KBRA Assigns Preliminary Ratings to Sierra Residential DAC

DUBLIN--(BUSINESS WIRE)--KBRA Europe (KBRA) assigns preliminary ratings to six classes of notes to be issued by Sierra Residential DAC, a static RMBS securitisation collateralised by predominantly first-lien, reperforming mortgage loans. As of 3 July 2026, the underlying collateral comprises a €353.5 million portfolio of seasoned residential mortgage loans, primarily secured by owner-occupied properties (95.3%), with the remaining 4.7% secured by second or holiday homes and non-residential properties located in Spain. Approximately 64.7% of the portfolio has been previously restructured. The loans were originated by Banco Santander, S.A. (Santander) and other financial institutions subsequently absorbed by or merged with Santander. Santander remains the lender of record and primary servicer, while Intrum Servicing Spain, S.A.U. acts as special servicer for loans more than 35 days in arrears.

The underlying mortgage loans are securitised through mortgage transfer certificates (CTHs) issued by Santander and held by FT Cazorla, a Spanish private securitisation fund managed by Intermoney Titulización, S.G.F.T., S.A. The Issuer holds the corresponding unitranche FT Cazorla Bonds.

The notes follow a sequential principal payment priority under a combined collections waterfall, with a funded liquidity reserve providing liquidity support for senior expenses and interest payments on the Class A notes.

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

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.

Information on certain affiliations between directors of KBRA Ratings and rated entities or related third parties 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), one of the major credit rating agencies (CRA), is a full-service CRA 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. Kroll Bond Rating Agency Japan K.K. is registered as a CRA with the Japan Financial Services Agency. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S. Kroll Bond Rating Agency Europe Limited is located at 2nd Floor, One George’s Quay Plaza, George’s Quay, Dublin 2, D02 E440, Ireland.

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