KBRA Assigns Preliminary Ratings to Torres Residential DAC Notes

Strategic Insights -

The Kroll Bond Rating Agency, LLC (KBRA) has issued a report assigning preliminary ratings to four classes of notes to be issued by Torres Residential DAC, a static Residential Mortgage-Backed Securities (RMBS) transaction backed by Spanish mortgage participations and mortgage transfer certificates. The collateral pool consists of EUR692.7 million of highly seasoned first-lien residential mortgage loans secured primarily on owner-occupied and second homes across Spain. The portfolio reflects credit characteristics broadly consistent with a prime portfolio profile, supported by significant seasoning and generally stable borrower performance.

Key Takeaways:

  • The collateral pool comprises EUR692.7 million of highly seasoned first-lien residential mortgage loans secured primarily on owner-occupied and second homes across Spain, reflecting credit characteristics broadly consistent with a prime portfolio profile.
  • Approximately 19.9% of the loans have been subject to historical restructurings, the majority of which occurred more than a decade ago and have since demonstrated broadly stable repayment behavior.
  • The pool is geographically concentrated in Andalucia (38.5%) and Madrid (13.3%), with smaller exposures across other autonomous communities in Spain.
  • The Notes may be optionally redeemed on the payment date falling in October 2028, with the Class B through Class D note margins increasing thereafter should the Notes remain outstanding beyond this date.
  • SCF will act as lender of record and primary servicer, while Intrum Servicing Spain, S.A.U. will be appointed as special servicer for loans that are 120 days or more past due.
  • KBRA has endorsed the credit rating for use in the UK, and relevant disclosure information may be found on the KBRA website.

Statistics:

  • EUR692.7 million: The size of the collateral pool.
  • 19.9%: The percentage of loans that have been subject to historical restructurings.
  • 38.5% and 13.3%: The geographical concentration of the pool in Andalucia and Madrid, respectively.
  • October 2028: The date by which the Notes may be optionally redeemed.

Sources:

  • KBRA Europe (KBRA) assigns preliminary ratings to four classes of notes to be issued by Torres Residential DAC, a static RMBS transaction backed by Spanish mortgage participations and mortgage transfer certificates.
  • Methodologies RMBS: European RMBS Rating Methodology
  • Methodologies RMBS: European RMBS Rating Methodology Country Addendum: Spain
  • Structured Finance: Global Structured Finance Counterparty Methodology
  • ESG Global Rating Methodology Disclosures