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KBRA Assigns Preliminary Ratings to Clavel Residential 4 DAC RMBS

Strategic Insights

— 1 min read

KBRA Europe (KBRA) has assigned preliminary ratings to six classes of notes in the Clavel Residential 4 DAC (Clavel 4) securitization, which will be collateralized by mortgage participations and mortgage transfer certificates. The underlying collateral consists of seasoned Spanish residential mortgage loans, with a portfolio value of EUR606.2 million as of June 30, 2025. The notes' payment priority is sequential under a combined collections waterfall, and interest payments on Class A notes are supported by a liquidity reserve fund.

Key Takeaways:

  • Clavel 4 is a refinancing of the issuance under Clavel Residential 3 DAC, with 92.6% of the loan balance being refinanced and 7.4% of additional mortgage loans.
  • The underlying collateral is a EUR606.2 million portfolio of seasoned predominantly first lien mortgages secured by owner-occupied and second-home properties in Spain.
  • The lenders of record are Banco Santander S.A. (Santander, 69.1%), Banco Bilbao Vizcaya Argentaria, S.A. (BBVA, 27.7%), and CaixaBank S.A. (Caixa, 3.2%).
  • The notes' payment priority is sequential under a combined collections waterfall, and interest payments on Class A notes are supported by a liquidity reserve fund.
  • KBRA applied its European RMBS Rating Methodology and European RMBS Rating Methodology Country Addendum: Spain to assign the preliminary ratings.
  • The lender and servicer of the mortgage loans are subject to KBRA's satisfactory servicing standards, and the servicer has provided adequate information about the loan portfolio.

Statistics:

  • EUR606.2 million: The value of the underlying collateral as of June 30, 2025.
  • 92.6%: The percentage of the loan balance being refinanced from Clavel Residential 3 DAC.
  • 7.4%: The percentage of additional mortgage loans included in the Clavel 4 securitization.
  • 69.1%: The share of loans serviced by Banco Santander S.A. (Santander).
  • 27.7%: The share of loans serviced by Banco Bilbao Vizcaya Argentaria, S.A. (BBVA).
  • 3.2%: The share of loans serviced by CaixaBank S.A. (Caixa).

Sources:

  • Kroll Bond Rating Agency, LLC (2025) KBRA Europe (KBRA) Assigns Preliminary Ratings to Six Classes of Notes in Clavel Residential 4 DAC RMBS.
  • Kroll Bond Rating Agency Europe Limited (2025) European RMBS Rating Methodology.
  • Kroll Bond Rating Agency Europe Limited (2025) European RMBS Rating Methodology Country Addendum: Spain.

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