The Series A notes have amortised to EUR 647.5m (92.2% of the class A initial balance), based on the latest transaction report dated 31 March 2017. Credit enhancement for the tranche has consequently increased to 26.6% from 25% at closing. The credit enhancement for Series B has increased to 3.2% from 3% at closing. The 90 days-past-due delinquencies are in line with Scope’s expectations at 0.92%; defaults are also as expected.

From the closing date, the class A rating is primarily driven by the limited structural protection available in the transaction against the counterparty credit risk exposure to Banco Popular. Transaction documents also allow the account bank to have a relatively low minimum credit quality of BB, or an equivalent private credit assessment by Scope. Scope believes that a potential sale of Banco Popular, as recently publicly announced, is unlikely to materially affect the transaction. This is because a potential acquirer would likely be an experienced and systemic financial institution. Scope will nevertheless monitor the impact of such a sale on counterparty risk for the transaction.

IM Grupo Banco Popular MBS 3, FT granular, true-sale securitisation of a EUR 900m portfolio of non-conforming, first-lien, mortgage-secured loans granted by Grupo Banco Popular (Banco Popular Español SA and its fully owned subsidiary, Banco Popular Pastor SA) to Spanish individuals and resident/non-resident foreigners (19% at closing), largely to finance the purchase of residential properties in Spain. The transaction closed on 11 December 2015 with legal maturity of 22 December 2058.

Scope continuously monitors all rated notes from IM Grupo Banco Popular MBS 3, FT.

Ratings and research are freely available at www.scoperatings.com.