Scope Ratings GmbH (Scope) completed the monitoring review of HT Abanca RMBS II, Fondo de Titulizacion. The review was conducted based on available transaction reports through the 25 January 2021 payment date and European DataWarehouse data through the 31 January 2021 cut-off date. HT Abanca RMBS II is a cash securitisation comprised of residential mortgages originated by Abanca Corporación Bancaria, S.A. and its predecessor banks. The transaction closed on 22 December 2017.

The credit rating remains as follows:

Class A (ISIN ES0305306005): EUR 604.5m outstanding: AAA_SF

Scope Ratings reviews its ratings yearly.

Scope performs monitoring reviews to determine whether outstanding ratings remains proportionate. Monitoring reviews are conducted either by performing a portfolio review in terms of the applicable methodology/ies, latest developments, and the rated entity’s financial and operational aspects relative to similarly rated peers; or through targeted reviews on an individual credit. Scope publicly announces the completion of each monitoring review on its website.

This monitoring note does not constitute a rating action nor does it indicate the likelihood of a credit rating action in the short term. The latest information on the credit ratings in this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key rating factors

Solid performance continues to support the outstanding rating. 19.4% of the portfolio has amortised since closing and cumulative defaults are only 0.10% of the closing portfolio balance. 90+ days-past-due delinquencies were 0.15% of the outstanding balance as of the latest payment date. Approximately 3.7% of the portfolio has been impacted by effects of Covid-19 and is in a moratoria status. Further macro-economic uncertainty due to Covid-19 is largely mitigated by increased credit enhancement.

Class A credit enhancement has increased to 22.0% from 17.8% since closing. The fully funded EUR 40.5m cash reserve amounts to 6.7% of the outstanding class A notes (5.2% at closing). The reserve fund can amortise down to 2.6% of the closing class A notional amount.

All transaction counterparties continue to support the rating.

The methodologies applicable for the reviewed ratings (General Structured Finance Rating Methodology, 14 December 2020; Methodology for Counterparty Risk in Structured Finance, 8 July 2020 ) are available on https://www.scoperatings.com/#!methodology/list.
This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
Lead analyst Thomas Miller-Jones, Associate Director

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