MONTERREY, Mexico & NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the ratings of the following Metrofinanciera, S.A.P.I. de C.V., SOFOM, E.N.R. (Metro) residential mortgage backed securities (RMBS):
MTROCB 07U
--UDI indexed notes due 2033 long-term Local Currency rating at 'CCCsf' and national long-term rating at 'CCC(mex)vra'.
MTROCB 08U
--UDI indexed notes due 2033 long-term Local Currency rating at 'Csf' and national long-term rating at 'C(mex)vra'.
KEY RATING DRIVERS
MTROCB 07U
Asset quality metrics continue deteriorating. As of December 2014, overcollateralization (OC) levels have decreased to -74.5% from -57.7% reported 12 months ago and delinquent loans represent 21.6% of the original loan balance.
Given the excess spread of -1.4% (average of last 12 months), principal collections have been used to complete coupon payments; thus reducing the amortization pace. Notes have amortized 55.9% of their original bond balance.
In Fitch's view, full payment of the notes relies on Metro's (primary servicer) ability to recover non-performing loans (NPLs), execute mortgage insurance, and sell real estate owned assets (REOs). As of the December 2014 payment date, REOs represented approximately 15.4% of the outstanding balance of the notes and NPLs represent 46.7% of current collateral balance. During the last 12 months, Fitch has observed a recovery rate of delinquent loans around 75.1%.
MTROCB 08U
Current ratings reflect the ongoing deterioration of the transaction; as of the December 2014 payment date, OC level has worsened to -75.4% from -59.7% 12 months ago, and delinquent loans represent 21.1% of the original loan balance. Excess spread is negative at -2.4% and reduces the amortization pace for these notes. The bond has been paid 45.7% of its original balance.
In Fitch's view, full payment of the notes relies on the servicer's ability to recover NPLs, execute mortgage insurance, and sell its REOs. As of the December 2014 payment date, REOs represented approximately 14% of the outstanding balance of the notes and NPLs represent 41.6% of current collateral balance. During the last 12 months, Fitch has observed a recovery rate of delinquent loans around 83.1%.
RATING SENSITIVITIES
Rating upgrades are limited for both transactions. An increase in late-stage arrears and subsequent defaults beyond Fitch's expectations and/or prolonged periods of no recoveries would pressure current ratings to be downgraded. Recovery estimates as of this date are expected to be in excess of 70%.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug 4, 2014);
--'Rating Criteria for RMBS in Latin America' (Feb. 13, 2014);
--'RMBS Latin America Criteria Addendum - Mexico' (July. 28, 2014).
Applicable Criteria and Related Research:
RMBS Latin America Criteria Addendum - Mexico -- Effective from July 31, 2013 to July 28, 2014
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=714999
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Rating Criteria for RMBS in Latin America
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=732815
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=954975
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