 4 PLC |
B | BBB- (sf)/Watch Neg | BBB- (sf) |
|
Lusitano Mortgages No. 4 PLC |
C | BB- (sf)/Watch Neg | BB- (sf) |
|
TDA Ibercaja 6, Fondo de Titulizacion de Activos |
D | BB- (sf)/Watch Neg | BB- (sf) |
| Primary Credit Analyst: | Rocio Romero, Madrid (34) 91-389-6968; rocio.romero@spglobal.com |
| Secondary Contacts: | Feliciano P Pereira, CFA, London + 44 20 7176 7021; feliciano.pereira@spglobal.com |
| Diva Costa, Madrid + (0034)917887230; diva.costa@spglobal.com | |
| Darrell Purcell, Dublin + 353 1 568 0614; darrell.purcell@spglobal.com | |
| Aimilia Katsogianni, London + 44 20 7176 3711; aimilia.katsogianni@spglobal.com | |
| Alejandro Marcilla, CFA, Madrid + 34 91 389 6944; alejandro.marcilla@spglobal.com | |
| Arnaud Checconi, London (44) 20-7176-3410; ChecconiA@spglobal.com |
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