IM Pastor 2 Rating Raised On One Class

  • On May 31, 2019, we upgraded Cecabank S.A., the swap counterparty for Spanish RMBS transaction IM Pastor 2, to 'BBB+' from 'BBB'.
  • Consequently, we have raised our rating on the transaction's class D notes to 'A (sf)' from 'A- (sf)'.
  • IM Pastor 2 closed in June 2004 and securitizes mainly first-ranking mortgage loans.
MADRID (S&P Global Ratings) July 15, 2019--S&P Global Ratings today raised its credit rating on IM PASTOR 2, Fondo de Titulizacion Hipotecaria's class D notes to 'A (sf)' from 'A- (sf)'.
Today's rating action reflects our analysis of the most recent transaction information that we have received and the transaction's current structural features.
Cecabank S.A. (BBB+/Stable/A-2) provides the interest-swap contract. As per our counterparty criteria, our collateral assessment is moderate, and the potential uplift above the counterparty rating is two notches. After the Cecabank upgrade, when giving credit to the swap contract, the maximum rating achievable is now 'A' in this transaction. The class D notes pass our credit and cash flow stresses at the 'AA-' level. However, the notes are capped by the swap counterparty rating. Hence, we have raised our rating on the class D notes to 'A (sf)' from 'A- (sf)'. The rating on the class D notes remain linked to our long-term issuer credit rating on Cecabank.
We have not taken any rating actions on the class A, B, and C notes as they remain de-linked from the rating on the swap counterparty because we did not give credit to the swap contract in our analysis of these classes.
IM Pastor 2 is a Spanish residential mortgage-backed securities transaction, which closed in June 2004 and securitizes mainly first-ranking mortgage loans. Banco Pastor (now part of Banco Santander S.A.) originated the pool, which comprises loans granted to prime borrowers secured over owner-occupied residential properties in Spain.
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