Impact of the DANA on Spanish Securitisations

On 29 October 2024, extreme flash flooding triggered by a severe weather phenomenon battered the eastern and southern regions of Spain, ultimately leading to one of the deadliest weather events in the country's history. This commentary analyses our rated portfolio's exposure to the province of Valencia, which saw some of the worst of the flooding, to assess the potential impact of the DANA on these transactions.

Key highlights include:
-- Overall transactions are diversified across regions in Spain regardless of the asset class.
-- Because of their relatively modest exposure, we don't expect to see any significant asset deterioration in most transactions.
-- Certain concentrations can be found in RMBS transactions. Around 10 transactions have an exposure above 15% of the nondefaulted balance, which could lead to credit impairment.

"The aftermath of such a catastrophe on securitisation transactions is difficult to assess, and much also depends on the measures offered to borrowers by lenders as well as by national and local governments", says Petter Wettestad, Assistant Vice President, European Structured Finance Ratings, Surveillance. "Natural disasters can affect local communities over the long term, making a lasting impact on employment and hampering the ability of borrowers to repay their debts".