Scope Ratings has reviewed the performance of HT Abanca RMBS II and no rating action is granted. (Current ratings on the transaction are available here.) Credit enhancement has increased to 18.8% for the class A notes, up from 17.8% at closing. Performance is stable, as assets more than 90 days past due represent 0.03% of the outstanding non-defaulted assets. No subjective defaults have been reported since closing and no technical defaults have been realised due to the 18-month default definition. The reserve is fully funded at EUR 40.5m and has two years before the lock-out period expires. Performance was assessed from data provided by Haya Titulización, SGFT, S.A. through 31 October 2018. Counterparty risk exposure has not changed since closing, with Abanca Corporación Bancaria, S.A. (servicer) and Santander S.A. (account bank and paying agent) continuing to support the rating.

The transaction is a true-sale securitisation of a granular EUR 907.1m static portfolio (at closing) of amortising first-lien residential mortgages granted to private individuals in Spain. The variable-rate loans were originated by Abanca and some of its predecessor banks. The transaction closed on 22 December 2017 and the class A has amortised from EUR 780.0m to EUR 734.2m as of 31 October 2018.

Scope continuously monitors HT Abanca RMBS II.

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