DBRS Ratings Limited (DBRS) assigned a provisional rating of BBB (low) (sf) to the EUR 170,000,000 Class A notes to be issued by ProSil Acquisition S.A. (the Issuer).
The rating can be finalised upon the receipt of an execution version of the governing transaction documents. To the extent that the final documents differ from the documents that were provided at the time of this rating, DBRS may assign a different final rating to the Class A notes. This transaction also includes Class B notes that are not rated by DBRS.
The notes are backed by a EUR 494.7 million by gross book value (GBV) portfolio consisting of mostly secured non-performing loans and some residual unsecured loans sold by ProSil Acquisition S.A., Cell Number 1, Cell Number 2 and Cell Number 3 (the Transferor) to ProSil Acquisition S.A., Cell Number 5 (the Issuer). The receivables were originated by Abanca Corporación Bancaria, S.A. and Abanca Corporación División Immobilaria S.L. Cortland Investors II S.à r.l. operates as the Sponsor and Retention Holder in the transaction.
The majority of loans in the portfolio defaulted between 2010 and 2015 and are in various stages of resolution. The secured and unsecured loans are serviced by Hipoges Iberia S.L. (the Special Servicer), which will manage the following Spanish Propcos: Beautmoon Spain, S.L., Osgood Invest, S.L., Butepala Servicios y Gestiones S.L. and Vetapana Servicios y Gestiones S.L.
Approximately 94% of the pool by GBV is secured of which 95.3% of the pool by GBV benefits from a first-ranking lien. The secured loans in the portfolio are backed by properties distributed across Spain, with concentrations in the province of Pontevedra, Madrid and Barcelona.
Interest on the Class B notes, which represent mezzanine debt, may be repaid prior to the principal of the Class A notes unless certain performance related triggers are breached.
The rating is based on DBRS’s analysis of the projected recoveries of the underlying collateral, the historical performance and expertise of the Special Servicer, the availability of liquidity to fund interest shortfalls and special-purpose vehicle expenses, the cap agreement and the transaction’s legal and structural features. DBRS’s BBB (low) (sf) rating stress considers a haircut of approximately 28.5% to business plan of Hipoges Iberia S.L., the Servicer, for the portfolio.
DBRS analysed the transaction structure using Intex DealMaker.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the rating is: “Rating European Non-Performing Loans Securitisations”.
DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.
Other methodologies referenced in this transaction are listed at the end of this press release. These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.
The sources of data and information used for the rating includes the Sponsor and the Special Servicers.
DBRS did not rely upon third-party due diligence to conduct its analysis. DBRS was supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS considers the information available to it for the purposes of providing the rating was of satisfactory quality.
DBRS does not audit or independently verify the data or information it receives in connection with
the rating process.
The rating concerns a newly issued financial instrument.
This is the first DBRS rating on this financial instrument.
Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.
To assess the impact of changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared with the parameters used to determine the rating (the Base Case):
-- Recovery Rates Used: Cumulative Base Case Recovery Amount of approximately EUR 232.7 million at the BBB (low) (sf) stress level, a 5% and 10% decrease of the Cumulative Base Case Recovery Rate.
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 5%, ceteris paribus, would lead to a downgrade of the Class A notes to CCC (sf).
-- DBRS concludes that a hypothetical decrease of the Recovery Rate by 10%, ceteris paribus, would lead to a downgrade of the Class A notes to CCC (sf).
For further information on DBRS historic default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see:
Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.
Lead Analyst: Alessio Pignataro, Senior Vice President, Global Structured Finance
Initial Rating Date: 10 July 2019
Rating Committee Chair: Christian Aufsatz, Managing Director, Global Structured Finance
DBRS Ratings Limited
20 Fenchurch Street, 31st Floor, London EC3M 3BY United Kingdom
Registered in England and Wales: No. 7139960
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.
-- Rating European Non-Performing Loans Securitisations
-- Rating European Consumer and Commercial Asset-Backed Securitisations
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum
-- European CMBS Rating and Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Legal Criteria for European Structured Finance Transactions
-- Derivative Criteria for European Structured Finance Transactions
-- Interest Rate Stresses for European Structured Finance Transactions
A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at email@example.com.