Fitch Affirms Su Casita Trust Class A and B Notes

MONTERREY, Mexico--(BUSINESS WIRE)-- Fitch Ratings has affirmed the 'CCsf' and 'D(mex)' ratings of Su Casita Trust's class A and B residential mortgage backed securities (RMBS), respectively. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Persistent liquidity risk and exposure to non-performing assets: As of the April 2016 distribution date, +90-days delinquent loans represent 25.3% of the securitized original loan balance and 63.4% of their aggregate outstanding balance. Real estate owned (REO) inventory is still large (308 properties); however, sales show a consistent trend of disposing of these properties. Observed recovery rates during 2016 reflect an average of approximately 52% (of the respective loan outstanding balance). In Fitch's view, payments on the notes are dependent on cash flows generated by REO sales.

Negative Intrinsic (without external guarantees) Credit Enhancement (CE): As of the April 2016 distribution date, class A overcollateralization (excluding +91-days delinquent loans from the loan pool) was still negative at -106.2%, and -83.9% when excluding +180-days delinquent loans. Both levels compare better than those observed 12 months ago which were -121.7% and -102.0%, respectively. This follows the application of loan modification products to delinquent loans and the consistent amortization of the notes. Class B ratings also consider the tranche's structural subordination to class A and its consistent default on accrued interest payments. The repayment of the class A notes is dependent on an unrated third-party guarantee.

Consistent Servicing Activities: Fitch notes servicing efforts are focused on promoting cash flow through keeping loans current, restructuring delinquent loans, and recurring sales of REOs. The number of restructured loans is gradually growing and Fitch will monitor their performance in the future. In Fitch's view, special collections exhibit reasonable results as delinquent loans move through the foreclosure process.

RATING SENSITIVITIES

Class A's ratings show limited upgrade potential. Among other factors, they would be downgraded if REO management deteriorates, if special collection efforts do not result in better recovery prospects in the foreseeable future, or if the third party guarantee stops making payments, since the class A's interest and principal payments have become more dependent on such external credit protection. As of this date, Recovery Estimates (RE) for the class A outstanding balance (without taking into account the third-party guarantee) are deemed to be approximately 75% (RE75%).

Fitch has affirmed the following ratings:

-- Class A floating rate notes due 2035 at 'CCsf';RE75%/'CC(mex)vra';

-- Class B UDI-indexed notes due 2035 at 'D(mex)'.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Criteria for Rating Securitizations in Emerging Markets (pub. 06 Nov 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=809588

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Latin America RMBS Rating Criteria (pub. 17 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874906

RMBS Latin America Criteria Addendum -- Mexico (pub. 08 Apr 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879614

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1004217

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1004217

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160509006693/en/

Fitch Ratings
Primary Analyst
Juan Pablo Gil
Senior Director
+1-312-606-2301
Fitch Ratings, Inc.
70 W. Madison St.
Chicago, IL 60602
or
Committee Chairperson
Greg Kabance
Managing Director
+1-312-368-2052
or
Media Relations:
Elizabeth Fogerty, +1-212-908-0526
[email protected]

Source: Fitch Ratings

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