Class A Floating Rate Notes due 2035
--Long-term rating downgraded to 'CCsf' from 'CCCsf';
--Unenhanced national long-term rating downgraded to 'CC(mex)vra' from 'CCC(mex)vra'.
Class B UDI-Indexed Notes due 2035
--National long-term rating affirmed at 'D(mex)vra'.
The transaction is backed by mortgage loans originated by
KEY RATING DRIVERS
The rating actions on the class A notes reflect the following: (i) the transaction's continuous exposure to liquidity risk, (ii) decrease in enhancement levels, (iii) asset quality deterioration, and (iv) an expected compression on recoveries for non-performing loans and real estate owned assets (REOs). The rating of the class B notes considers the notes' structural subordination to the class A notes, and increased exposure to liquidity risk resulting in defaults on scheduled interest payments.
The class B notes missed the coupon payment for the first time in
As of the
Loans delinquency ratios and exposure to REOs remain high. As of the
Interest payments on the class A and class B notes are increasingly reliant on recoveries and REO sales. For the past 12 months, REOs sales have been sporadic and the observed recovery rates have stabilized around an average of 45% (of the respective loan outstanding balance).
Ratings on the class A notes could be upgraded if enhancement levels significantly increase, and liquidity risk is mitigated.
Ratings on the class A notes could be further downgraded if the underlying pool of assets continues deteriorating or recoveries are weaker than expected. As of this date, Fitch's recovery estimate (RE) for the class A notes is RE 90%.
Current assigned ratings reflect the performance of the securitized mortgage loan portfolio, which is, the main payment source for both rated notes. Fitch's ratings do not address any external credit protection provided by a third party not rated by Fitch.
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Rating Criteria for RMBS in
--'RMBS Latin America Criteria Addendum -
Global Structured Finance Rating Criteria
Rating Criteria for RMBS in
RMBS Latin America Criteria Addendum -
+52 (81) 8399 9130
Source: Fitch Ratings
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