DBRS Morningstar Upgrades and Confirms Ratings on Miravet 2019-1 and Miravet 2020-1

DBRS Ratings GmbH (DBRS Morningstar) took the following rating actions on the bonds issued by Miravet S.à r.l. acting on behalf of its Compartment 2019-1 (Miravet 2019) and Compartment 2020-1 (Miravet 2020), as follows:

Miravet 2019:
-- Class A notes confirmed at AAA (sf)
-- Class B notes upgraded to A (high) (sf) from A (low) (sf)
-- Class C notes upgraded to BBB (high) (sf) from BBB (low) (sf)
-- Class D notes upgraded to BBB (sf) from BB (high) (sf)
-- Class E notes upgraded to BB (high) (sf) from B (high) (sf)

Miravet 2020:
-- Class A notes confirmed at AAA (sf)
-- Class B notes upgraded to A (high) (sf) from A (sf)
-- Class C notes upgraded to BBB (high) (sf) from BBB (low) (sf)
-- Class D notes upgraded to BB (high) (sf) from BB (sf)
-- Class E notes confirmed at B (low) (sf)

The ratings on the Class A notes in both transactions address the timely payment of interest and the ultimate payment of principal on or before the legal final maturity dates in May 2065. The ratings on the Class B, Class C, Class D, and Class E notes in both transactions address the ultimate payment of interest and principal on or before the legal final maturity dates in May 2065.

The rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performances, in terms of delinquencies, defaults, and losses, as of the November 2022 payment dates;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the rated notes to cover the expected losses at their respective rating levels.

The transactions are securitisations of residential mortgage loans originated by Catalunya Banc S.A., Caixa d’Estalvis de Catalunya, Caixa d’Estalvis de Tarragona, and Caixa d’Estalvis de Manresa, all entities currently integrated into Banco Bilbao Vizcaya Argentaria, S.A. (BBVA). BBVA acts as collection account bank and master servicer, with servicing operations delegated to Anticipa Real Estate, S.L.U. at closing and then transferred to Pepper Spanish Servicing, S.L.U. (Pepper).

Both portfolios exhibit a high percentage of loans that have been restructured or benefitted from a grace period in the past, or those that have credit line facilities. Additionally, the portfolios are highly concentrated in the autonomous region of Catalonia (72.0% and 73.8% for Miravet 2019 and Miravet 2020, respectively, as of the October 2022 cut-off dates).

Both transactions are static with a first optional redemption date at the November 2024 payment date for Miravet 2019 and at the November 2023 payment date for Miravet 2020. Additionally, the transactions’ step-up coupon dates are the November 2024 payment date for Miravet 2019 and the November 2025 payment date for Miravet 2020.

PORTFOLIO PERFORMANCE
The delinquency levels have been high since the initial ratings on both transactions. As of the October 2022 cut-off dates, mortgages one to three months in arrears and more than three months in arrears were as follows:
-- Miravet 2019: 3.7% and 12.5%, respectively, compared with 4.6% and 11.3%, respectively, as of the October 2021 cut-off date; and
-- Miravet 2020: 3.9% and 12.0%, respectively, compared with 4.2% and 11.9%, respectively, as of the October 2021 cut-off date.

As of the October 2022 cut-off dates, the gross cumulative default ratios were as follows:
-- Miravet 2019: 7.3%, up from 5.5% as of the October 2021 cut-off date; and
-- Miravet 2020: 7.7%, up from 6.1% as of the October 2021 cut-off date.

Cumulative losses of the initial portfolio balances remain immaterial at 0.1% for both transactions.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
DBRS Morningstar conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions as follows:

-- Miravet 2019: 20.7% and 24.1%, respectively; and
-- Miravet 2020: 20.3% and 24.1%, respectively.

CREDIT ENHANCEMENT
The credit enhancement (CE) to all the notes consists of the subordination of their respective junior notes. As of the November 2022 payment dates, the CE to the notes had increased since the November 2021 payment dates as follows:

Miravet 2019:
-- Class A to 41.5% from 37.4%;
-- Class B to 26.6% from 23.9%;
-- Class C to 21.3% from 19.1%;
-- Class D to 19.5% from 17.5%; and
-- Class E to 17.9% from 16.0%.

Miravet 2020:
-- Class A to 41.4% from 37.4%;
-- Class B to 26.4% from 23.8%;
-- Class C to 20.3% from 18.2%;
-- Class D to 18.1% from 16.3%; and
-- Class E to 16.0% from 14.3%.

Both transactions benefit from amortising liquidity reserves, funded via the Class Z notes issuance and available to cover senior fees, Class A interest, and Class X interest. As of the November 2022 payment dates, the liquidity reserves for Miravet 2019 and Miravet 2020 were at their target levels of EUR 5.9 million and EUR 12.5 million, respectively.

Elavon Financial Services DAC (Elavon) acts as the account bank for both transactions. Based on DBRS Morningstar’s private rating on Elavon, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent to the transactions’ structures, DBRS Morningstar considers the risk arising from the exposure to the account bank to be consistent with the ratings assigned to the notes, as described in DBRS Morningstar's "Legal Criteria for European Structured Finance Transactions" methodology.

BNP Paribas SA (BNP Paribas) acts as the interest cap provider for both transactions. DBRS Morningstar's Long Term Critical Obligations Rating of AA (high) on BNP Paribas is above the first rating threshold as described in DBRS Morningstar's "Derivative Criteria for European Structured Finance Transactions" methodology.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (17 May 2022).

DBRS Morningstar analysed the transactions’ structures in Intex DealMaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is the “Master European Structured Finance Surveillance Methodology” (19 May 2022).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

DBRS Morningstar has applied the principal methodology consistently and conducted a review of the transactions in accordance with the principal methodology.

A review of the transactions’ legal documents was not conducted as the legal documents have remained unchanged since the most recent rating actions.

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 Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/401817/global-methodology-for-rating-sovereign-governments.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The sources of data and information used for these ratings include investor reports and loan-level data provided by U.S. Bank Trustees Limited and additional information provided by Pepper.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating actions on these transactions occurred on:
-- Miravet 2019-1: 17 December 2021, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class E notes at AAA (sf), A (low) (sf), BBB (low) (sf), BB (high) (sf), and B (high) (sf), respectively.
-- Miravet 2020-1: 3 December 2021, when DBRS Morningstar confirmed its ratings on the Class A, Class B, Class C, Class D, and Class E notes at AAA (sf), A (sf), BBB (low) (sf), BB (sf), and B (low) (sf), respectively.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available at www.dbrsmorningstar.com.

Sensitivity Analysis: To assess the impact of changing the transactions parameters on the rating, DBRS Morningstar considered the following stress scenarios as compared with the parameters used to determine the rating (the base case):

-- DBRS Morningstar expected a lifetime base case PD and LGD for the pools based on a review of the current assets.
Adverse changes to asset performance may cause stresses to base case assumptions and therefore have a negative effect on credit ratings.
The base case PD and LGD of the current pool of loans are as follows:
-- Miravet 2019: 20.7% and 24.1%, respectively;
-- Miravet 2020: 20.3% and 24.1%, respectively.
-- The risk sensitivity overview below illustrates the ratings expected if the PD and LGD increase by a certain percentage over the base case assumption. Taking the Class A Notes of Miravet 2019 as an example, if the LGD increases by 50%, the rating on the Class A notes would be expected to remain at AAA (sf), ceteris paribus. If the PD increases by 50%, the rating on the Class A notes would be expected to be downgraded to A (sf), ceteris paribus. Furthermore, if both the PD and LGD increase by 50%, the rating on the Class A notes would be expected to be downgraded to A (sf).

Miravet 2019:
Class A Risk Sensitivity
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AA (high) (sf)
-- 50% increase in PD, expected rating of A (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of A (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (sf)

Class B Risk Sensitivity
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class C Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in LGD, expected rating of BBB (sf)
-- 25% increase in PD, expected rating of BBB (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)

Class D Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Class E Risk Sensitivity
-- 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD, expected rating of BB (sf)
-- 50% increase in PD, expected rating of B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

Miravet 2020:
Class A Risk Sensitivity
-- 25% increase in LGD, expected rating of AAA (sf)
-- 50% increase in LGD, expected rating of AAA (sf)
-- 25% increase in PD, expected rating of AAA (sf)
-- 50% increase in PD, expected rating of AA (low) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of AA (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of AA (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of AA (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of A (high) (sf)

Class B Risk Sensitivity
-- 25% increase in LGD, expected rating of A (high) (sf)
-- 50% increase in LGD, expected rating of A (low) (sf)
-- 25% increase in PD, expected rating of A (low) (sf)
-- 50% increase in PD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BBB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BBB (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BBB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf)

Class C Risk Sensitivity
-- 25% increase in LGD, expected rating of BBB (sf)
-- 50% increase in LGD, expected rating of BBB (low) (sf)
-- 25% increase in PD, expected rating of BB (high) (sf)
-- 50% increase in PD, expected rating of BB (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (high) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of BB (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)

Class D Risk Sensitivity
-- 25% increase in LGD, expected rating of BB (high) (sf)
-- 50% increase in LGD, expected rating of BB (sf)
-- 25% increase in PD, expected rating of BB (sf)
-- 50% increase in PD, expected rating of B (high) (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating of BB (low) (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating of B (high) (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating of B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

Class E Risk Sensitivity
-- 25% increase in LGD, expected rating below B (sf)
-- 50% increase in LGD, expected rating below B (sf)
-- 25% increase in PD, expected rating below B (sf)
-- 50% increase in PD, expected rating below B (sf)
-- 25% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 25% increase in PD and 50% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 25% increase in LGD, expected rating below B (sf)
-- 50% increase in PD and 50% increase in LGD, expected rating below B (sf)

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

These ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Dates:
-- Miravet 2019: 14 November 2019
-- Miravet 2020: 10 November 2020

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main - Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (19 May 2022), https://www.dbrsmorningstar.com/research/397033/master-european-structured-finance-surveillance-methodology.
-- European RMBS Insight Methodology (28 March 2022) and European RMBS Insight Model v.5.7.1.0, https://www.dbrsmorningstar.com/research/394309/european-rmbs-insight-methodology.
-- European RMBS Insight: Spanish Addendum (26 April 2022), https://www.dbrsmorningstar.com/research/395805/european-rmbs-insight-spanish-addendum.
-- Legal Criteria for European Structured Finance Transactions (22 July 2022), https://www.dbrsmorningstar.com/research/400166/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (15 September 2022), https://www.dbrsmorningstar.com/research/402774/operational-risk-assessment-for-european-structured-finance-servicers.
-- Interest Rate Stresses for European Structured Finance Transactions (22 September 2022), https://www.dbrsmorningstar.com/research/402943/interest-rate-stresses-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (20 September 2021), https://www.dbrsmorningstar.com/research/384624/derivative-criteria-for-european-structured-finance-transactions.
-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (17 May 2022), https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at https://www.dbrsmorningstar.com/research/278375.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.