OREANDA-NEWS. Fitch Ratings has affirmed TDA Pastor 1, a securitisation of Spanish residential mortgages originated by Banco Pastor, which was purchased by Banco Popular Espanol (BB+/Positive/B) in 2012.

A full list of the rating actions follows at the end of this commentary.

KEY RATING DRIVERS

Asset Performance within Expectations

TDA Pastor 1 continues to perform better than the market, with arrears over 90 days representing just 0.2% of the collateral balance compared to 1.1% reported in March 2016 by Fitch Spain RMBS Index. Cumulative gross defaults remain unchanged at 0.2% of the original portfolio.

Sufficient Credit Enhancement

Structural credit enhancement (CE) of TDA Pastor 1 has been adjusted downwards by removing the balance of a subordinated loan that is part of the collateral (2.7%). The estimated commingling loss equivalent to one-month collections on the securitised mortgages (1.8% of the collateral balance) was also deducted from the CE, as borrower payments are transferred on a monthly basis to the SPV bank account. The adjusted CE levels, ranging between 27.8% and 3.6% for the senior and junior tranches, are still consistent with the ratings' affirmation.

Payment Interruption Risk Mitigated

Fitch assessed the ability of the transaction to keep up payments to the senior securitisation notes in a scenario of servicer disruption. Fitch views current and projected levels of cash reserves to provide enough liquidity to pay senior expenses and interest due amounts on senior tranches during one or two quarterly payment dates under various Euribor assumptions.

RATING SENSITIVITIES

Ratings remain vulnerable to the country's economic environment. If the Spanish economic recovery continues and the transaction maintains the performance into the future, upward revision of mezzanine ratings is a possibility. On the other hand, if the performance of the collateral weakens beyond the agency's stress scenario analysis, downgrades on the ratings are possible.

The most senior tranche is capped at the maximum achievable rating for Spanish structured finance transactions of AA+sf, six notches above the sovereign rating. Therefore, this rating is sensitive to any movement on the Spanish sovereign rating.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall and together with the assumptions referred to above, Fitch's assessment of the 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 Titulizacion de Activos (TDA) as at 01 May 2016

- Transaction reporting provided by TDA as at 28 March 2016