Scope Ratings GmbH (Scope) monitors and reviews its credit ratings on an ongoing basis and at least annually, or every six months in the case of sovereigns, sub-sovereigns and supranational organisations.

Scope performs monitoring reviews to determine whether material changes and/or changes in macroeconomic or financial market conditions could have an impact on the credit ratings. Scope considers all available and relevant information when undertaking the monitoring review.

Monitoring reviews are conducted by performing a peer comparison, benchmarking against the rating-change drivers, and/or reviewing the credit ratings’ performance over time, as deemed appropriate by the Lead Analyst or Analytical Team Head, in addition to an assessment of all aspects of the relevant methodology/ies, including key rating assumptions and model(s). Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for HT Abanca RMBS II, Fondo de Titulización on 15 February 2022. The credit rating remains as follows: Class A (ISIN ES0305306005): EUR 546.4m outstanding: AAA_SF.

This monitoring note does not constitute a credit rating action, nor does it indicate the likelihood that Scope will conduct a credit rating action in the short term. Information about the latest credit rating action connected with 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 rating. 26% of the portfolio has amortised since closing and cumulative defaults are only 0.17% of the closing portfolio balance. Delinquencies more than 90 days past due were 0.19% of the outstanding balance as of the latest payment date. Approximately 4.2% of the portfolio has been impacted by the effects of Covid-19 and is in a moratorium status. Further macro-economic uncertainty due to Covid-19 is largely mitigated by increased credit enhancement.

Class A credit enhancement has increased to 24.1% from 17.8% since closing. The fully funded EUR 40.5m cash reserve amounts to 7.4% 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, 17 December 2021; Counterparty Risk in Structured Finance, 13 July 2021) 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 Gustavo Solis, Senior Analyst

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