Overview
- We have reviewed Bankinter 8 following improved credit enhancement levels.
- Following our review, we have upgraded the class B and C notes and have affirmed our rating on the class A notes.
- Bankinter 8 is a Spanish prime RMBS transaction, which closed in March 2004.
MADRID (S&P Global Ratings) Dec. 5, 2019--S&P Global Ratings today took various rating actions in Bankinter 8, Fondo de Titulizacion de Activos.
Today's rating actions follow our credit and cash flow analysis of the most recent transaction information that we have received dated September 2019, and the application of our relevant criteria (see "Related Criteria"). We have also considered our outlook assumptions for the Spanish residential mortgage market (see "Related Research").
Delinquencies in Bankinter 8 have remained stable since our previous full review in second-quarter 2018 and are well below our Spanish RMBS index. Arrears stand at 0.9% of the current pool balance, and cumulative defaults represent 0.5% of the original pool balance, which demonstrate good transaction performance so far.
Bankinter S.A. (BBB+/Stable/A-2) has a standardized, integrated, and centralized servicing platform. It is a servicer for a large number of Spanish RMBS transactions, and the Bankinter transactions' historical performance has outperformed our Spanish RMBS index. We believe that these factors should contribute to a likely lower cost of replacing the servicer, and we have therefore applied a lower floor to the stressed servicing fee of 35 basis points (bps) instead of 50 bps in our cash flow analysis.
After applying our credit analysis there is a slight increase in the required credit coverage at the 'AAA' rating level and a decrease in the required credit coverage at the 'AA' rating level and below. This is the case because the pool's concentration in Madrid is no longer breaching the maximum province limit established under our criteria.
We also increased the projected loss that we modeled to meet the minimum floor under our European residential loans criteria.
| WAFF And WALS Analysis | ||||||||
|---|---|---|---|---|---|---|---|---|
| Rating level | WAFF (%) | WALS (%) | Credit coverage (%) | |||||
| AAA | 14.57 | 17.39 | 2.53 | |||||
| AA | 9.93 | 15.98 | 1.59 | |||||
| A | 7.56 | 10.43 | 0.79 | |||||
| BBB | 5.61 | 7.37 | 0.41 | |||||
| BB | 3.72 | 2.00 | 0.07 | |||||
| B | 2.28 | 2.00 | 0.05 | |||||
| WAFF--Weighted average foreclosure frequency. WALS--Weighted-average loss severity. | ||||||||
The transaction's notes are amortizing pro rata, and based on historical behavior, we expect that they will continue to do so until the transaction reaches a 10% pool factor, when amortization will switch back to sequential. Credit enhancement continues to increase in percentage terms as the reserve fund has reached its required level and cannot amortize any further.
Banco Santander now provides the guaranteed investment contract (GIC) account, and Bankinter now provides the basis swap. Both of these agreements have downgrade language in line with our latest counterparty criteria and do not cap the ratings. Our sovereign risk criteria do not cap the ratings either, because the notes pass a hypothetical sovereign default stress and can achieve six notches above the rating on Spain.
Bankinter mitigates the basis risk arising from the different indexes between the securitized assets (12-month Euro Interbank Offered Rate [EURIBOR]) and the notes (three-month EURIBOR) when interest rates are positive. However, because both of these rates are negative at the moment, the special-purpose vehicle is currently a net payer to the swap counterparty, and we have taken into account such outflows in our cash flow analysis.
Following the application of our relevant criteria and cash flow results that factor in the effect of the swap agreement in the negative interest rate environment, we have affirmed our rating on the class A notes at 'AAA (sf)', and we have upgraded the class B notes to 'AA (sf)' from 'AA- (sf)' and the class C notes to 'A+ (sf)' from 'BBB+ (sf)' due to the increase in the available credit enhancement.
Bankinter 8 is a Spanish prime RMBS transaction, which closed in March 2004.
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 | 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
- 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
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria - Structured Finance - General: Global Derivative Agreement Criteria, June 24, 2013
- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- General Criteria: Methodology: Credit Stability Criteria, May 3, 2010
- Criteria - Structured Finance - General: Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- Spanish RMBS Index Report Q3 2019, Nov. 28, 2019
- Europe's Housing Markets Lose Speed As The Economy Weakens, Sept. 24, 2019
- Spain Ratings Raised To 'A/A-1' From 'A-/A-2' On Economic Resilience; Outlook Stable, Sept. 20, 2019
- Outlook Assumptions For The Spanish Residential Mortgage Market, April 17,2018
- 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
| Primary Credit Analyst: | Diva Costa, Madrid + (0034)917887230; diva.costa@spglobal.com |
| Secondary Contact: | Nicolas Cabrera, CFA, Madrid + 34 91 788 7241; nicolas.cabrera@spglobal.com |
No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.
Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.