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 methodologies, including key rating assumptions and models. Scope publicly announces the completion of each monitoring review on its website.

Scope completed the monitoring review for HT Abanca RMBS II FT on 22 October 2024. The credit rating remains as follow:

Class A (ISIN ES0305306005), EUR 305.8m outstanding: AAA_SF

Class B loan, EUR 120.0m outstanding: not rated

Subordinated loan, EUR 40.5m outstanding: not rated

The review was conducted considering available investor reports up to October 2024.

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 actions connected with this monitoring note along with the associated rating history can be found on www.scoperatings.com.

Key Rating factors

Scope assessed collateral performance and credit enhancement evolution. Scope also considered Spain’s macro-economic outlook, the issuers’ exposure to key counterparties, the legal and structural protection provided to the notes, the liquidity protection and the interest rate hedge protection.

The collateral is performing better than initially expected. The cumulative default ratio is 0.41% of the closing pool balance. The transaction has significantly deleveraged; class A notes’ credit enhancement has increased to 37.7% from 17.8% at closing. Counterparty risk remains broadly unchanged since closing date.

The methodologies applicable for the reviewed rating (General Structured Finance Rating Methodology, 6 March 2024; Residential Mortgage-Backed Securities Rating Methodology, 17 July 2024; Counterparty Risk Methodology, 10 July 2024) 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 Stefano Bracchi, Specialist

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