KBRA Assigns Preliminary Ratings to Lugo Funding DAC

DUBLIN--(BUSINESS WIRE)--KBRA Europe (KBRA) assigns preliminary ratings to Lugo Funding DAC (Lugo), a static Spanish RMBS securitisation collateralised by restructured, and mostly reperforming mortgage loans (RPL) which are represented by mortgage participations and mortgage transfer certificates.

The underlying provisional collateral consists of a €664.6 million portfolio of seasoned predominantly first lien performing, re-performing mortgages that are secured by residential (98.7%) and commercial properties (1.3%) located in Spain. The loans in the portfolio were originated by Catalunya Banc, S.A. (CX), Ciaxa d’Estalvis de Catalunya (CC), Caixa d’Estalvis de Tarragona (CT), Caixa d’Estalvis de Manresa (CM). CC, CT and CM were merged into CC whose banking business was transferred to CX by virtue of a spin-off on 27 September 2011. CX, with effect from 9 September 2016, was absorbed by and merged with Banco Bilbao Vizcaya Argentaria, S.A. (BBVA). BBVA is the named originator of the portfolio in the transaction and will also be the master servicer.

On or before the closing date, Porta Mina DAC (the Seller) will acquire the economic rights to the mortgage loans represented by mortgage certificates from Miravet S.a.r.l., Compartment 2019-1 and Miravet S.a.r.l., Compartment 2020-1, and sell them to the Issuer at the closing date. Pepper Spanish Servicing S.L.U. (Pepper) will be the primary and special servicer in the transaction. Pepper have a meaningful number of years of experience servicing Spanish re-performing loans and loans deep in arrears.

The notes’ payment priority is strictly sequential under a combined collections waterfall. The interest payments on Class A notes are supported by a LRF which will be funded using part of the proceeds of Class Z notes issued at closing of the transaction.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

• RMBS: European RMBS Rating Methodology
• RMBS: European RMBS Rating Methodology Country Addendum: Spain
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

About KBRA Europe

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

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