KBRA Europe (KBRA) has issued preliminary ratings for Lugo Funding DAC (Lugo), a static Spanish RMBS securitization backed by restructured and primarily reperforming mortgage loans (RPL), represented through mortgage participations and mortgage transfer certificates.
The provisional collateral comprises a €664.6 million portfolio of seasoned, predominantly first lien performing and re-performing mortgages secured by residential properties (98.7%) and commercial properties (1.3%) in Spain. The loans were originated by Catalunya Banc, S.A. (CX), Caixa d’Estalvis de Catalunya (CC), Caixa d’Estalvis de Tarragona (CT), and Caixa d’Estalvis de Manresa (CM). Following a merger, the banking business of CC, CT, and CM was transferred to CX on September 27, 2011. Subsequently, on September 9, 2016, CX merged with Banco Bilbao Vizcaya Argentaria, S.A. (BBVA), which is now the named originator of the portfolio for this transaction and will also serve as the master servicer.
Before the closing date, Porta Mina DAC (the Seller) will acquire the economic rights to the mortgage loans represented by mortgage certificates from Miravet S.a.r.l., Compartment 2019-1 and Miravet S.a.r.l., Compartment 2020-1, and will sell them to the Issuer at closing. Pepper Spanish Servicing S.L.U. (Pepper) will act as the primary and special servicer for this transaction, bringing significant experience in servicing Spanish re-performing loans and loans in deep arrears.
Payments on the notes will follow a strictly sequential order under a combined collections waterfall. The interest payments on Class A notes will be supported by a liquidity reserve fund (LRF), funded with part of the proceeds from Class Z notes issued at the transaction’s closing.
For access to ratings and relevant documents, click here.
Methodologies
- RMBS: European RMBS Rating Methodology
- RMBS: European RMBS Rating Methodology Country Addendum: Spain
- Structured Finance: Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
Disclosures
Further information on key credit considerations, sensitivity analyses, and ESG factors that could affect the credit ratings is available in the full rating report referenced above. Detailed descriptions of all substantial sources used to prepare the credit rating and methodologies employed are accessible in the Information Disclosure Form(s) linked here.
For explanations of each rating category, please refer here.
This credit rating is endorsed by Kroll Bond Rating Agency UK Limited for use in the UK. Additional disclosures regarding this rating action are found in the Information Disclosure Form(s) mentioned above. More information about KBRA’s policies, methodologies, rating scales, and disclosures is available at www.kbra.com.
KBRA Europe and KBRA UK may have relationships with certain issuers, entities, or transactions rated by them. Relevant disclosure information can be located here.
About KBRA Europe
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority, and Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. KBRA is also recognized as a designated rating organization by the Ontario Securities Commission for asset-backed securities filings. KBRA is located at 6-8 College Green, Dublin 2, Ireland.
