Announcements

    Drinks

      WEDNESDAY, 25/01/2023 - Scope Ratings GmbH
      Download PDF

      Scope has completed a monitoring review of Retiro Mortgage Securities DAC – Spanish NPL ABS

      No action has been taken on the notes issued by Retiro Mortgage Securities DAC following a monitoring review.

      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 Retiro Mortgage Securities DAC on 20 January 2023. Credit ratings remain as follows:

      Class A1 (ISIN: XS2306848479), EUR 111,869,424.74: rated BBB+SF

      Class A2 (ISIN: XS2306849287), EUR 77,000,000: rated BBB-SF

      Class B (ISIN: XS2306849956), EUR 34,000,000: rated B-SF

      Class C (ISIN: XS2306850459), EUR 15,000,000: rated CCCSF

      Class D1 (ISIN: XS2306856571), EUR 10,000,000: not rated

      Class D2 (ISIN: XS2306857207), EUR 10,000,000: not rated

      Class D3 (ISIN: XS2306858197), EUR10,000,000: not rated

      Class E (ISIN: N/A), EUR 54,000,000: not rated

      Retiro Mortgage Securities DAC is a cash securitisation of a EUR 396.2m portfolio of REO assets and a EUR 678.4m portfolio of Spanish NPLs (at closing) originated by Banco Sabadell, Bankia, Caja De Ahorros De Valencia, Castellon Y Alicante (Bancaja), Caja De Ahorros Layetana, Caja De Ahorros La Rioja, Caixa D´Estalvis Laietana, and Deutsche Bank.

      The review was conducted based on available investor report information and performance reporting as of the 28 October 2022 interest payment date. 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

      As of the 28 October 2022 payment date, aggregate gross collections were EUR 223.8m, which represents around 65% of the original business plan expectations of EUR 342.2m up to the same period. In terms of net collections (gross collections reduced by the amount of recovery expenses and servicing fees), realised aggregate collections amount to EUR 146.7m, which represents 58% of the servicer’s original net expectations.

      As per last investor report dated October 2022, gross collections had fallen below the minimum cash flow threshold (defined as 80% of expected gross cash flows from respective sub-portfolio in the business plan), for the Normandia and Tambo sub-portfolio. Therefore, loan and REO servicing fees component for the sub-portfolios were subordinated to all rated notes. Gross collections were above the minimum cash flow threshold for all other sub-portfolios.

      The ratings consider the issuer’s exposure to key counterparties.

      Credit-positive (+)

      Strong interest rate protection. The structure features an interest rate cap agreement, effective from the closing date until (and including) the note payment date in April 2026, which provides an interest risk hedge for all rated notes. Together with a coupon cap embedded in the terms and conditions of the rated notes (effective upon the interest rate cap agreement’s maturity), the payable base rate is capped through the life of the notes.

      Credit-negative (-)

      Timing of recoveries. As of the 28 October 2022 interest payment date, gross collections are 35% below business plan and 17% below Scope’s B case original expectations. Persistent delay in collections would lead to delayed amortisation of all the rated notes.

      High total expenses. Total cumulative expenses (servicing fees and recovery expenses) at 34% of cumulative collections, are above Scope’s lifetime assumption but below business plan expectations.

      The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 25 January 2023; Non-Performing Loan ABS Methodology, 5 August 2022; Counterparty Risk Methodology, 14 July 2022) are available on https://scoperatings.com/governance-and-policies/rating-governance/methodologies.
      This monitoring note is issued by Scope Ratings GmbH, Lennéstraße 5, D-10785 Berlin, Tel +49 30 27891-0.
      Lead analyst: Rossella Ghidoni, Director
      Person responsible for the approval of the monitoring note: David Bergman

      Potential conflicts
      See www.scoperatings.com under Governance & Policies/EU Regulation/Disclosures for a list of potential conflicts of interest related to the issuance of Credit Ratings. Scope Ratings provided the following Other Services to the Rated Entity and/or its Related Third Parties within the two years preceding this Credit Rating action: Credit Estimate.


      © 2023 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting Scope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the information and data. Scope’s ratings, rating reports, rating opinions, or related research and credit opinions are provided ‘as is’ without any representation or warranty of any kind. In no circumstance shall Scope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising from any use of Scope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for investment or transaction purposes. Scope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.

      Related news

      Show all
      Scope affirms class A notes issued by VCL Master Sweden S.A. - Swedish Auto Lease ABS

      25/3/2024 Rating announcement

      Scope affirms class A notes issued by VCL Master Sweden S.A. ...

      No rating impact on North Dock No. 1 Limited after amendments to transaction documents - UK RMBS

      22/3/2024 Monitoring note

      No rating impact on North Dock No. 1 Limited after amendments ...

      Scope downgrades class A and class B notes issued by Prisma SPV S.r.l. - Italian NPL ABS

      21/3/2024 Rating announcement

      Scope downgrades class A and class B notes issued by Prisma ...

      Italian NPL collections: monthly volumes down by more than half in January

      19/3/2024 Research

      Italian NPL collections: monthly volumes down by more than ...

      Scope has completed a monitoring review for Capella Financing S.à r.l.

      19/3/2024 Monitoring note

      Scope has completed a monitoring review for Capella Financing ...

      Scope withdraws the rating on the series 2023-1 notes issued by CiMA Finance DAC

      18/3/2024 Rating announcement

      Scope withdraws the rating on the series 2023-1 notes issued ...