Fitch Ratings has affirmed
The Outlooks are Stable.
KEY RATING DRIVERS
SBS and GPBS are fully owned Swiss-based subsidiaries of
In addition, Fitch believes that support is highly likely to be made available because of (i) full ownership and common branding; (ii) ongoing capital and funding support from the respective parents; (iii) high reputational risk for the parents from their subsidiaries' defaults; and (iv) the small size of the subsidiaries relative to their parents', limiting the cost of potential support.
Fitch does not assign Viability Ratings (VRs) to SBS and GPBS as their business models are built on high dependence on the parent banks in terms of business origination, underwriting and risk management procedures and funding. Underwriting standards and risk controls are established in line with the parents' practices, with credit risk limits established on a consolidated group levels.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to positive rating action/upgrade:
SBS and GPBS IDRs could be upgraded if parents' IDRs were upgraded, which would be likely if the
Factors that could, individually or collectively, lead to negative rating action/downgrade:
SBS and GPBS IDRs would be downgraded if parents' IDRs were downgraded. A significant weakening of the propensity of parents to provide support (not expected by Fitch at present) to subsidiary entities could result in downgrades of the subsidiaries' ratings.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from '
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS
The ratings of SBS and GPBS are linked to the ratings of
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
RATING ACTIONSENTITY/DEBT RATING PRIOR
Sberbank (Switzerland) AG LT IDR BBB Affirmed BBB
ST IDR F2 Affirmed F2
Support 2 Affirmed 2
Gazprombank (Switzerland) Ltd LT IDR BBB- Affirmed BBB-
ST IDR F3 Affirmed F3
Support 2 Affirmed 2
VIEW ADDITIONAL RATING DETAILS
Additional information is available on www.fitchratings.com
A-3A-IO
LTAAA (EXP)sf Expected Rating
A-4
LTAAA (EXP)sf Expected Rating
A-4-A
LTAAA (EXP)sf Expected Rating
A-4A-IO
LTAAA (EXP)sf Expected Rating
A-5
LTAAA (EXP)sf Expected Rating
A-5-A
LTAAA (EXP)sf Expected Rating
A-5A-IO
LTAAA (EXP)sf Expected Rating
A-6
LTAAA (EXP)sf Expected Rating
A-6-IO
LTAAA (EXP)sf Expected Rating
A-7
LTAAA (EXP)sf Expected Rating
A-8
LTAAA (EXP)sf Expected Rating
A-8-IO
LTAAA (EXP)sf Expected Rating
A-9
LTAAA (EXP)sf Expected Rating
A-9-IO
LTAAA (EXP)sf Expected Rating
A-10
LTAAA (EXP)sf Expected Rating
B-1
LT AA-(EXP)sf Expected Rating
B-2
LT A-(EXP)sf Expected Rating
B-3
LT BBB-(EXP)sf Expected Rating
B-4
LT BB-(EXP)sf Expected Rating
B-5
LT B(EXP)sf Expected Rating
B-6
LT NR(EXP)sf Expected Rating
VIEW ADDITIONAL RATING DETAILS
TRANSACTION SUMMARY
Fitch Ratings expects to rate the residential mortgage-backed certificates issued by
This is the eighth post-crisis transaction off the
The certificates are supported by 495 prime-quality loans with a total balance of approximately
Of the loans, 100% qualify as safe-harbor qualified mortgage (QM). There are no high-priced QM loans or Non-QM loans in the pool.
There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate and capped at the net weighted average coupon (WAC), are floating- or inverse floating-rate bonds based off the secured overnight funding rate index, and capped at the net WAC or based on the net WAC.
Like other prime transactions, the transaction utilizes a senior-subordinate, shifting-interest structure with subordination floors to protect against tail risk.
KEY RATING DRIVERS
Approximately 45% of the pool is concentrated in
Shifting-Interest Structure and Full Advancing(Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained.
The servicer will provide full advancing for the life of the transaction (the servicer is expected to advance delinquent P&I on loans that enter a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries.
Nationstar is the master servicer and will advance if the servicer is not able to. If the master servicer is not able to advance, then the securities administrator (Citibank) will advance.
CE Floor (Positive): A CE or senior subordination floor of 1.25% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. A junior subordination floor of 0.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration.
Macro or Sector Risk (Positive): Consistent with the 'Additional Scenario Analysis' section of Fitch's '
Fitch's
RATING SENSITIVITIES
Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices.
Factors that could, individually or collectively, lead to negative rating action/downgrade:
This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected MVD, which is 41.9% in the 'AAAsf' stress. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'.
This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modelling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.
BEST/WORST CASE RATING SCENARIO
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by
DATA ADEQUACY
Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's '
Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool is available by clicking the link to the Appendix. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions'.
ESG CONSIDERATIONS
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
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