Morningstar DBRS Assigns Provisional Credit Ratings to Jeronimo Funding DAC

DBRS Ratings GmbH (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by Jeronimo Funding DAC (the Issuer):

-- Class A notes at (P) AAA (sf)
-- Class B notes at (P) AA (low) (sf)
-- Class C notes at (P) A (sf)
-- Class D notes at (P) BBB (high) (sf)
-- Class E notes at (P) BBB (high) (sf)
-- Class F notes at (P) BBB (sf)

The provisional credit rating on the Class A notes addresses the timely payment of interest and the ultimate repayment of principal on or before the legal final maturity date. The provisional credit ratings on the Class B to Class F notes (together with the Class A notes, the Rated Notes) address the ultimate payment of interest and the ultimate repayment of principal on or before the final maturity date. Morningstar DBRS does not rate the Class Z notes (together with the Rated Notes, the Notes) also expected to be issued in this transaction.

CREDIT RATING RATIONALE

The Issuer is a bankruptcy-remote special-purpose vehicle (SPV) incorporated in Ireland. The Issuer will use the proceeds from the issuance of the Notes to purchase all the FT Purchaser Bonds, which are the unitranche pass-through bonds issued by an SPV established in Spain, called Jeronimo Funding, Fondo de Titulización (Jeronimo FT). These bonds are backed by a portfolio of mainly reperforming Spanish residential mortgage loans originated by Unicaja Banco, S.A. (Unicaja) or any original lender merged with it, represented by mortgage certificates. Unicaja will act as the primary servicer for the portfolio, while Pepper Spanish Servicing, S.L.U. will act as the special servicer, managing loans in arrears for more than 120 days. In addition, the Issuer will use the proceeds from the issuance of the Notes to (1) pay various costs and expenses, (2) pay any interest rate cap fees due and payable by the Issuer; and (3) fund the reserve fund (RF).

The seller is Medvida Partners de Seguros y Reaseguros, S.A. (Sociedad Unipersonal), a Spanish insurance company which acquired the mortgage certificates from Unicaja.

Morningstar DBRS calculated credit enhancement for the Class A notes at 23.5%, provided by the subordination of the Class B to Class Z notes. Credit enhancement for the Class B notes will be 19.0%, provided by the subordination of the Class C to Class Z notes. Credit enhancement for the Class C notes will be 16.5%, provided by the subordination of the Class D to Class Z notes. Credit enhancement for the Class D notes will be 15.0%, provided by the subordination of the Class E to Class Z notes. Credit enhancement for the Class E notes will be 14.0%, provided by the subordination of the Class F notes and the Class Z notes. Credit enhancement for the Class F notes will be 13.5%, provided by the subordination of the Class Z notes.

The transaction benefits from a RF fully funded at closing at 2.0% of the Notes. It will be split into two different reserve funds: (1) a liquidity reserve fund (LRF), which will provide liquidity support to the Class A notes in case of an interest shortfall, and (ii) a general reserve fund (GRF), which will provide liquidity support to the Rated Notes in case of an interest shortfall. While the LRF will be set up at 2.0% of the Class A notes, the GRF will be calculated as the difference between the RF and the LRF. Principal amounts can also be used to cover interest shortfalls on the Class A to Class F notes, subject to the class being the senior-most class of notes outstanding.

The Rated Notes will pay interest linked to three-month Euribor on a quarterly basis. Following the payment date in April 2028 (the step-up date), the margin payable on the Rated Notes will increase. Citibank Europe plc (rated AA (low) with a Stable trend by Morningstar DBRS) will provide an interest rate cap with a strike rate of 5.5% and a notional that varies over time. Morningstar DBRS concluded that Citibank Europe plc meets its minimum criteria to act in such capacity. The transaction contains downgrade provisions relating to the interest rate cap provider. The downgrade provisions are consistent with Morningstar DBRS' criteria, given the ratings assigned to the notes.

Unicaja is acting as the collection account bank provider for this transaction. Unicaja will transfer the mortgage loan collections to an account in Jeronimo FT's name at Banco Santander, SA on a frequent basis. All borrower payments under the mortgage loans will be held in this account until the FT Purchaser Bonds make payments to the Issuer five days before each interest payment date on the transaction. Morningstar DBRS's rating on Banco Santander and downgrade provisions are consistent with the threshold for the account bank as outlined in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes.

Citibank N.A., London Branch (Citibank) is the account bank, custodian, and paying agent for this transaction. Morningstar DBRS's private rating on Citibank and downgrade provisions are consistent with the threshold for the account bank as outlined in Morningstar DBRS's "Legal and Derivative Criteria for European Structured Finance Transactions" methodology, given the ratings assigned to the notes.

Morningstar DBRS was provided with a mortgage portfolio equal to EUR 305.9 million as of 31 October 2024 (the cut-off date), which consisted of 5,517 mortgage loans mainly granted to individuals (95.4%). Of the portfolio balance, 68.0% of the loans were restructured while, as of the cut-off date, 61.8% were performing, 12.0% were no more than one month in arrears, 17.3% were between one and three months in arrears, 7.6% were between three and 12 months in arrears, and 1.3% were more than 12 months in arrears. Loans representing 1.0% of the total amount are currently in their grace period, with deferred principal payments, while 16.3% are loans whose borrowers have adhered to the Spanish code of good practices at some point in time. Morningstar DBRS considered these in its assessment. Morningstar DBRS assessed the historical performance of the mortgage loans and selected a portfolio score of "Low" in its European RMBS Insight Model.

The weighted-average (WA) seasoning of the portfolio as of the cut-off date is 15.5 years whereas the WA remaining term is 15.8 years. The WA original loan-to-value (LTV) ratio stands at 74.7% while the WA indexed current LTV is 54.9%. Morningstar DBRS also considered the latest valuations provided in its analysis. Currently, 96.1% of the portfolio comprises floating-rate loans, mainly linked to 12-month Euribor or other Spanish indices. The remaining 3.9% of the portfolio comprises fixed-rate loans. The notes to be issued are floating rate linked to three-month Euribor and any basis risk mismatch will remain unhedged. Morningstar DBRS took basis risk into account in its cash flow analysis.

The Seller may repurchase any loan at any time. The repurchase price is (i) for loans that are 180 or more days in arrears, (a) for up to a maximum limit of 15% of the outstanding balance of the loans, 90% of the outstanding balance of the relevant loan at that moment, (b) for any loan in excess of that limit, 100% of the outstanding balance of the loan at that moment, and (ii) for any other mortgage loans, the outstanding balance of the relevant loan at that moment.

Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D, Class E, and Class F notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related Interest Payment Amounts and the related Class Balances.

Morningstar DBRS' credit ratings on the Class A, Class B, Class C, Class D, Class E and Class F notes also address the credit risk associated with the increased rate of interest applicable to the Class A to F notes if these notes are not redeemed on the Optional Redemption Date (as defined in and) in accordance with the applicable transaction documents.

Morningstar DBRS' credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

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 factors 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" (13 August 2024) at https://dbrs.morningstar.com/research/437781.

Morningstar DBRS analysed the transaction structure in Intex Dealmaker.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit ratings is "European RMBS Insight Methodology" (3 December 2024), https://dbrs.morningstar.com/research/444100.

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

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

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 the Seller and its representatives. Morningstar DBRS received a loan-by-loan data tape as of 31 October 2024 as well as historical monthly data covering principal due, delinquencies, instalments due, and payments made, spanning a period between 2019 and 2024. The data provided included both the full provisional book as of July 2024 and the positive selection perimeter from which the pool was sourced at the cut-off date.

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

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalise the credit ratings.

These credit ratings concern expected-to-be-issued new financial instruments. These are the first Morningstar DBRS credit ratings on these financial instruments.

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 rating, Morningstar DBRS considered the following stress scenarios as compared with the parameters used to determine the credit rating (the Base Case):

-- In respect of the Class A notes, a Probability of Default Rate (PDR) of 43.7% and LGD of 39.7%, corresponding to the AAA (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class B notes, a PDR of 38.3% and LGD of 33.2%, corresponding to the AA (low) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class C notes, a PDR of 35.0% and LGD of 29.0%, corresponding to the A (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class D notes, a PDR of 29.5% and LGD of 21.0%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class E notes, a PDR of 29.5% and LGD of 21.0%, corresponding to the BBB (high) (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.
-- In respect of the Class F notes, a PDR of 28.5% and LGD of 20.1%, corresponding to the BBB (sf) credit rating scenario, was stressed assuming a 25% and 50% increase in the PD and LGD.

Class A notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to AA (low) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to A (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to AA (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).

Class B notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to A (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to A (low) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).

Class C notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).

Class D notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (sf).

Class E notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (low) (sf).

Class F notes risk sensitivity:
-- 25% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 25% increase of the LGD, ceteris paribus, would not lead to a downgrade.
-- 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BBB (low) (sf).
-- 25% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 25% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (low) (sf).
-- 25% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (high) (sf).
-- 50% increase of the PD and 50% increase of the LGD, ceteris paribus, would lead to a downgrade to BB (low) (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: Tomas Rodriguez-Vigil Junco, Vice President
Rating Committee Chair: Christian Aufsatz, Managing Director
Initial Rating Date: 20 December 2024

DBRS Ratings GmbH, Sucursal en España
Paseo de la Castellana 81
Plantas 26 & 27 28046 Madrid, Spain
Tel. +34 (91) 903 6500

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
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.

-- European RMBS Insight Methodology (3 December 2024) and European RMBS Insight model v 10.1.0.0,
https://dbrs.morningstar.com/research/444100
-- Global Methodology for Rating CLOs and Corporate CDOs (19 November 2024),
https://dbrs.morningstar.com/research/443207
-- Rating CLOs Backed by Loans to European SMEs (19 November 2024) and SME Diversity Model version 2.7.1.5, https://dbrs.morningstar.com/research/443198
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571
-- 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/439604.

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