KBRA Comments on Spanish RMBS Exposure to DANA Flooding

DUBLIN--(BUSINESS WIRE)--KBRA Europe (KBRA) releases a comment assessing the limited exposure in its rated Spanish RMBS transactions to recent destructive flooding in Spain.

Torrential rains in eastern Spain, caused by the Depresión de Alta Nubosidad (DANA) weather phenomenon in late October, resulted in flash flooding and the destruction of homes and infrastructure, displacing many residents in the province of Valencia. In response to the crisis, the Spanish government issued a decree identifying 78 municipalities as affected and introducing a series of measures to support the recovery. Among other measures (including tax benefits, social security incentives, and public guarantees), the decree introduces a payment holiday for principal and interest for three months, followed by a subsequent payment holiday limited to principal for the next nine months.

The Almeria region in southern Spain was also impacted by heavy flooding earlier this month, damaging infrastructure and homes, with 34 municipalities identified as affected. Recovery measures similar to those implemented in Valencia have been extended to affected municipalities. In addition, an extension of the principal moratorium by 12 months may be granted, and borrowers may also seek an extension of the term of the loan by seven years along with a reduction in the interest rate. The Málaga area in southern Spain was similarly impacted, but recovery measures and a detailed list of affected municipalities have not yet been announced.

The Insurance Compensation Consortium (Consorcio de Compensacion de Seguros, or Insurance Consortium) reported on 15 November that 191,196 indemnification requests have been received and registered, of which 183,455 (95.9%) are from the Valencia region, for the DANA-caused damages. Of the total indemnification requests, 60,855 (31.8%) relate to residential dwellings, while the majority relate to transport units (60.3%). The Insurance Consortium estimates EUR3.5 billion is needed to cover these losses. KBRA is aware that the banking industry in Spain is considering further measures that may offer other suitable forbearance in addition to the public moratorium.

KBRA currently has outstanding ratings on two Spanish RMBS transactions. We estimated the percentage of potentially affected loans (by the loans’ current balance) in these transactions by mapping the property postal codes of the current loan population to the 111 municipalities identified in Spain’s Royal Decree Law (RDL) 6/2024 and RDL 7/2024. As such, KBRA estimates that the potentially affected loan population in its rated Spanish RMBS is as follows:

• 2.1% of the portfolio in FTA, RMBS Miravet 2023-1
• 4.1% of the portfolio in Clavel Residential 3 DAC

Related Publications

• Fondo de Titulización RMBS Miravet 2023-1 Surveillance Report
• Clavel Residential 3 DAC Surveillance Report

About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU, and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.

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