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

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

Miravet 2019
-- Class A confirmed at AAA (sf)
-- Class B confirmed at A (high) (sf)
-- Class C confirmed at A (low) (sf)
-- Class D confirmed at BBB (sf)
-- Class E confirmed at BBB (low) (sf)

Miravet 2020
-- Class A confirmed at AAA (sf)
-- Class B confirmed at A (high) (sf)
-- Class C confirmed at BBB (high) (sf)
-- Class D confirmed at BB (high) (sf)
-- Class E confirmed at B (sf)

The credit 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 credit 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 credit rating actions follow an annual review of the transactions and are based on the following analytical considerations:
-- Portfolio performance, in terms of delinquencies, defaults, and losses, as of the May 2024 payment date;
-- Portfolio default rate (PD), loss given default (LGD), and expected loss assumptions on the remaining receivables; and
-- Current available credit enhancement to the notes to cover the expected losses at their respective credit 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 include a high percentage of loans that have been restructured or have 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.

PORTFOLIO PERFORMANCE
The delinquency levels have been high since the initial credit ratings on both transactions. As of the April 2024 cut-off date, mortgages one to three months in arrears and more than three months in arrears were as follows:
-- Miravet 2019: 4.6% and 14.9%, respectively, compared with 4.9% and 12.4%, respectively, one year prior; and
-- Miravet 2020: 5.3% and 12.7%, respectively, compared with 4.6% and 11.5%, respectively, one year prior.

As of the April 2024 cut-off date, the gross cumulative default ratios were 9.7% for both transactions. Cumulative losses as a percentage of the initial portfolio balances remain low at 0.2% for Miravet 2019 and 0.3% for Miravet 2020.

PORTFOLIO ASSUMPTIONS AND KEY DRIVERS
Morningstar DBRS conducted a loan-by-loan analysis of the remaining pool of receivables and updated its base case PD and LGD assumptions at the B (sf) rating level as follows:
-- Miravet 2019: 30.2% and 13.6%, respectively; and
-- Miravet 2020: 28.5% and 13.0%, respectively.

CREDIT ENHANCEMENT
The credit enhancement (CE) to all the notes consists of the subordination of their respective junior notes. As of the May 2024 payment dates, the CE to the notes had increased since the initial rating as follows:

Miravet 2019:
-- Class A to 47.4% from 31.2%;
-- Class B to 30.4% from 19.4%;
-- Class C to 24.3% from 15.3%;
-- Class D to 22.2% from 13.8%; and
-- Class E to 20.4% from 12.5%.

Miravet 2020:
-- Class A to 46.5% from 34.7%;
-- Class B to 29.2% from 22.3%;
-- Class C to 22.1% from 17.2%;
-- Class D to 19.6% from 15.4%; and
-- Class E to 17.1% from 13.6%.

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 May 2024 payment date, the liquidity reserves for Miravet 2019 and Miravet 2020 were at their target levels of approximately EUR 5.4 million and EUR 12.3 million, respectively.

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

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

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structures in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is: "Master European Structured Finance Surveillance Methodology" (6 August 2024), https://dbrs.morningstar.com/research/437540.

Other methodologies referenced in these transactions are listed at the end of this press release.

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

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

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

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

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

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

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

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

The last credit rating actions took place on:
--Miravet 2019: 16 August 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, and Class D Notes at AAA (sf), A (high) (sf), and BBB (sf), respectively, and upgraded its credit ratings on the Class C and Class E Notes to A (high) (sf) and BBB (low) (sf), from BBB (high) (sf) and BB (high) (sf), respectively.
-- Miravet 2020: 16 August 2023, when Morningstar DBRS confirmed its credit ratings on the Class A, Class B, Class C, and Class D Notes at AAA (sf), A (high) (sf), BBB (high) (sf) and BB (high) (sf), respectively, and upgraded its credit rating on the Class E Notes to B (sf) from B (low) (sf).

The lead analyst responsibilities for these transactions have been transferred to Daniel Rakhamimov.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on dbrs.morningstar.com.

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

-- Morningstar DBRS 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 at the B (sf) rating level are as follows:
-- Miravet 2019: 30.2% and 13.6%, respectively;
-- Miravet 2020: 28.5% and 13.0%, respectively.

-- The risk sensitivity overview below illustrates the credit ratings expected if the PD and LGD increase by a certain percentage over the base case assumption.

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

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

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

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

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

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

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

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

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

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

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication.
For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

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

Lead Analyst: Daniel Rakhamimov, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Associate Managing Director
Initial Rating Dates:
-- Miravet 2019: 14 November 2019
-- Miravet 2020: 10 November 2020

DBRS Ratings GmbH
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60311 Frankfurt am Main Deutschland
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

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

-- Master European Structured Finance Surveillance Methodology (6 August 2024), https://dbrs.morningstar.com/research/437540
-- European RMBS Insight Methodology (25 March 2024) and the European RMBS Insight Model v.8.0.0.1, https://dbrs.morningstar.com/research/430103
-- European RMBS Insight: Spanish Addendum (8 March 2024),
https://dbrs.morningstar.com/research/429109
-- Interest Rate Stresses for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435278
-- Derivative Criteria for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435260
-- Legal Criteria for European Structured Finance Transactions (28 June 2024), https://dbrs.morningstar.com/research/435165
-- Operational Risk Assessment for European Structured Finance Servicers (6 August 2024), https://dbrs.morningstar.com/research/437543
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024), https://dbrs.morningstar.com/research/437781

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

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.