DBRS Discontinues Ratings on Notes Issued by SRF 2016-1, SRF 2017-1 and SRF 2017-2

DBRS Ratings Limited (DBRS) discontinued its ratings on the notes issued by SRF 2016-1 Fondo de Titulización (SRF 2016-1), SRF 2017-1 Fondo de Titulización (SRF 2017-1) and SRF 2017-2 Fondo de Titulización (SRF 2017-2).

The discontinuation reflects the repayment in full of the notes on 26 July 2019. The ratings and remaining balances of the notes prior to their repayment were as follows:

SRF 2016-1
-- Class A rated AAA (sf) with an outstanding principal balance of EUR 132,414,177.92
-- Class B rated A (high) (sf) with an outstanding principal balance of EUR 18,600,000.00
-- Class C rated BBB (high) (sf) with an outstanding principal balance of EUR 10,600,000.00

SRF 2017-1
-- Class A rated AAA (sf) with an outstanding principal balance of EUR 189,472,818.40
-- Class B rated A (high) (sf) with an outstanding principal balance of EUR 40,000,000.00
-- Class C rated BBB (high) (sf) with an outstanding principal balance of EUR 16,000,000.00
-- Class D rated BB (high) (sf) with an outstanding principal balance of EUR 12,000,000.00

SRF 2017-2
-- Class A rated AAA (sf) with an outstanding principal balance of EUR 88,937,388.48
-- Class B rated AA (high) (sf) with an outstanding principal balance of EUR 17,200,000.00
-- Class C rated A (sf) with an outstanding principal balance of EUR 6,900,000.00
-- Class D rated BBB (low) (sf) with an outstanding principal balance of EUR 8,600,000.00

Notes:

All figures are in euros unless otherwise noted.

The principal methodology applicable to these ratings is the “Master European Structured Finance Surveillance Methodology”.

In DBRS’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bond has been repaid in full.

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 source of data and information used for these ratings include information and reports provided by Titulización de Activos, SGFT, S.A.

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

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

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

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

The last rating action on these transactions took place on 5 October 2018 when DBRS removed the UR-Pos status and took the following rating actions:

SRF 2016-1:
-- Class A confirmed at AAA (sf)
-- Class B upgraded to A (high) (sf) from A (sf)
-- Class C upgraded to BBB (high) (sf) from BBB (sf)

SRF 2017-1:
-- Class A confirmed at AAA (sf)
-- Class B upgraded to A (high) (sf) from A (sf)
-- Class C upgraded to BBB (high) (sf) from BBB (sf)
-- Class D upgraded to BB (high) (sf) from BB (sf)

SRF 2017-2:
-- Class A confirmed at AAA (sf)
-- Class B upgraded to AA (high) (sf) from AA (sf)
-- Class C upgraded to A (sf) from A (low) (sf)
-- Class D upgraded to BBB (low) (sf) from BB (s

The lead analyst responsibilities for this transaction have been transferred to Clare Wootton.

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

As this is a discontinued-repaid rating action, a sensitivity analysis is not applicable.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Clare Wootton, Senior Financial Analyst
Rating Committee Chair: Gareth Levington, Managing Director
SRF 2016-1 Initial Rating Date: 3 October 2016
SRF 2017-1 Initial Rating Date: 17 March 2017
SRF 2017-2 Initial Rating Date: 5 December 2017

DBRS Ratings Limited
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Registered and incorporated under the laws of England and Wales: Company No. 7139960

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

-- Legal Criteria for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology
-- Operational Risk Assessment for European Structured Finance Servicers
-- Interest Rate Stresses for European Structured Finance Transactions
-- European RMBS Insight Methodology
-- European RMBS Insight: Spanish Addendum

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 info@dbrs.com.